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I was interested in how the previous five days of each option expiration
for the last twelve months correlated to the current dec option
expiration with the idea of being able to discern a pattern for the next
few weeks. The highest correlated five day periods to the previous five
days of the recent expiration were for feb(83.52% ), aug(76.87%) and
oct(87.48%) The figures in the column under 1st fri, 2nd fri, and 3rd fri
measure the change in the OEX five days later from that months expiration
date. The figure in the last column (current) represent the correlation
to the current five days after expiration to the three expirations
mentioned. So far the february expiration is continuing to show the
highest correlation (51.26%)
For What Its Worth!
Ron McEwan.
Change in OEX 1,2,3 fri after expiration
correl 1st fri 2nd fri 3rd fri current
correlation
12/20/96 -47.90%
1/17/97 -4.63%
2/21/97 83.52% -1.61% -0.09% -1.77%
51.26%
3/21/97 59.01%
4/18/97 -13.50%
5/16/97 41.72%
6/20/97 -13.88%
7/18/97 37.87%
8/15/97 76.87% 3.12% -0.05% 3.62%
-43.04%
9/15/97 1.92%
10/17/97 87.48% -0.93% -3.54% -2.28%
-0.25%
11/21/97 -28.64%
12/19/97 -1.93%
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