View: Opex Seasonality Analysis | Trade Flight Plan
Opex Seasonality Analysis | Trade Flight Plan
Happy New Year! It may not be Open Season, but we are approaching January Opex Season. We bring you another episode in our fun game of Math-You-Won’t-Find-Anywhere-Else, only this time it’s Opex Seasonality.
We compiled data from our Personal Trading Almanac to build a profile of how the major indexes perform on average each options expiration week. The data goes back 22 years and sniffs out the opex week price action from more than 5,500 data points.
What’s interesting is that January Opex has one of the few bearish opex week tendencies of the year. Over the past 22 years, the S&P 500s closed opex week in negative territory 63% of the time. Of course, this year can very well be different. Employment is stabilizing, the markets are shrugging off Euro debt zones, and it’s an election year. But for those about to short, stay thirsty my friends…
Actually, not really – stops above current resistance levels can easily get hit and trigger the next bull stampede. But, if……SPY option max pain for Jan opex is 125,…you can spot the risk:reward,…the markets break down,…we fail to make new swing highs,…and you need another reason to short,we might as well have some fun with seasonality.
Turbo geeks can click the Google spreadsheet for more data.
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S&Ps have a tendency to be bullish ~80% of the time going into June quarterly end and July 4 holiday.
S&Ps have a slight bearish tendency ~60% of the time after July 4 holiday.
S&Ps have a slight bullish tendency ~ 60% of the time going into July Opex.
July 4 and July opex seasonality trends not strong enough, but end of June quarterly cycle can be a nice one. This year it waited until last night. 6/29/12