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Mark Brown wrote:
> What do you
> think the largest move has been option expiration to option
> expiration? Up or Down? It's up 15% and down has only been 9%.
That piqued my curiosity so I did a study to check how much the SPX is
likely to move in a month. It tests every day from 1962 to present (not
just expiration days) and measures the moves over the next 22 trading
days (my proxy for a month). It finds the highest high, the lowest low
and the net change during the 22 days.
Here are the results. All numbers are in percent. About the rounding for
the pcnt move column... a 10.1% move goes in the 11% bin. A -10.1% move
goes in the -11% bin. A high in the 0% bin means the price never went
higher during the 22 days.
22 trading day moves, 1962-1999
pcnt probability of move
pcnt -------------------------
move high low net change
22 0.02 0.00
21 0.04 0.02
20 0.07 0.02
19 0.06 0.03
18 0.07 0.07
17 0.12 0.08
16 0.15 0.10
15 0.19 0.07
14 0.29 0.10
13 0.41 0.33
12 0.83 0.30
11 1.04 0.67
10 1.75 1.00
9 2.27 1.38
8 3.74 1.94
7 5.45 3.00
6 8.41 4.43
5 11.45 6.77
4 15.27 8.41
3 16.00 10.26
2 17.03 11.06
1 14.54 10.21
0 0.79 1.60 0.00
-1 23.23 9.02
-2 19.09 8.55
-3 15.95 6.55
-4 13.01 4.55
-5 7.97 3.29
-6 5.32 2.31
-7 3.73 1.90
-8 3.17 1.06
-9 1.90 0.50
-10 1.42 0.56
-11 0.81 0.47
-12 0.85 0.21
-13 0.43 0.15
-14 0.49 0.22
-15 0.34 0.07
-16 0.18 0.08
-17 0.18 0.05
-18 0.08 0.01
-19 0.02 0.00
-20 0.00 0.01
-21 0.00 0.02
-22 0.00 0.04
-23 0.00 0.03
-24 0.01 0.03
-25 0.00 0.02
-26 0.00 0.00
-27 0.00 0.00
-28 0.01 0.02
-29 0.01 0.02
-30 0.01 0.00
-31 0.03 0.00
-32 0.03 0.00
-33 0.08 0.00
-34 0.02 0.00
I was just about to hit the send button when I saw Gary Funck's post:
> The actual figures for a 75 trading day hold
> (without regard to expiration) are slightly higher than that
> for the years 1990-99. The largest 75 day close-to-close downside
> was -17.8% set in 9/28/1990 and +29.6% set in 1/28/99.
So, I ran it again for 75 days, 1990-present. I got the same numbers (in
the net change column) as Gary.
75 trading day moves, 1990-1999
pcnt probability of move
pcnt -------------------------
move high low net change
34 0.04 0.00
33 0.00 0.00
32 0.04 0.00
31 0.00 0.00
30 0.20 0.08
29 0.12 0.12
28 0.08 0.12
27 0.08 0.08
26 0.40 0.12
25 0.68 0.20
24 0.24 0.40
23 0.32 0.28
22 0.44 0.52
21 0.72 0.24
20 0.88 0.24
19 0.72 0.88
18 0.84 0.84
17 1.52 0.96
16 1.56 1.04
15 2.15 1.36
14 2.39 2.23
13 3.51 2.19
12 5.03 2.87
11 4.91 3.99
10 5.55 4.15
9 5.83 4.31
8 7.90 4.75
7 7.18 4.47
6 8.50 5.51
5 9.46 5.51
4 10.18 7.26
3 7.82 8.66
2 5.39 8.10
1 5.03 6.30
0 0.32 1.52 0.00
-1 19.03 4.79
-2 15.08 3.83
-3 12.33 2.91
-4 11.09 2.51
-5 9.62 1.76
-6 7.78 1.12
-7 6.07 0.92
-8 3.83 0.72
-9 2.75 0.52
-10 2.51 0.60
-11 1.52 0.52
-12 0.96 0.20
-13 0.40 0.52
-14 0.88 0.36
-15 0.88 0.32
-16 0.88 0.24
-17 0.44 0.24
-18 0.84 0.16
-19 0.64 0.00
-20 0.40 0.00
-21 0.36 0.00
-22 0.08 0.00
--
Dennis
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