Friday, January 20, 2012

When the Market Closes Strong Just Prior to Op-Ex Day

Despite the negative seasonality that is typical during January op-ex and MLK week (which are often the same) the market has continued to rise and closed Thursday at a new rally high. The study below was last seen in the 2/18/11 subscriber letter. It examines performance when the SPX closes in the top 10% of its 10-day range on the Thursday before op-ex. Stats have been updated.

The numbers here are fairly compelling and suggest a possible downside edge.  Prior to 2003 the edge was less pronounced but still negative.

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