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Daily Commentary - Posted by on September 30, 2010

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The First Session of a Month

In my previous posting ( The First and the Last Session of a Month ) I showed that long-term, but most recently as well, probabilities (for a higer/lower close) and odds are (partly heavily) tilt in favor of lower prices during and at the close of th

Daily Commentary, Studies - Posted by on September 29, 2010

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The First and the Last Session of a Month

We're currently entering into (the middle of) the so-called 'turn-of-the- month' time frame, regularly defined as the last two sessions (sometimes the last session only) and the first three sessions of each month. You'll find a lot of research on

Studies - Posted by on September 26, 2010

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Permanent Open Market Operations (POMO)

Up to now I have never been tracking the Permanent Open Market Operations (or "POMO") activity of the FED (it wasn't in my arsenal of seasonalities like the release dates of the Job Report and the Consumer Price Index, or the FED announcement session

Daily Commentary, Studies - Posted by on September 23, 2010

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Down after Labor Day – Revisited

A couple of days ago I posted about the market's short- and intermediate-term performance in the event the S&P 500 closed lower the session immediately following the Labor Day (exchange) holiday ( see September’s and Labor Day’s Almanac ). Ju

Studies - Posted by on September 21, 2010

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The Power of Momentum

Most recently Michael Stokes at MarketSci had – as always – an excellent and very inspiring posting about Bank of England Andrew Haldane's The Power of Momentum Strategy, (a couple of days) before picked up and discussed by Felix Salmon and Econo

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

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SPY 2 up before FOMC session

With US major market indexes almost going vertical (up), historical occurrences (e.g. seasonalities like September's triple witching) and respective probabilities and odds (which were heavily lopsided in favor of the downside on Monday, September 20)

Daily Commentary, Studies - Posted by on September 18, 2010

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September Seasonalities and OE's Price Pattern

Besides the fact that next week will be the week immediately following options expiration which historically shows a (significantly) negative tendency (see my posting September’s Triple Witching), there're at least two other seasonalities as well