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As I stated below I am working on other studies which I
feel will substantiate my findings.
Norman E.
William DuBroff wrote:
>
> It seems to me that one must approach this type of correlation and associated
> statistics with care. Specifically, especially since the trend has been biased
> upward during the period examined, it would be important to ascertain whether the
> positive OEW trend is statistically significant vis-a-vis other weeks during the
> period. And whether a positive OEW trend is maintained during negative periods.
>
> Bill
>
> "Norman E. Phair" wrote:
>
> > Dan:
> >
> > I have taken a cursory look at other weeks in the month
> > and can say that
> > option expiration week (OEW) is significant in its
> > bias to the upside. I am working on what happened the
> > week before and the week after. Also if OEW was up
> > significantly does that increase the odds that the next
> > week will be down.
> > Ira mentioned about what happens the Monday after the
> > Friday. That is another study in itself. The 2 days at
> > the end of the month and the 4 or 5 days of the new
> > month is another study I plan to look at. All of this
> > takes time and a lot of work. You get kind of punch
> > drunk after working with figures for so long. If you
> > do not get an answer to your question
> > and I hope you do, I will not tell anyone if you want
> > to do the study and report back to the group. I am
> > sufficiently convinced that the information on OEW is
> > an important statistic.
> >
> > I plan to go back to 1980 to further validate the
> > information and if any one is interested in the results
> > e-mail me privately and I will send you the
> > information.
> >
> > Norman E.
> >
> > TheGonch at MediaKat wrote:
> > >
> > > Since we've been in a long bull market, with pullbacks of short duration,
> > > these numbers mean nothing by themselves. Anyone have the statistics for an
> > > average week during the same periods?
> > >
> > > DanG
> > >
> > > "Norman E. Phair" wrote:
> > >
> > > > STOCKS; OPTION EXPIRATION WEEK.
> > > >
> > > > I read an article some time ago that stated option
> > > > expiration week tends to have an upward bias.
> > > > Tradehard made the following statement on June 17th:
> > > >
> > > > > Tomorrow is the quarterly expiration of options on stocks, stock indexes
> > > > > and stock index futures. Stocks over the past five years have generally
> > > > > moved higher in the week of the triple-witching options expiration.
> > > > >
> > > > > http://www.tradehard.com/index2.cfm
> > > >
> > > > the results for the last 5 years for All months and
> > > > the last 12 years through this month are below.
> > > >
> > > > Last 5 years.
> > > >
> > > > Up 35 weeks or 56%
> > > > Down 13 weeks or 21%
> > > > Unch. 14 weeks or 23% ( Unchanged is a net change of
> > > > less that .05%
> > > >
> > > > >From 1988 to date.
> > > >
> > > > Up 75 weeks or 54%
> > > > Down 35 weeks or 26%
> > > > Unch. 28 weeks or 20%
> > > >
> > > > The best 3 months: Jan, Apr and Dec.
> > > > The worst 3 months: June, July and Aug.
> > > >
> > > > Triple witching only:
> > > >
> > > > Last 5 1/2 years
> > > >
> > > > Up 15 weeks or 68%
> > > > Down 2 weeks or 9%
> > > > Unch. 5 weeks or 23%
> > > >
> > > > >From 1988 to date:
> > > >
> > > > Up 25 weeks or 54%
> > > > Down 10 weeks or 22%
> > > > Unch. 11 weeks or 24%
> > > >
> > > > A week to watch in the future. There is an old saying:
> > > > If you p--- into an east wind you will get wet. Why
> > > > did I do the study. I got wet. Fair warning. Mark your
> > > > calendar.
> > > >
> > > > Norman E.
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