In a post two years ago I discussed how low volume on the Tuesday after Labor Day was often a bad sign [1]. I looked at what happened when 1) volume came in lower than the Friday before Labor Day, and 2) when volume failed to hit the highest level in at least 5 days. Tuesday not only did volume fail to hit the highest level in 5 days, it actually came in at the lowest level of the last 5 days. Since 1970 this has only happened 7 other times. As you'll see below, it hasn't been a good sign going forward.
Instances are low, and the 1st week has been a bit of a tossup. But when traders fail to show interest after many summer vacations traditionally end, then a move down has always followed. In conjunction with the "August down greater than 4%" [3] study from last week this study seems worth considering. We appear to be getting some warning signs of a September swoon.