Tuesday, December 31, 2013

Should You Quit Trading Early Today?

The table below is from a study I showed in last night’s subscriber letter.  It shows how SPY has performed every year, during the last 15 minutes of trading for the year.

On average SPY has lost 0.25% in the last 15 minutes of trading.  And if you just look at the losers, the average loss was 0.345%.  Last year was the 1 big up year (excitement over avoiding the Fiscal Cliff?).  If you are a daytrader with a long position, this might be a good day to close up shop 15 minutes early…

Friday, December 27, 2013

VXO Is Suggesting An Immediate Pullback - Or None At All

Thursday we again saw the VIX and VXO close well below their recent mean.  Such stretches suggest a collapse in fear among investors.  The study below was last seen in the 10/21/13 subscriber letter. It looks for stretches of 15% or more that have persisted for three days.

Based on the stats table there appears to be a downside inclination. I find the note at the bottom of the study to be especially interesting. Nearly every case has experienced an almost immediate pullback, but those that didn't went without pulling back for a long time.

Friday, December 20, 2013

'Twas 3 Nights Before Christmas (updated Nasdaq version)

I’ve been posting and updating the “Twas 3 Nights Before Christmas” study on the blog here since 2008.  The study will kick in at today’s close.  This year I will again show the Nasdaq version of the study.  While all the major indices have performed well during this period, the Nasdaq Composite stands out as the big winner.

The stats in this table are strong across the board, and the note at the bottom shows reliability that has been nothing short of incredible.  Traders may want to keep this one in mind over the next couple of weeks.

Monday, December 16, 2013

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!

Monday, December 9, 2013

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.)

Friday, December 6, 2013

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.

Thursday, December 5, 2013

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.

Wednesday, December 4, 2013

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.