Daily Commentary, Studies - Posted by on August 21, 2010

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Option Expiration and Down-Days

In full compliance to historical probabilities and odds (see SPY's Option Expiration Seasonalities), the SPY posted another down day on option expiration, on a back-to-back session to Thursday's serious down-day (-1.74%). In addition, trading lower

Daily Commentary, Studies - Posted by on August 20, 2010

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SPY's Option Expiration Seasonalities

Ahead of Friday's option expiration the SPY (S&P 500 SPDR.) posted a serious down-day, losing -1.74% on the close. Table I below shows the SPY's performance (since 01/01/1990) on option expiration assumed one went long on close ... Strat. #1:

Daily Commentary - Posted by on August 17, 2010

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XLE vs. XLU on August 17, 2010

On a Twitter update on Monday, August 16 (see the Twitter Feed box on the right), I alluded to a favorable pairs trading (buying) opportunity in XLE (Energy Select Sector SPDR) vs. XLU (Utilities Select Sector SPDR), meaning long XLE and selling sho

Studies, Trading Strategies - Posted by on August 16, 2010


Pairs Trading Part II – SPY vs. RTH

One of the most interesting findings dealt with in a previous posting (Pairs Trading (ETFs) was the RTHs (Retail HOLDR.) salient feature of being a favorable candidate for a potential mean-reversion strategy in conjunction with a major market or sec

Daily Commentary - Posted by on August 13, 2010


SMH vs. XRT on AUG. 13, 2010

One of those favorable short-term reversal opportunities ( see Pairs Trading (ETFs) ) may be provided on today's session (August 13, 2010), assumed one would've bought the pair SMH vs. XRT (Semiconductor HOLRDS. vs. S&P 500 Retail SPDR) on close

Studies, Trading Strategies - Posted by on August 9, 2010


Pairs Trading (ETFs)

First of all thanks for your patience, and from now on I'll be posting again on a more frequent basis. And furthermore I'd like to advise those interested in quantitative research of a new blog I just came across: Engineering Returns by Frank Hassle