Posted by frtaylor on 20th of Mar 2015 at 01:04 pm
Anyone here trade the statistically bearish week that follows
triple witching? I was thinking something like a bear call spread.
Or an Iron Condor - put the call spread in today and then the put
spread next week.
"Triple Witching Weeks have become more bullish in the last decade.
The weeks following Triple Witching Weeks have become more bearish,
especially in the second quarter. The Dow has not had a positive
week after June Triple-Witching Week since 1998. Triple Witching
Weeks have tended to be down in flat periods and dramatically so
during bear markets.
Down weeks tend to follow down Triple Witching Weeks. This is an
interesting pattern. Since 1991, of 30 down Triple Witching Weeks,
22 following weeks were also down. This is surprising inasmuch as
the previous decade had an exactly opposite pattern: there were 13
down Triple Witching Weeks then, but 12 up weeks followed
them."
Anyone here trade the statistically
Posted by frtaylor on 20th of Mar 2015 at 01:04 pm
Anyone here trade the statistically bearish week that follows triple witching? I was thinking something like a bear call spread. Or an Iron Condor - put the call spread in today and then the put spread next week.
"Triple Witching Weeks have become more bullish in the last decade. The weeks following Triple Witching Weeks have become more bearish, especially in the second quarter. The Dow has not had a positive week after June Triple-Witching Week since 1998. Triple Witching Weeks have tended to be down in flat periods and dramatically so during bear markets.
Down weeks tend to follow down Triple Witching Weeks. This is an interesting pattern. Since 1991, of 30 down Triple Witching Weeks, 22 following weeks were also down. This is surprising inasmuch as the previous decade had an exactly opposite pattern: there were 13 down Triple Witching Weeks then, but 12 up weeks followed them."
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/monthly-trading-patterns
Here's another interesting piece -
Posted by frtaylor on 20th of Mar 2015 at 01:21 pm
Here's another interesting piece - suggesting it's better to short the market when OE closes down on Friday:
https://marketsci.wordpress.com/2009/07/03/revisiting-the-day-after-options-expiration/