Option Claus Rally?
Taking a little break from RSI(2) geekery to get into the Christmas spirit.
This is a follow up to Quantifiable Edges’ excellent Option Claus post. In a nutshell, over the last 24 years, the week prior to options expiration (this week) in December (this month) has been very strong for the stock market.
To demonstrate the consistency of the observation, the following chart assumes an investor only invested in the S&P 500 on Options Claus Week (from the close on the last day of the previous week) from 1984 to date.
[logarithmically-scaled]
Of course, yesterday wasn’t a great way to start this year’s run. Remember, these are just probabilities folks (and is this case, probabilities with a very low numbers of occurrences).
Happy Trading,
ms
P.S. my numbers don’t match up perfectly with QE’s, but are the same in spirit. We should take the time to figure out the small discrepancy, but hey, it’s Christmas time and the fireplace is calling.
P.S.S. QE’s post inspired me to look at ALL options expiration weeks and in all months it’s much stronger than the week prior or after. More to follow on this.
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Filed under: Options-Expiration, Time-based | 2 Comments
Just wanted to interrupt your Santa revelry with a ho-ho-ho: the 5-10-20 indicator flashed a Buy signal today, it’s first since Sep 3. It spent 69 trading days on a Sell, an unusually long period. Time to go long.