$SPY August Opex Week Trading Strategy

$SPY August Opex Week Trading Strategy 

Caution :  Seasonality based trades never justifies a trade all by itself, but we think it deserves to be one of many tools in the trader’s toolbox.

$SPY Returns during the Monday of August Opex Week since 1993

Below the $SPY returns , assuming one is holding on to longs , on the Monday of the August Opex Week  since 1993 ( by by going long at close on the Friday of the week before Opex Friday, and exiting at Monday at close )

  • Winners : 15
  • Losers : 5
  • % Winners : 75%
  • Average Change % : 0.45
  • Median Change % : 0.51
  • Maximum Gain % : 2.12
  • Maximum Loss % : -2.47
  • Average Gain %if Winner : 0.83
  • Average Loss % if Loser : -0.67
  • Average Gain % / Average Loss % : 1.24

that’s 75% win rate with an average profit per trade of 0.45% , with max loss standing at  -2.47% .

ps: at the time of writing $SPY is marginally down by 0.17% during the after hours trading , so one wouldn’t have missed a chance to go long on Friday close ( i.e 9th Aug 2013 in this year’s case).

What happened to the rest of the week during those 5 losses on Aug Opex Week Monday ?

4 out 5 times , $SPY gained  from the close of the Friday of Opex week to the prior of Friday close , if August Opex Week Monday returns are negative.

below the table

Opex Start % Loss on Mon Prv Fri Close Fri Close Change%
13-Aug-12 -0.05 137.76 139.07 0.95
16-Aug-10 -0.05 101.7 100.97 -0.72
17-Aug-09 -2.47 92.86 94.87 2.22
12-Aug-02 -0.73 73.47 75.03 2.14
15-Aug-94 -0.03 32.96 33.03 0.21
avg -0.67 avg 0.96

on all but one occasion $SPY recouped the losses of Monday and gained further !!

$SPY August Opex Week Trading Strategy 

stitching together both the above observations , here is an August Opex Week trading strategy with a 95% win rate.

$SPY August Opex Week Trading Strategy trading strategy rules 

  • go long on the previous Friday of August Opex Week.
  • if $SPY gains on Monday , exit the longs, if not
  • hold till Friday the August Opex Expiry Day.

Below the trading odds for the above $SPY August Opex Week Bullish Pattern

  • Winners : 19
  • Losers : 1
  • % Winners : 95%
  • Average Change % : 0.86
  • Median Change % : 0.73
  • Maximum Gain % : 2.22
  • Maximum Loss % : -0.72
  • Average Gain %if Winner : 0.94
  • Average Loss % if Loser : -0.72
  • Average Gain % / Average Loss % : 1.31

Below the table with $SPY perfromance on each day during the August Opex Week since 1993.

$SPY During Aug Opex Week Since 1993

@gambulator tells us on twitter

it works in other months like  Feb, Apr or Dec too ! more details-> Friday before option expiration week

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