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Frank Hogelucht

Frank Hogelucht

Individual investor, trading for a living since 2007, taking a statistical approach in combination with historical market data and addicted to developing market-neutral algorithmic trading…

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Thanksgiving Day Week

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

Cartoon
www.CartoonStock.com

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 November's option expiration, the 3rd Friday in November.

Periodic Returns

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.

Key Performance Metrics

(* 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,

 

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