1-September statitical behaviour: bullish for next week Since 1959 to 1997 (we deleted the buble datas and bear market datas since 2000), on average, from the sept 12 to Sept 20, SPX has increased 0.45% (NAV has climbed from 99.50 to 99.95). One will observe that september is statistically a negative month and that intra month periods of underperformance are from the 7th to the 12th (just like now) and from the 21 to 26 , just after Option expiration. Another statiscal anomaly is the reversal of SPX prices the monday after expiration 2-FOMC IMPACT: bullish for next week spx shows an outperformance of 0.51% 4 days before FOMC decisions since 1996. 3-Open interest Patterns One of our favourite strategies is to identify the SPX strikes which have the largest open interest : these strike tend to attract prices. Open interest is the number of outstanding contracts on a particular option. For instance september biggest open interests by strike are the following (A large put open interest can indicate that most investors are already protected against a drop and a contrarian approach will tell that prices will not fall below that level) call 975 -----> 45910 lots call 995 -----> 63137 lots call 1005 -----> 28548 lots call 1025 -----> 31939 lots put 975 -----> 52834 lots put 995 -----> 59000 lots put 1005 -----> 28823 lots put 1025 -----> 19968 lots This table/graph shows that option players are well protected for a decline around 995 & 975, which would act as very big supports. However on the upside, 1025/1050 are the only noticable resistances (but half of the open interest that we find for 995 or 975). As a conclusion, index should be attracted to the 995-1005 zone, but will find it very difficult to fall much furher (in that case 975 would be a very good support); however, on the upside, any breakout would not be stopped easily as option players have not anticipated a strong rebound Not surprisingly, open interests on Nasdaq100 give a similar pattern. The NDX is well protected around 1300 and would face some noticable resistance only around 1400 Our best guess is a SPX closing at 995-1000 and a NDX around 1325-1335. If anybody has made some research on this patterns, I would appreciate any feedback Regards Julien As I cannot paste all my excel tables and graphs here, you could find them on my last mail @ http://groups.yahoo.com/group/futuresystem
Fortuna: Thanks for posting your research. I am always appreciative when people do intelligent research. This is particularly valuable for me as I am trading the EMini, and have some longer term positions in place in anticipation of a possible correction. Regards, Steve46
There is always a little room for quality stats. The fourth Q usually makes people about half their annual income. It's a super idea to lay out the recalibration of all the data, indicators, and even "edge" changes required to nail the potential of the market. You can see all over the place in here where people who are not making the necessary adjustments are already out of whack. just look at the tread titles recently!! LOL. Thanks for your post.