SELL IN MAY, SWOON IN JUNE...:

In the classic Stock Traders' Almanac the Hirsches posit that the the last day of the month and the first 4 are the best days to trade the market, with the 1st day alone besting the rest of the month combined! In my ongoing study of 3+ years, that still holds true, but the 9 through 11 days are outperforming the early 5 days.
Midway through today, the fourth trading day of July, the S&P500 is down 25 pts., after today's huge reversal, but the 1st day was up 4 pts., about its average.
Sentiment indicators are way oversold across the board, after the cascading May through today period:
Extremes include both the McClellan Oscillator at -75 and its cumulative Summation Index at a rare -800; both newsletter surveys I follow, the AAII and Invest.Intell. ,are inverted with bears outnumbering bulls, also a rarity.
Not quite as extended are the VIX at near 25 and the Bullish %, which at 28 needs to go to 16 to match previous bottoms. NYSE weekly NLs/NHs were 10:1, and the Nasdaq was 1:20!
Meanwhile, insider selling and shorting are off their extremes.
Here are the numbers:
MktSentiment. 7/4/2008 Prev. Week.....5Yr.HI......LOW

DJIA ………. 11288……….11346………..14093............7286
Nasdaq………. 2245…………2315…………2810.............1114
S&P500…….. 1262…………1278…………1561………..776
CBOE Eq. put/call …77……………73……………..92-1/08….....46-1/03

VIX ………. 24.78………..23.4…….…….44.. 9/02 bu..10.0-7/05 br

McClellan Osc……….-75…………..-70……………91-5/04 br...(-81)-5/04bu
McClelSum……….…-800…………-521…………..1568-6/03.......-917

Newsletter Surveys:
Inv.Intel -Bull:…..…31.9…………33.7……….…12/04br......35-6/06bu
Bear:………… 44.7………..39.3………… 38.2-3/03.......16-6/03

AAII-Bull/Bear ……23.9/52.1……31.3/52.3……..n/a n/a
IBD: Short Interest- 13.46……….13.7…………15.0………. 4.0
Public/NYSE Spec.-…17…………17.4…….….21bl…………..1.0br
Bullish%- ………….28………..33…….…88 -2/04br.....19bu
*Insider corporate sellers.7:1……8:1………..97…………..5
Sectors: Most Buyers: Finance Most Sellers: Tech

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SELL IN MAY, SWOON IN JUNE...: