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An Update on Cumulative Breadth and Volume (Preview)

By Lawrence G. McMillan

Every so often, we take a look at cumulative breadth and volume, when they appear to have something to “say.” This could be one of those times, as cumulative volume has already made a new all-time high (in “stocks only” terms) as has cumulative breadth.

First, some definitions and nomenclature:

Cumulative breadth (CB): the running daily total of advances minus declines.

Cumulative volume breadth (CVB): the running daily total of volume on advancing issues minus volume on declining issues.

These breadth and volume statistics can be gathered for various data sets: NYSE data is the most common, but is the most unreliable because of the large number of issues that trade on the NYSE that are not stocks; NASDAQ is a possible data set, but we prefer “stocks only” (which we define as the set of all optionable stocks) because it most accurately reflects what is happening with $SPX. So, everything in this article refers to “stocks only” statistics...

Read the full article, published on 7/31/2020, by subscribing to The Option Strategist Newsletter now. 

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