Stocks did indeed close near their lows, trending lower through most of the session. By day's end, we saw the number of stocks making new 20-day lows across the NYSE, NASDAQ, and ASE stay over 2200--remarkable given yesterday's solid bounce.
I took a look at what has happened historically after we've had three consecutive days of 20-day lows exceeding 2000. Going back to late 2002, which is how long I've kept these data, we find only 39 instances of such weakness. The next trading day, the S&P 500 Index (SPY) has averaged a gain of about 1% (24 up, 15 down). I find no significant upside or downside edge after such a relief bounce.
What *is* particularly noteworthy is that such weakness has tended to occur during periods of heightened volatility. The standard deviation of next day returns following three days of significant weakness has been 3.63%, nearly three times the level of the remainder of the sample. Such heightened volatility was evident as far as 20 days out, doubling the level seen during other periods in the market.
That suggests that, whether or not weakness is finished, the recent levels of heightened volatility may persist into next week.