$SPY 1% down days ahead of Opex and post Fed Minutes

$SPY 1% down days ahead of Opex and post Fed Minutes

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes

small sample sizes in both cases ,

1) here are the odds for $SPY, when $SPY falls by more than 1% the day after fed minutes release , since 2009

odds for $SPY longs , since 2009 , when falls by more than 1% post fed minutes
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 12 3 25.0 -0.53 -0.53 0.71 -0.95 0.75 -3.01 0.06
t+2 12 5 41.7 -0.94 -0.10 1.22 -2.47 0.49 -7.09 0.12
t+3 12 7 58.3 -0.73 0.39 1.04 -3.20 0.33 -8.19 0.28
t+4 12 6 50.0 -0.18 0.13 2.41 -2.76 0.87 -4.66 0.44
t+5 12 7 58.3 0.20 0.82 2.76 -3.40 0.81 -6.95 0.74
1st -‘ve exit in 5 days % 12 11 91.7 0.72 -0.88 -0.97 1.99 0.49 1.99 2.45

9/12 times $SPY had fallen the next trading days by an average of 53 bps , and a median of 53 bps

below the prior instances of $SPY falling by more than 1% post fed minutes release , since 2009 , and the $SPY returns for the next 1/2/3/4/5 trading days

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 237.57 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
07-Apr-16 194.32 -1.20 0.27 0.03 0.97 1.99 1.99 1.99 5
07-Jan-16 183.95 -2.40 -1.10 -1.00 -0.20 -2.69 -1.09 -1.10 1
20-Aug-15 191.17 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
09-Oct-14 178.00 -1.98 -1.14 -2.77 -2.61 -3.27 -3.36 -1.14 1
10-Apr-14 167.56 -2.10 -0.90 -0.12 0.57 1.62 1.76 -0.90 1
17-May-12 114.80 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
23-Nov-11 101.17 -2.21 -0.19 2.70 2.99 7.23 7.22 -0.19 1
20-May-10 90.61 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
21-May-09 73.69 -1.44 -0.21 2.34 0.52 1.92 3.72 -0.21 1
19-Feb-09 64.11 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1
07-Jan-09 74.35 -3.00 0.41 -1.74 -4.10 -3.93 -6.95 -1.74 2

highlighted in red is the only instance , since 2009 , when $SPY failed to close lower than the entry , over next 5 trading days .

2) odds for $SPY, when $SPY falls by more than 1% ahead monthly expiry day, since 2009

odds for $SPY longs , since 2009 , when $SPY falls by more than 1% ahead of monthly expiry day
Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF
t+1 15 4 26.7 -0.55 -0.33 0.84 -1.06 0.80 -3.01 0.15
t+2 15 6 40.0 -0.64 -0.70 1.54 -2.09 0.74 -7.09 0.19
t+3 15 9 60.0 -0.21 0.26 1.23 -2.37 0.52 -8.19 0.46
t+4 15 9 60.0 0.12 0.99 1.77 -2.35 0.75 -4.66 0.81
t+5 15 9 60.0 0.39 1.01 2.11 -2.20 0.96 -4.73 1.12
1st -‘ve exit in 5 days % 15 13 86.7 0.59 -0.36 -0.99 2.07 0.48 2.63 2.20

11/15 times $SPY had fallen by an average of 55 bps , on the day of expiry day , when on prior day $SPY had fallen by more than 1% , since 2009 .

below the prior instances of $SPY falling by more than 1% ahead of expiry day since 2009

Date Close t% t+1% t+2% t+3% t+4% t+5% 1st -‘ve exit in 5 days % # 1st -‘ve cls
18-Oct-18 276.40 -1.44 ?? ?? ?? ?? ?? ?? ??
17-Aug-17 240.64 -1.56 -0.16 -0.08 0.97 0.60 0.37 -0.16 1
17-Dec-15 196.36 -1.52 -1.77 -0.96 -0.06 1.18 1.01 -1.77 1
20-Aug-15 193.55 -2.09 -3.01 -7.09 -8.19 -4.66 -2.30 -3.01 1
17-Jul-14 181.41 -1.14 1.02 0.83 1.27 1.50 1.50 1.50 5
15-Aug-13 150.92 -1.40 -0.33 -0.97 -0.48 -1.09 -0.19 -0.33 1
20-Jun-13 145.15 -2.48 0.32 -0.95 0.00 0.99 1.59 -0.95 2
17-May-12 116.55 -1.48 -0.86 0.85 1.02 1.08 1.28 -0.86 1
17-Nov-11 107.49 -1.59 -0.11 -2.01 -2.39 -4.55 -4.73 -0.11 1
18-Aug-11 100.60 -4.31 -1.63 -1.55 1.69 3.12 1.55 -1.63 1
19-Aug-10 92.46 -1.74 -0.32 -0.70 -2.18 -1.80 -2.46 -0.32 1
20-May-10 92.16 -3.78 1.46 0.16 0.26 -0.34 2.99 -0.34 4
17-Dec-09 92.41 -1.20 0.56 1.58 1.95 2.15 2.63 2.63 5
19-Nov-09 92.23 -1.30 -0.36 0.91 1.07 1.42 -0.23 -0.36 1
19-Mar-09 66.36 -1.24 -2.11 4.92 2.85 3.93 6.05 -2.11 1
19-Feb-09 65.47 -1.08 -0.97 -4.52 -0.90 -1.68 -3.27 -0.97 1

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