While market breadth is typically measured by looking at the number of stocks that are up on the day versus those that are down, another way to look at it is by looking at the net daily upside volume (daily volume in stocks that are up minus daily volume in stocks that are down on the day). In the chart below we compare the cumulative net upside volume in NYSE stocks versus the S&P 500 since 2002.
Since the S&P 500 bottomed in 2002 through this past Summer, every time the S&P 500 hit a new high, cumulative breadth also made a new high. Since then, we have seen two negative divergences in this indicator. When the S&P 500 peaked in October, the cumulative breadth failed to confirm the new high. More recently, while the S&P 500 failed to make a new closing low in November, upside volume did break below the Summer lows.
Going forward, investors may want to pay closer attention to volume statistics, especially on days where the market has a large move to the upside or downside.