$SPY post June Opex – Bearish

$SPY post June Opex – Bearish

$SPY post June Opex Since Y2K

below the $SPY returns for the next 1/2/3/4/5 /10/20 trading days , since Y2K , from the cloe of June Opex

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1 15 5 33.3 -0.33 -0.12 0.51 -0.75 0.68 -2.99 0.17 -1.35
t+2 15 6 40.0 -0.33 -0.29 0.72 -1.03 0.70 -2.92 0.32 -1.07
t+3 15 9 60.0 -0.22 0.18 0.66 -1.55 0.43 -2.24 0.61 -0.72
t+4 15 6 40.0 -0.44 -0.26 0.79 -1.26 0.62 -3.86 0.27 -1.24
t+5 15 3 20.0 -0.87 -0.32 0.62 -1.24 0.50 -3.45 0.06 -2.66
t+10 15 7 46.7 -0.48 -0.67 2.10 -2.75 0.77 -8.52 0.52 -0.58
t+20 15 8 53.3 -0.81 0.71 2.42 -4.50 0.54 -17.21 0.52 -0.60
1st +’ve exit in 5 days 15 12 80.0 -0.06 0.18 0.37 -1.77 0.21 -3.45 0.71 -0.20
1st -‘ve exit in 5 days 15 15 100.0 0.84 -0.66 -0.84 NA NA NA INF 4.24

15/15 times  $SPY closed lower than the current close at some point of time in the next five trading days .. with an average loss of 84 basis points at the 1st negative close within in the next five trading days.

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the historical returns of  ” $SPY post June Opex ” , since Y2K

Date Adj Close t+1% t+2% t+3% t+4% t+5% 1st -‘ve (%) exit in 5 days
19-Jun-15 211.42* ?? ?? ?? ?? ?? ??
20-Jun-14 193.10 -0.03 -0.64 -0.19 -0.26 -0.06 -0.03
21-Jun-13 153.74 -1.26 -0.31 0.67 1.26 0.85 -1.26
15-Jun-12 126.81 0.20 1.17 1.00 -1.27 -0.50 -1.27
17-Jun-11 117.61 0.51 1.89 1.28 0.99 -0.19 -0.19
18-Jun-10 101.39 -0.29 -1.93 -2.24 -3.86 -3.45 -0.29
19-Jun-09 81.95 -2.99 -2.92 -2.07 0.05 -0.21 -2.99
20-Jun-08 114.08 -0.10 -0.29 0.18 -2.54 -3.08 -0.10
15-Jun-07 130.10 -0.12 0.13 -1.27 -0.71 -1.65 -0.12
16-Jun-06 104.03 -0.79 -0.45 0.29 -0.15 -0.17 -0.79
17-Jun-05 99.49 0.03 0.09 0.17 -1.24 -1.97 -1.24
18-Jun-04 91.33 -0.38 0.12 0.99 0.67 0.18 -0.38
20-Jun-03 78.68 -1.03 -0.93 -1.92 -0.65 -1.79 -1.03
21-Jun-02 77.23 0.52 -1.74 -1.58 0.14 -0.32 -1.74
15-Jun-01 93.51 -0.49 -0.05 0.47 1.61 0.82 -0.49
16-Jun-00 111.25 1.29 0.92 0.88 -0.66 -1.51 -0.66

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