Daily Commentary - Posted on Saturday, November 20, 2010, 10:39 PM GMT +1

3 Comments


Nov Saturday 20

Thanksgiving Day Week

Apologies for the posting hiatus during the last week (I’m currently working on setting up a charitable project).

The S&P 500 rose 3.04 (0.25%) on Friday to score a fractional gain of 0.04% for November’s option expiration week. This was the 15th out of the last 21 occurrences that the index showed a positive performance during November’s option expiration week, and the 9th out of the last 21 occurrences that the index posted its highest close at the final session of the week (see my last posting November Option Expiration and Year-End Rally ?).

The S&P 500 is up 0.04% on the week (option expiration week), up 1.40% month-to-date, up 5.13% quarter-to-date, up 16.40% semiannual-to-date and up 7.59% year-to-date.

Next week is a holiday shortened Thanksgiving Day week, regularly a positive time frame for the markets. Table I below shows the S&P 500’s performance during Thanksgiving Day week (since 1950) where the S&P 500 was up

  • week-to-date (‘Up Wtd‘),
  • month-to-date (‘Up Mtd‘),
  • quarter-to-date (‘Up Qtd‘),
  • semiannual-to-date (‘Up Std‘), and
  • year-to-date (‘Up Ytd‘)

on the Friday prior to Thanksgiving (celebrated on the 4th Thursday in November), regularly November’s option expiration (except when the first day of November is a Friday).

When the S&P 500 was up the week before Thanksgiving and/or up month-to-date, quarter-to-date, semiannual-to-date, year-to-date the Friday prior to Thanksgiving, chances for a positive performance during Thanksgiving Day week are (again) significantly better then the market’s at-any-time chances (of 56.57%) for a positive weekly performance, the median (weekly) return of 0.85% significantly surpasses the respective market’s at-any-time median weekly return of 0.29%, and historically downside potential has always been limited (maximum loss -2.36% for any of those setups listed above).

Table II below shows the S&P 500’s (weekly) performance during Thanksgiving Day week (‘Weekly Returns‘), the number of sessions (‘No. of sessions‘), the maximum gain (‘Max. Gain‘) and maximum loss (‘Max. Loss‘) during the week (close-to-close basis), and the respective previous (‘Prev. Week‘) and next week’s (‘Next Week‘) performance, assumed one went long on close of Friday prior to Thanksgiving where the S&P 500 was up month-to-date in the past.

(* no close below trigger day’s close during Thanksgiving Day week)

Interesting to note that with respect to Thanksgiving Day week where the S&P 500 was up month-to-date on close of Friday prior to Thanksgiving

  • the S&P 500 showed a positive weekly performance on 27 out of the last 37 occurrences (or 72.97% of the time) ;
  • did not post a single lower close below option expiration’s close on 15 out of the last 37 occurrences ; and finally
  • posted a weekly loss greater than -1.0% on only 3 occurrences (max. loss -1.56%), but a weekly gain greater than +1.0% on 18 occurrences.

Conclusions:

From a statistical and historical point of view, there is a good chance (and a significantly above-average expectancy as well) that the market will probably continue its up-move during Thanksgiving Day week.

Successful trading,

Frank

Disclosure: No position in the securities mentioned in this post at time of writing.

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Remarks: Due to their conceptual scope – and if not explicitely stated otherwise – , all models/setups/strategies do not account for slippage, fees and transaction costs, do not account for return on cash and/or interest on margin, do not use position sizing (e.g. Kelly, optimal f) – they’re always ‘all in‘ – , do not use leverage (e.g. leveraged ETFs), do not utilize any kind of abnormal market filter (e.g. during market phases with extremely elevated volatility), do not use intraday buy/sell stops (end-of-day prices only), and models/setups/strategies are not ‘adaptive‘ (do not adjust to the ongoing changes in market conditions like bull and bear markets).

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Disclaimer

The information on this site is provided for statistical and informational purposes only. Nothing herein should be interpreted or regarded as personalized investment advice or to state or imply that past results are an indication of future performance. The author of this website is not a licensed financial advisor and will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on the content of this website(s). Under no circumstances does this information represent an advice or recommendation to buy, sell or hold any security.

I may or may not hold positions for myself, my family and/or clients in the securities mentioned here. Actions may have been taken before or after information is presented, and any opinions expressed in this site are subject to change without notice.

(Data courtesy of MetaStock , and for data import, testing, surveys and statistics I use MATLAB from MathWorks)

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Comments (3)

 

  1. […] This post was mentioned on Twitter by Frank Hogelucht, Turkish Actuary , Finance Reader, Actuary, Aktuerya and others. Aktuerya said: New blog post: Thanksgiving Day Week URL: http://bit.ly/d0lzdF ($$ $SPX $ES_F $NDX $NQ_F): New blog post: Th… http://bit.ly/9zwlDK […]

  2. BookingAlpha says:

    I opened a nice weekly iron condor Friday on an Index expecting results for Thanksgiving week similar to what you are depicting. I love you statistical info and have followed you for a long time. Thanks for the work you do and keep up the great work.

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