Fed Day and Opex Week Confluence on $SPY

Fed Day and Opex Week Confluence on $SPY

Janet  Fed meeting cartoon

below the trading odds for the longs taken on 18 Mar 2014 ( the day before at close on the Fed day ) ,

if Fed day falls in the week of the Opex , since Jan 2000.

  • Winners : 21
  • Losers : 6
  • % Winners : 78%
  • Average Change % : 0.78
  • Median Change % : 0.68
  • Maximum Gain % : 4.70
  • Maximum Loss % : -5.23
  • Average Gain %if Winner : 1.51
  • Average Loss % if Loser : -1.77
  • Payoff Ratio 0.85
  • Average Absolute Change% : 1.56
  • Profit Factor : 3.13
  • Outlier Adjusted Profit Factor : 2.70

Below the historical instances of Fed Day falling on the Opex Week since 2000.

Date $SPY Change $SPY Change %
19-Mar-14 ?? ??
18-Dec-13 3.03 1.71
18-Sep-13 1.96 1.16
19-Jun-13 -2.25 -1.38
13-Mar-12 2.38 1.80
13-Dec-11 -1.11 -0.94
15-Mar-11 -1.4 -1.15
14-Dec-10 0.1 0.09
16-Mar-10 0.85 0.80
16-Dec-09 0.16 0.16
18-Mar-09 1.57 2.23
16-Dec-08 3.68 4.70
16-Sep-08 1.79 1.68
18-Mar-08 4.68 4.15
18-Sep-07 3.8 2.95
12-Dec-06 -0.09 -0.07
13-Dec-05 0.72 0.68
14-Dec-04 0.35 0.35
16-Mar-04 0.49 0.54
16-Sep-03 1.21 1.46
12-Aug-03 0.73 0.91
18-Mar-03 0.41 0.59
13-Aug-02 -1.32 -1.83
17-Sep-01* -4.52 -5.23
15-May-01 0.45 0.46
18-Apr-01 3.71 3.97
15-Nov-00 0.33 0.30
16-May-00 1.09 0.97

* better forget that day

for apple to apple conversion , trading odds for the fed days which won’t fall in the Opex week , since Jan 2000.

  • Winners : 50
  • Losers : 41
  • % Winners : 55%
  • Average Change % : 0.21
  • Median Change % : 0.15
  • Maximum Gain % : 4.81
  • Maximum Loss % : -2.94
  • Average Gain %if Winner : 1.07
  • Average Loss % if Loser : -0.84
  • Payoff Ratio 1.28

coclusion -> we are looking at 67 bps of out-performance on Fed days that fall during the Opex week vs that won’t fall on Opex Weeks  on an average

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