The Most Wonderful Tiiiiime of the Yeeeeeeaaaaaarrrrrrr!

Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX.  The positive seasonality actually has persisted for up to 3 weeks.  Below are the results since SPX options began trading in 1984.  I have shown this table every year since 2008, and have updated the results again this year.

The stats here are extremely strong.  Have a happy (and most likely bullish) December Opex Week!

Learn Some Fed-Based Edges at the Festival of Traders

I'm going to be participating the The Festival of Traders this month for the 1st time.  It is a 2-day event that features presentations from 8 traders.

I'll be speaking about Fed-based edges in regards to numerous time-frames (from short-term to long-term, and in between).  My talk is scheduled for 5:30pm EST on Tuesday, Dec 10th.  Time not convenient?  No worries! Register using this link and recordings of all speakers will be automatically sent to you at the conclusion of the Festival.

And beyond my talk, the line-up looks very impressive.  In fact, on Wednesday 2 of the 7 guys I placed on my list of "Real Deal Traders" will be talking - Scott Andrews and Dave Landry.

This is a Quantifiable Edge I suggest you take advantage of :)

Again, the link to register is available here.  (Nothing but an email address required.)

Recent Employment Day Tendencies

The employment report is due to be released Friday morning.  News there could certainly send the market in either direction.  But anxiety about the employment report has largely been unfounded over the last year and a half.  The table below was published in Wednesday night’s subscriber letter.  It looks at how the VIX, XIV and SPX have all performed on employment days since 7/1/12.

These 17 instances have shown a strong propensity for the VIX to drop, and XIV and SPX to rally.  We’ll see how it works out today, but the recent tendency has been bullish on employment days.

VIX Closes Up For The 7th Day In A Row While SPY Is In An Uptrend

One notable bit of action is that Wednesday marked the 7th day in a row that the VIX has risen.  That is a very unusual streak.  I decided to look back at all other times the VIX had risen for 7 days in a row while SPY was above its 200ma.  Below are results of SPY assuming a 3-day holding period.

Instances are low, but so far the returns are overwhelmingly bullish.  Very little drawdown compared to both the run-up and the average trade.  This appears to be worth some consideration.

A Compelling 3-day Pullback Study

Tuesday marked the 3rd close lower in a row for SPY.  Three-day pullbacks will often trigger a few bullish studies.  The one below is the one I found most interesting.  It was featured in last night's subscriber letter.  It looked at other times that SPY had a 3-day pullback from a 50-day high, and that pullback was deep enough to put it below the 10ma, but not deep enough to see it at a 10-day closing low.  I have updated the stats table below.

 
Under these circumstances, it appears bounces have been both reliable and powerful.

A Long Term Look At Thanksgiving Wednesday

Thanksgiving has shown some pretty consistent seasonality over the years.  On Monday I showed a table breaking returns down by day of the week.  Both the Wednesday before and the Friday after have exhibited bullish tendencies while the Monday after has been somewhat bearish.  Today I decided to show a profit curve that represents simply owning the SPX from Tuesday's close through Wednesday's close.

Appears to be an impressive looking upslope.  Happy Thanksgiving!

An Updated Look At Thanksgiving Week Tendencies

Historically Thanksgiving week has shown some very strong tendencies. The last time I showed the table below on the blog was in 2010.  I decided to update it this year.

Monday and Tuesday before Thanksgiving don’t seem to carry a sizable edge. Monday’s total return was actually negative until 2008 when it posted a gain of over 6%. Wednesday and Friday surrounding Thanksgiving have shown strong upside tendencies and the Monday after has shown a downside edge.