Selling the bounce instead of buying the dip seemed to be the prevailing theme over the course of the last week, and the OpEx (Option Expiration) session on Friday, November 18 (as expected) was not different (see SPY going into OPEX on Weakness). Early strength on GLOBEX was sold into shortly before and right after the open, and the SPY not only posted a 20-day intraday low, but finally closed at a 20-day (and month-to-date) low as well, down -3.70% week-to-date, down -2.81% month-to-date, and not being up at least once week-to-date over the course of the last week.

But historically weakness the week before Thanksgiving had bullish implications at least over the course of the then following (Thanksgiving) week, and a couple of bullish setups were triggered on the close of Friday, November 18.

The last three times (of course no statistically significant sample size, but nevertheless something to keep in mind) the S&P 500 did not close up once week-to-date the week before Thanksgiving, the close on the last session of the week immediately preceding Thanksgiving (in this event Friday, November 18) marked the lowest close for the remainder of the year (2008, 2004, 2003). Stats below ...

Likewise triggered: The S&P 500 did not close above the previous session's high at least once over the course of the week immediately preceding Thanksgiving.

Historically probabilities and odds are tilt in favor of higher prices (and limited downside potential) over the course of Thanksgiving week. Out of 13 occurrences (since 1930), the S&P 500 closed at a higher level on the two sessions immediately preceding Thanksgiving (in this event on Tuesday, November 22 and Wednesday, November 23) on 11 occurrences (thereof the last 9), and was never down 1.0%+ while being up 1.0%+ week-to-date on 9 occurrences at the end of Thanksgiving week (in this event on Friday, November 25).

Last but not least with respect to the Thanksgiving calendar effect: When the SPY (S&P 500 SPDR) closed out the week immediately preceding Thanksgiving with a loss (lower week-to-date on close of the last session of the week only, not necessarily on every session as required for the first setup on the top of the page), probabilities and odds are tilt (again) in favor of higher prices over the course of Thanksgiving week. Stats below ..

Being triggered in 6 out of the last 21 years, it is noteworthy that the SPY not only closed at a higher level the session immediately preceding Thanksgiving ('3 sessions later') and right at the start of the then following week as well ('5 sessions later') on all 6 occurrences, but did not post a lower close over the course of the then following five sessions on the last 4 occurrences, and did not close lower 1.0%+ on any occurrence and any session over the course of the then following five sessions as well (downside potential was almost non-existent).

Last but not least, and likewise triggered: The CBOE Equity P/C Ratio surged to a high 0.9149 on Friday's close, not only closing at the highest level of the week, but up the third day in a row as well.

Since 1990 when the CBOE Equity P/C Ratio went up on three consecutive sessions and surged to its highest level of the week on OpEx (Option Expiration), this has been a good indication that a short-term bottom was close. Although returns over the course of the then following two sessions are mixed, the SPY closed higher three days later (in this event on Wednesday, November 23) on all 8 occurrences, and was never down 1.0%+ 3 to 5 sessions later.

Conclusion(s): Taking into account the bullish end-of-the-year seasonality, the positive calendar effect triggered by the stock market weakness during the week immediately preceding Thanksgiving, and the short-term bullish implications of a CBOE Equity P/C Ratio surging to its highest level of the week on OpEx, probabilities and odds are tilt in favor of an at least short-term bottom and higher prices over the course of the following Thanksgiving week.

Have a profitable week,

Disclosure: No position in the securities mentioned in this post at time of writing.