$SPX returns in Option Expiry Week Month wise since 1990

$SPX returns in Option Expiry Week Month wise since 1990

A look at historical returns for $SPX ( S&P 500 Index) during the Option Expiry Week  by month wise since 1990, as shown in the table for the Month of May the $SPX returns are
  • up 12/23 times ( 53%) of the times
  • the average change in May Option Expiry week stands at 0.15% , against the average change for any option week of 0.25%

Below the table with the details of  $SPX , % wins, Avg % , Avg Win% , Avg Loss% and Pay Off Ratio for option expiry week against each month  since 1990

$SPX Returns on Option Expiry Weeks Since 1990

Whats your seasonality play for this option expiry week in May ??
below the details of $SPX Change , Change% details during may Option Expiry Week since 1990
$SPX in May Option Expiry Week since 1990
Week Change% Week Change%
13-May-13 ?? 14-May-01 3.72
14-May-12 -4.30 15-May-00 -0.99
16-May-11 -0.34 17-May-99 -0.56
17-May-10 -4.23 11-May-98 0.05
11-May-09 -4.99 12-May-97 0.60
12-May-08 2.67 13-May-96 2.58
14-May-07 1.12 15-May-95 -1.21
15-May-06 -1.87 16-May-94 2.43
16-May-05 3.05 17-May-93 1.43
17-May-04 -0.20 11-May-92 -1.43
12-May-03 1.17 13-May-91 -0.89
13-May-02 4.89 14-May-90 0.75
avg 0.15
median 0.05
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and a happy Mothers Day to you

$SPX the day after Mothers Day since 1990

  • $SPX average change %  the day after Mothers Day since 1990 : 0.49%
  • Number of times $SPX is up the day after  Mothers Day  :16/23, 70% times
  • Average gain if $SPX closes positive the day after Mothers Day : 1.1%
  • Average loss if $SPX closes negative the day after Mothers Day : -0.89%
  • last five $SPX winning streak the day after Mothers Day   : WLWWL

$SPX the day afer Mothers Day

 

Happy Mothers Day to you !! & have a great weekend

Kentucky Derby and Stock Markets

Kentucky Derby and Stock Markets

Kentucky Derby and Stock Markets

inspired the by the post Westminster Kennel Club Stock Market, from Rocky Humbert

inline with the The “Superbowl Indicator” that has earned a dubious place in stock market forecasting lore. we at paststat are looking at “Kentucky Derby Indicator”

Here are the $SPX closing values on 1st Friday ( the day before Kentucky Derby is held , which is usually held on 1st Saturday of the May) , along with Derby Winner and Odds details.

as can be seen from the table below the 1st Friday of May of one year till the next year’s 1st Friday of May ,  SPX is up 71% of the times with an average gains of 8.5% since 1950.

Date Close Derby Winner Odds SPX Change% till next race
03-May-13 1614.42 ?? ?? ??
04-May-12 1369.1 I’ll Have Another 15.3 17.92
06-May-11 1340.2 Animal Kingdom 20.9 2.16
07-May-10 1110.88 Super Saver 8 20.64
01-May-09 877.52 Mine That Bird 50.6 26.59
02-May-08 1413.9 Big Brown 2.4 -37.94
04-May-07 1505.62 Street Sense 4.9 -6.09
05-May-06 1325.76 Barbaro 6.1 13.57
06-May-05 1171.35 Giacomo 50.3 13.18
07-May-04 1098.7 Smarty Jones 4.1 6.61
02-May-03 930.08 Funny Cide 12.8 18.13
03-May-02 1073.43 War Emblem 20.5 -13.35
04-May-01 1266.61 Monarchos 10.5 -15.25
05-May-00 1432.63 Fusaichi Pegasus 2.3 -11.59
07-May-99 1345 Charismatic 31.3 6.52
01-May-98 1121 Real Quiet 8.4 19.98
02-May-97 812.97 Silver Charm 4 37.89
03-May-96 641.63 Grindstone 5.9 26.7
05-May-95 520.12 Thunder Gulch 24.5 23.36
06-May-94 447.82 Go for Gin 9.1 16.14
07-May-93 442.31 Sea Hero 12.9 1.25
01-May-92 412.53 Lil E. Tee 16.8 7.22
03-May-91 380.8 Strike the Gold 4.8 8.33
04-May-90 338.39 Unbridled 10.8 12.53
05-May-89 307.61 Sunday Silence 3.1 10.01
06-May-88 257.48 Winning Colors 3.4 19.47
01-May-87 288.03 Alysheba 8.4 -10.61
02-May-86 234.79 Ferdinand 17.7 22.68
03-May-85 180.08 Spend a Buck 4.1 30.38
04-May-84 159.11 Swale 3.4 13.18
06-May-83 166.1 Sunny’s Halo 2.5 -4.21
07-May-82 119.47 Gato Del Sol 21.2 39.03
01-May-81 132.72 Pleasant Colony 3.5 -9.98
02-May-80 105.58 Genuine Risk 13.3 25.71
04-May-79 100.69 Spectacular Bid 0.6 4.86
05-May-78 96.53 Affirmed 1.8 4.31
06-May-77 99.49 Seattle Slew 0.5 -2.98
07-May-76 101.88 Bold Forbes 3 -2.35
02-May-75 89.22 Foolish Pleasure 1.9 14.19
03-May-74 91.29 Cannonade 1.5 -2.27
04-May-73 111 Secretariat 1.5 -17.76
05-May-72 106.63 Riva Ridge 1.5 4.1
07-May-71 102.87 Canonero II 8.7 3.66
01-May-70 81.44 Dust Commander 15.3 26.31
02-May-69 104 Majestic Prince 1.4 -21.69
03-May-68 98.66 Forward Pass 2.2 5.41
05-May-67 94.44 Proud Clarion 30.1 4.47
06-May-66 87.84 Kauai King 2.4 7.51
07-May-65 89.85 Lucky Debonair 4.3 -2.24
01-May-64 80.17 Northern Dancer 3.4 12.07
03-May-63 70.03 Chateaugay 9.4 14.48
04-May-62 66.24 Decidedly 8.7 5.72
05-May-61 66.52 Carry Back 2.5 -0.42
06-May-60 54.75 Venetian Way 6.3 21.5
01-May-59 57.65 *Tomy Lee (Eng) 3.7 -5.03
02-May-58 43.69 Tim Tam 2.1 31.95
03-May-57 46.34 Iron Liege 8.4 -5.72
04-May-56 48.51 Needles 1.6 -4.47
06-May-55 37.89 Swaps 2.8 28.03
07-May-54 28.65 Determine 4.3 32.25
01-May-53 24.73 Dark Star 24.9 15.85
02-May-52 23.56 Hill Gail 1.1 4.97
04-May-51 22.77 Count Turf 14.6 3.47
05-May-50 18.22 Middleground 7.9 24.97
avearge change% 8.50
% times up 71%

Source for the past Kentucky Derby Winner odds http://horseracing.about.com/od/history/l/blderbywin.htm

Scenario 1 : Kentucky Derby Winner paid odds of equal or less than 5

below the trading odds for $SPX longs till next one year ( or holding till next Kentucky Derby Race is held) if  Kentucky Derby winner paid less than 5 dollars for 1

  • Winners : 18
  • Losers : 14
  • % Winners : 56%
  • Average Change % : 4.58
  • Median Change % : 4.59
  • Maximum Gain % : 37.89
  • Maximum Loss % : -37.94
  • Average Gain %if Winner : 15.31
  • Average Loss % if Loser : -9.22
  • Average Gain % / Average Loss % : 1.66

Scenario 2 : Kentucky Derby Winner paid odds of more than 10 , our Kentucky Derby Indicator 🙂

below the trading odds for $SPX longs till next one year ( or holding till next Kentucky Derby Race is held) if  Kentucky Derby winner paid more than than 10 dollars for 1

  • Winners : 17
  • Losers : 2
  • % Winners : 89%
  • Average Change % : 12.51
  • Median Change % : 13.18
  • Maximum Gain % : 39.03
  • Maximum Loss % : -15.25
  • Average Gain %if Winner : 15.67
  • Average Loss % if Loser : -14.30
  • Average Gain % / Average Loss % : 1.10
  • Average Absolute Change% : 5.23

Our Kentucky Derby Indicator give a buy signal only if the following Horses with odds of more than 10 at the time writing for Kentucky Derby 2013 wins the race

  • Oxbow 25/1
  • Golden Soul 31/1
  • Mylute 14/1
  • Giant Finish 44/1
  • Overanalyze 14/1
  • Palace Malice 26/1
  • Lines of Battle 42/1
  • Itsmyluckyday 11/1
  • Falling Sky 49/1
  • Verrazano 11/1
  • Charming Kitten 32/1
  • Will Take Charge 31/1
  • Frac Daddy 15/1
  • Java’s War 22/1
  • Vyjack 43/1

SPX from 100 to 1600 in calendar days

SPX from 100 to 1600 in calendar days 

with S&P 500 Index within touching distance to 1600 , here the details , how many calender days it took to cross each hundred ( first  closing above round number),

assuming it closes above 1600 today ..( if not keep a timer 🙂 …)

$SPX Round number closings for first time

if you are trader trading the magnet effect , like  Monroe Trout who likes to trade the “magnet effect”- the tendency of markets to get to round numbers.

below the details of next day change% when ever S&P 500 Index crosses above a new big round number,

67% times up for the next day , with an average gain of 0.3% and a median change % of 0.16% when a new round number is broken for the first time 

Next day change% when $SPX closes above new round number for the first time

We know what does log mean , before you start giving gyan that above needs to plotted and calculated on log scale and we also know there exists a total returns index as well ..