• 396 days Will The ECB Continue To Hike Rates?
  • 396 days Forbes: Aramco Remains Largest Company In The Middle East
  • 398 days Caltech Scientists Succesfully Beam Back Solar Power From Space
  • 798 days Could Crypto Overtake Traditional Investment?
  • 803 days Americans Still Quitting Jobs At Record Pace
  • 805 days FinTech Startups Tapping VC Money for ‘Immigrant Banking’
  • 808 days Is The Dollar Too Strong?
  • 808 days Big Tech Disappoints Investors on Earnings Calls
  • 809 days Fear And Celebration On Twitter as Musk Takes The Reins
  • 811 days China Is Quietly Trying To Distance Itself From Russia
  • 811 days Tech and Internet Giants’ Earnings In Focus After Netflix’s Stinker
  • 815 days Crypto Investors Won Big In 2021
  • 815 days The ‘Metaverse’ Economy Could be Worth $13 Trillion By 2030
  • 816 days Food Prices Are Skyrocketing As Putin’s War Persists
  • 818 days Pentagon Resignations Illustrate Our ‘Commercial’ Defense Dilemma
  • 819 days US Banks Shrug off Nearly $15 Billion In Russian Write-Offs
  • 822 days Cannabis Stocks in Holding Pattern Despite Positive Momentum
  • 823 days Is Musk A Bastion Of Free Speech Or Will His Absolutist Stance Backfire?
  • 823 days Two ETFs That Could Hedge Against Extreme Market Volatility
  • 825 days Are NFTs About To Take Over Gaming?
What's Behind The Global EV Sales Slowdown?

What's Behind The Global EV Sales Slowdown?

An economic slowdown in many…

Another Retail Giant Bites The Dust

Another Retail Giant Bites The Dust

Forever 21 filed for Chapter…

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…

Contact Author

  1. Home
  2. Markets
  3. Other

Down on 1st Session of DEC OpEx a. FOMC

The S&P 500 had a rough start into the December OpEx (options expiration) and FOMC week, down -1.49% on Monday, December 12.

But with the S&P 500 down on the 1st session of December's OpEx or FOMC week, the index had shown a remarkable positive performance over the course of the then following two weeks in the past.

Table I below shows all occurrences (since 1990) and the S&P 500 performance over the course of the remainder of the FOMC week and at until the end of the then following week as well (in this event on Friday, December 23) in the event the S&P 500 closed lower on the first session of December's FOMC week.

The S&P 500 closed at a higher level at the end of the week on two out of every three occurrences, and at the end of the then following week on 25 out of 29 occurrences (or 86.20% of the time). The index gained 1.0%+ until the end of the week and until the end of the then following week on 10 and 14 occurrences respectively, while closing lower 1.0%+ on 1 to 2 occurrences only (always compared to the S&P 500 close on the first session of the FOMC week).

SPX

Probabilities and odds are even more tilt in favor of higher prices and limited downside potential in the event when the S&P 500 had been down on the 1st session of December's OpEx week in the past.

Table II below shows all occurrences (since 1974, standardized exchange traded call options were released for trading by the Chicago Board of Options Exchange (CBOE) and the Options Clearing Corporation (OCC) in 1973) and the S&P 500′ performance over the course of the remainder of the OpEx week and until the end of the then following week as well (in this event on Friday, December 23) in the event the S&P 500 closed lower on the first session of December's OpEx week.

The S&P 500 closed at a higher level at the end of the week on 12 out of 15 occurrences, and at the end of the then following week on 13 out of 15 occurrences, and posted at least one higher close until the end of the then following week on all 15 occurrences. The index gained 1.0%+ until the end of the week and until the end of the then following week on 7 and 9 occurrences respectively, while never closing lower 1.0%+ on any of those points in time listed below on all 15 occurrences (always compared to the S&P 500 close on the first session of the OpEx week).

In addition, the S&P 500 closed at a higher level at the end of the year on 14 out of 15 occurrences (thereof on 12 w/ a 1.0%+ gain), while lower on only one occurrence ( -0.19% ).

SPX


Conclusion(s)

Although the market's prospect might not look very bright with the S&P 500 down -1.46% on the first session during an otherwise bullish seasonality, historically probabilities and odds are tilt in favor of higer prices and limited downside potential over the course of the next two weeks.

Have a profitable week,

 


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

 

Back to homepage

Leave a comment

Leave a comment