$SPY $TLT $GLD post August Opex Week

$SPY post August Opex Week

Option Expiraton

Below the trading odds for the $SPY , for the next 1/2/3/4/5 trading days , after August Opex Week , since 1993 

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 10 47.6 0.28 0.00 0.96 -0.34 2.83 -1.36 2.00 1.51
t+2 21 11 52.4 0.39 0.15 1.32 -0.64 2.07 -2.44 1.77 1.24
t+3 21 13 61.9 0.74 0.29 1.74 -0.88 1.97 -1.98 2.52 1.84
t+4 21 13 61.9 0.39 0.55 1.51 -1.43 1.06 -4.43 1.46 1.15
t+5 21 15 71.4 0.63 0.48 1.43 -1.39 1.03 -4.78 2.37 1.73
1st +’ve exit in 5 days 21 17 81.0 0.43 0.22 0.72 -0.77 0.93 -1.39 2.95 2.35

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

Below the trading odds for the $TLT, for the next 1/2/3/4/5 trading days , after August Opex Week , since 2002

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 12 8 66.7 0.15 0.13 0.45 -0.45 1.00 -0.87 1.73 0.80
t+2 12 9 75.0 0.59 0.46 1.04 -0.75 1.39 -1.63 3.30 2.38
t+3 12 9 75.0 0.38 0.45 1.15 -1.93 0.59 -4.43 1.44 0.99
t+4 12 9 75.0 0.64 0.68 1.25 -1.19 1.05 -3.39 2.61 1.75
t+5 12 10 83.3 0.76 0.83 1.22 -1.55 0.79 -2.44 3.11 2.13
t+10 12 11 91.7 1.70 1.85 2.04 -2.03 1.01 -2.03 9.73 6.67
1st +’ve exit in 5 days 12 11 91.7 0.24 0.36 0.48 -2.44 0.20 -2.44 1.61 1.04

 

Below the trading odds for the $GLD, for the next 1/2/3/4/5 trading days , after August Opex Week, since 2005

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 9 6 66.7 0.57 0.23 1.19 -0.66 1.79 -1.40 3.85 1.60
t+2 9 6 66.7 0.56 0.33 1.23 -0.77 1.59 -1.27 1.98 1.13
t+3 9 5 55.6 0.30 0.60 1.72 -1.48 1.16 -4.61 0.91 0.52
t+4 9 7 77.8 0.84 0.46 1.75 -2.36 0.74 -4.22 1.52 0.87
t+5 9 8 88.9 1.35 1.20 1.69 -1.38 1.23 -1.38 5.69 3.58
t+10 9 9 100.0 2.75 1.83 2.75 NA NA 1.49 NA NA
1st +’ve exit in 5 days 9 9 100.0 0.87 0.33 0.87 NA NA 0.17 NA NA

looks like everything bullish ?

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One thought on “$SPY $TLT $GLD post August Opex Week

  1. Pingback: The Whole Street’s Daily Wrap for 8/18/2014 | The Whole Street

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