Trading Odds for August Opex Monday’s

Trading Odds for August Opex Monday’s

Option Expiraton

Below the trading odds for the $SPY longs on August Opex Monday’s since 1993 , assuming one had gone long on Friday at close and exiting on Monday at close

  • Winners : 15
  • Losers : 6
  • % Winners : 71%
  • Average Change % : 0.43
  • Median Change % : 0.44
  • Maximum Gain % : 2.13
  • Maximum Loss % : -2.46
  • Average Gain %if Winner : 0.83
  • Average Loss % if Loser : -0.58
  • Payoff Ratio 1.44
  • Profit Factor : 3.52
  • Outlier Adjusted Profit Factor : 2.76

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 $SPY longs for 1/2/3/4/5 trading days holding period , with entry set at the second Friday of the August ( that is , data since 1993

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % PF OAPF
t+1 21 15 71.4 0.43 0.44 0.83 -0.58 1.44 -2.46 3.52 2.76
t+2 21 12 57.1 0.39 0.68 1.28 -0.79 1.62 -2.54 2.09 1.58
t+3 21 14 66.7 0.50 0.62 1.25 -1.01 1.24 -2.53 1.91 1.51
t+4 21 13 61.9 0.36 0.20 1.31 -1.19 1.10 -3.06 1.27 1.04
t+5 21 14 66.7 0.35 0.93 1.51 -1.98 0.76 -4.63 1.24 1.02
1st +’ve exit in 5 days 21 21 100.0 0.75 0.68 0.75 INF INF 0.02 NA NA

21/21 times $SPY closed higher at some point of time in the next five trading days , with an average gain of 0.75% , for the longs entered on close 2nd Friday of August .

Below the historical instances of $SPY returns over the next 1-5 trading day’s , with the entry set to the 2nd Friday of August , since Feb 1993

Date $SPY t+1% t+2% t+3% t+4% t+5%
08-Aug-14 193.24 ?? ?? ?? ?? ??
09-Aug-13 166.05 -0.12 0.17 -0.34 -1.73 -2.06
10-Aug-12 135.11 -0.05 -0.04 0.07 0.81 0.95
12-Aug-11 110.95 2.12 1.24 1.32 -3.06 -4.63
13-Aug-10 99.74 -0.05 1.18 1.36 -0.4 -0.72
14-Aug-09 91.07 -2.46 -1.69 -0.82 0.2 2.16
08-Aug-08 113.82 1.04 -0.02 -0.62 0.13 0.62
10-Aug-07 124.8 0.36 -1.17 -2.53 -1.8 0
11-Aug-06 107.56 0.08 1.27 2.12 2.38 2.9
12-Aug-05 102.37 0.62 -0.69 -0.7 -0.71 -0.49
13-Aug-04 87.42 1.03 1.6 2.64 2.35 3.07
08-Aug-03 78.9 0.38 1.29 0.77 1.05 1.37
09-Aug-02 72.06 -0.74 -2.54 1.01 2.41 2.11
10-Aug-01 92.89 0.02 -0.01 -0.88 -0.54 -2.13
11-Aug-00 113.52 1.27 1.19 0.83 1.89 1.55
13-Aug-99 101.51 0.44 1.1 0.37 -0.44 0.56
14-Aug-98 79.91 2.13 4 3.74 3.13 2.3
08-Aug-97 69.36 0.74 -0.88 -1.17 -0.81 -3.85
09-Aug-96 48.32 0.75 -0.06 0.29 0.1 0.95
11-Aug-95 39.76 0.91 0.7 0.98 0.83 0.93
12-Aug-94 32.27 -0.03 0.68 0.62 0.28 0.22
13-Aug-93 30.65 0.55 0.88 1.44 1.44 1.5

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One thought on “Trading Odds for August Opex Monday’s

  1. Pingback: The Whole Street’s Daily Wrap for 8/11/2014 | The Whole Street

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