talking about sequences – $SPY up for 16 times in row , post October Opex Day

$SPY performance the day after October Opex

A look at historical returns for SPDR S&P 500 Index ETF  ($SPY ) the day after October Option Expiry Day since 1997. Here are the trading odds for longs , assuming one goes long at close on the October Opex day and exits at close the next trading day .

ps: backtest performance is calculated since 1997 , as writer’s choice and to excite readers 🙂

  • Winners : 16
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 1.18
  • Median Change % : 0.74
  • Maximum Gain % : 6.01
  • Maximum Loss % : 0
  • Average Gain %if Winner : 1.18
  • Average Loss % if Loser : NA
  • Average Gain % / Average Loss % : NA
  • Average Absolute Change% : 1.67

$SPY day after October Opex Day , since 1997

suggestions for your weekend reading Anatomy of $SPY on First Trading Day of the Month : e-book

OK , there is an out-liar of 6% gainer , in the above table , minus that 6% gainers

here are the  average gains , and median gains

  • Winners : 15
  • Losers : 0
  • % Winners : 100%
  • Average Change % : 0.86
  • Median Change % : 0.73

below the details of $SPY Change , Change% details on the next trading day after October Option Expiry Day since 1993

Opex Day $SPY Close Next Date $SPY Close Change  Change %
18-Oct-13 ?? 21-Oct-13 ?? +ve? +ve?
19-Oct-12 140.32 22-Oct-12 140.34 0.02 0.01
21-Oct-11 118.77 24-Oct-11 120.23 1.46 1.23
15-Oct-10 110.57 18-Oct-10 111.11 0.54 0.49
16-Oct-09 100.31 19-Oct-09 101.14 0.83 0.83
17-Oct-08 83.69 20-Oct-08 88.72 5.03 6.01
19-Oct-07 131.6 22-Oct-07 132.36 0.76 0.58
20-Oct-06 118.11 23-Oct-06 118.65 0.54 0.46
21-Oct-05 100.13 24-Oct-05 101.68 1.55 1.55
15-Oct-04 92.46 18-Oct-04 92.8 0.34 0.37
17-Oct-03 85.26 20-Oct-03 85.9 0.64 0.75
18-Oct-02 71.31 21-Oct-02 72.54 1.23 1.72
19-Oct-01 85.14 22-Oct-01 86.82 1.68 1.97
20-Oct-00 109.65 23-Oct-00 110.13 0.48 0.44
15-Oct-99 96.9 18-Oct-99 97.61 0.71 0.73
16-Oct-98 81.36 19-Oct-98 81.64 0.28 0.34
17-Oct-97 71.4 20-Oct-97 72.42 1.02 1.43
18-Oct-96 53.08 21-Oct-96 53 -0.08 -0.15
20-Oct-95 43.19 23-Oct-95 43.09 -0.1 -0.23
21-Oct-94 33.38 24-Oct-94 33.1 -0.28 -0.84
15-Oct-93 32.71 18-Oct-93 32.63 -0.08 -0.24

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