Specfically in reference to time decay.
What is your vote ?
Thank you for participating.
What is your vote ?
Thank you for participating.
Buying puts safer than calls
- Thread starter Trader.Fighter
- Start date
Just for fun, here are some quick SPY stats. They are the percent changes from 3rd Fridays for the last 10 years. If doing Condors, keep in mind the marked, greater-than-5% moves:
Code:
Third Friday to third Friday changes (at Close) for SPY
Start 20030919 Price: 103.67
20031017, 104.26, %Chg: 0.07
20031121, 104.21, %Chg: -0.05
20031219, 108.89, %Chg: 4.49
20040116, 114.23, %Chg: 4.90
20040220, 114.88, %Chg: 0.57
20040319, 111.06, %Chg: -3.33
20040416, 113.83, %Chg: 2.49
20040521, 109.81, %Chg: -3.53
20040618, 113.63, %Chg: 3.48
20040716, 110.70, %Chg: -2.58
20040820, 110.47, %Chg: -0.21
20040917, 113.15, %Chg: 2.43
20041015, 111.26, %Chg: -1.67
20041119, 117.42, %Chg: [b][color=Blue]5.54[/color][/b]
20041217, 119.44, %Chg: 1.72
20050121, 116.78, %Chg: -2.23
20050218, 120.38, %Chg: 3.08
20050318, 118.53, %Chg: -1.54
20050415, 114.15, %Chg: -3.70
20050520, 119.12, %Chg: 4.35
20050617, 121.36, %Chg: 1.88
20050715, 122.84, %Chg: 1.22
20050819, 122.46, %Chg: -0.31
20050916, 123.50, %Chg: 0.85
20051021, 118.12, %Chg: -4.36
20051118, 125.13, %Chg: [b][color=Blue]5.93[/color][/b]
20051216, 126.35, %Chg: 0.97
20060120, 125.96, %Chg: -0.31
20060217, 128.81, %Chg: 2.26
20060317, 130.62, %Chg: 1.41
20060421, 131.15, %Chg: 0.41
20060519, 127.10, %Chg: -3.09
20060616, 124.65, %Chg: -1.93
20060721, 123.94, %Chg: -0.57
20060818, 130.69, %Chg: [b][color=Blue]5.45[/color][/b]
20060915, 131.95, %Chg: 0.96
20061020, 136.84, %Chg: 3.71
20061117, 140.42, %Chg: 2.62
20061215, 142.34, %Chg: 1.37
20070119, 142.82, %Chg: 0.34
20070216, 145.73, %Chg: 2.04
20070316, 138.53, %Chg: -4.94
20070420, 148.62, %Chg: [b][color=Blue]7.28[/color][/b]
20070518, 152.62, %Chg: 2.69
20070615, 153.06, %Chg: 0.29
20070720, 153.50, %Chg: 0.29
20070817, 144.71, %Chg: [b][color=Red]-5.73[/color][/b]
20070921, 151.97, %Chg: [b][color=Blue]5.02[/color][/b]
20071019, 149.67, %Chg: -1.51
20071116, 145.79, %Chg: -2.59
20071221, 148.13, %Chg: 1.61
20080118, 132.05, %Chg: [b][color=Red]-10.86[/color][/b]
20080215, 135.14, %Chg: 2.34
20080320, 132.07, %Chg: -2.27
20080418, 138.48, %Chg: 4.85
20080516, 142.66, %Chg: 3.02
20080620, 131.57, %Chg: [b][color=Red]-7.77[/color][/b]
20080718, 125.97, %Chg: -4.26
20080815, 130.16, %Chg: 3.33
20080919, 124.11, %Chg: -4.65
20081017, 93.20, %Chg: [b][color=Red]-24.91[/color][/b]
20081121, 79.52, %Chg: [b][color=Red]-14.68[/color][/b]
20081219, 88.19, %Chg: [b][color=Blue]10.90[/color][/b]
20090116, 85.06, %Chg: -3.55
20090220, 77.42, %Chg: [b][color=Red]-8.98[/color][/b]
20090320, 76.71, %Chg: -0.92
20090417, 87.08, %Chg: [b][color=Blue]13.52[/color][/b]
20090515, 88.71, %Chg: 1.87
20090619, 92.04, %Chg: 3.75
20090717, 94.13, %Chg: 2.27
20090821, 102.96, %Chg: [b][color=Blue]9.38[/color][/b]
20090918, 106.71, %Chg: 3.64
20091016, 108.88, %Chg: 2.03
20091120, 109.43, %Chg: 0.51
20091218, 110.21, %Chg: 0.71
20100115, 113.64, %Chg: 3.11
20100219, 111.14, %Chg: -2.20
20100319, 115.97, %Chg: 4.35
20100416, 119.36, %Chg: 2.92
20100521, 109.12, %Chg: [b][color=Red]-8.58[/color][/b]
20100618, 111.73, %Chg: 2.39
20100716, 106.65, %Chg: -4.55
20100820, 107.53, %Chg: 0.83
20100917, 112.48, %Chg: 4.60
20101015, 117.70, %Chg: 4.64
20101119, 120.28, %Chg: 2.19
20101217, 124.30, %Chg: 3.34
20110121, 128.37, %Chg: 3.27
20110218, 134.53, %Chg: 4.80
20110318, 127.76, %Chg: [b][color=Red]-5.03[/color][/b]
20110415, 132.04, %Chg: 3.35
20110520, 133.61, %Chg: 1.19
20110617, 127.05, %Chg: -4.91
20110715, 131.69, %Chg: 3.65
20110819, 112.64, %Chg: [b][color=Red]-14.47[/color][/b]
20110916, 121.52, %Chg: [b][color=Blue]7.88[/color][/b]
20111021, 123.97, %Chg: 2.02
20111118, 121.98, %Chg: -1.61
20111216, 121.59, %Chg: -0.32
20120120, 131.54, %Chg: [b][color=Blue]8.18[/color][/b]
20120217, 136.41, %Chg: 3.70
20120316, 140.30, %Chg: 2.85
20120420, 137.95, %Chg: -1.67
20120518, 129.74, %Chg: [b][color=Red]-5.95[/color][/b]
20120615, 134.14, %Chg: 3.39
20120720, 136.47, %Chg: 1.74
20120817, 142.18, %Chg: 4.18
20120921, 145.87, %Chg: 2.60
20121019, 143.39, %Chg: -1.70
20121116, 136.37, %Chg: -4.90
20121221, 142.79, %Chg: 4.71
20130118, 148.33, %Chg: 3.88
20130215, 152.11, %Chg: 2.55
20130315, 155.83, %Chg: 2.45
20130419, 155.48, %Chg: -0.22
20130517, 166.94, %Chg: [b][color=Blue]7.37[/color][/b]
20130621, 159.07, %Chg: -4.71
20130719, 169.17, %Chg: [b][color=Blue]6.35[/color][/b]
TOTAL MONTHS = 118
DOWN MONTHS = 43
UP MONTHS = 75
%UP MONTHS = 63.56%
AVG %UP MONTH = 3.36%
%DOWN MONTHS = 36.44%
AVG %DOWN MONTH = -4.37%Equivalent.
But In general, I would be a buyer of puts over calls.
Less risk of buy ins on hedging or dividend raises.
I would be a seller of calls over puts for the same reason.
But In general, I would be a buyer of puts over calls.
Less risk of buy ins on hedging or dividend raises.
I would be a seller of calls over puts for the same reason.
We've missed you and your insightful comments.
Thank you for the stats.
Here's some more you might find interesting. This is the last 50 years of 3rd Friday closes for SPX. I know it is not SET values, but I believe the stats are still significant for anybody doing a monthly SPY/SPX strategy.
Note that over the last 50 years SPX is up month-month 60% of the time. I bet someone who is patient could develop and trade a system based on this...
Note that over the last 50 years SPX is up month-month 60% of the time. I bet someone who is patient could develop and trade a system based on this...
Code:
Third Friday to third Friday changes (at Close) for SP-500
Start 19620216 Price: 70.59
19620316, 70.96, %Chg: 0.31
19620419, 68.59, %Chg: -3.34
19620518, 63.82, %Chg: [b][color=Red]-6.95[/color][/b]
19620615, 55.89, %Chg: [b][color=Red]-12.43[/color][/b]
19620720, 56.81, %Chg: 1.65
19620817, 59.01, %Chg: 3.87
19620921, 57.69, %Chg: -2.24
19621019, 55.59, %Chg: -3.64
19621116, 60.16, %Chg: [b][color=Blue]8.22[/color][/b]
19621221, 62.64, %Chg: 4.12
19630118, 65.18, %Chg: 4.05
19630215, 66.41, %Chg: 1.89
19630315, 65.93, %Chg: -0.72
19630419, 69.23, %Chg: [b][color=Blue]5.01[/color][/b]
19630517, 70.29, %Chg: 1.53
19630621, 70.25, %Chg: -0.06
19630719, 68.35, %Chg: -2.70
19630816, 71.49, %Chg: 4.59
19630920, 73.30, %Chg: 2.53
19631018, 73.32, %Chg: 0.03
19631115, 72.35, %Chg: -1.32
19631220, 74.28, %Chg: 2.67
19640117, 76.56, %Chg: 3.07
19640320, 78.92, %Chg: 3.08
19640417, 80.55, %Chg: 2.07
19640515, 80.61, %Chg: 0.07
19640619, 80.89, %Chg: 0.35
19640717, 84.01, %Chg: 3.86
19640821, 82.07, %Chg: -2.31
19640918, 83.48, %Chg: 1.72
19641016, 84.83, %Chg: 1.62
19641120, 86.28, %Chg: 1.71
19641218, 84.29, %Chg: -2.31
...
20100115, 1,136.03, %Chg: 3.04
20100219, 1,109.17, %Chg: -2.36
20100319, 1,159.90, %Chg: 4.57
20100416, 1,192.13, %Chg: 2.78
20100521, 1,087.69, %Chg: [b][color=Red]-8.76[/color][/b]
20100618, 1,117.51, %Chg: 2.74
20100716, 1,064.88, %Chg: -4.71
20100820, 1,071.69, %Chg: 0.64
20100917, 1,125.59, %Chg: [b][color=Blue]5.03[/color][/b]
20101015, 1,176.19, %Chg: 4.50
20101119, 1,199.73, %Chg: 2.00
20101217, 1,243.91, %Chg: 3.68
20110121, 1,283.35, %Chg: 3.17
20110218, 1,343.01, %Chg: 4.65
20110318, 1,279.20, %Chg: -4.75
20110415, 1,319.68, %Chg: 3.16
20110520, 1,333.27, %Chg: 1.03
20110617, 1,271.50, %Chg: -4.63
20110715, 1,316.14, %Chg: 3.51
20110819, 1,123.53, %Chg: [b][color=Red]-14.63[/color][/b]
20110916, 1,216.01, %Chg: [b][color=Blue]8.23[/color][/b]
20111021, 1,238.25, %Chg: 1.83
20111118, 1,215.65, %Chg: -1.83
20111216, 1,219.66, %Chg: 0.33
20120120, 1,315.38, %Chg: [b][color=Blue]7.85[/color][/b]
20120217, 1,361.23, %Chg: 3.49
20120316, 1,404.17, %Chg: 3.15
20120420, 1,378.53, %Chg: -1.83
20120518, 1,295.22, %Chg: [b][color=Red]-6.04[/color][/b]
20120615, 1,342.84, %Chg: 3.68
20120720, 1,362.66, %Chg: 1.48
20120817, 1,418.16, %Chg: 4.07
20120921, 1,460.15, %Chg: 2.96
20121019, 1,433.19, %Chg: -1.85
20121116, 1,359.88, %Chg: [b][color=Red]-5.12[/color][/b]
20121221, 1,430.15, %Chg: [b][color=Blue]5.17[/color][/b]
20130118, 1,485.98, %Chg: 3.90
20130215, 1,519.79, %Chg: 2.28
20130315, 1,560.70, %Chg: 2.69
20130419, 1,555.25, %Chg: -0.35
20130517, 1,667.47, %Chg: [b][color=Blue]7.22[/color][/b]
20130621, 1,592.43, %Chg: -4.50
20130719, 1,692.09, %Chg: [b][color=Blue]6.26[/color][/b]
TOTAL MONTHS = 615
DOWN MONTHS = 238
UP MONTHS = 377
%UP MONTHS = 61.3%
AVG %UP MONTH = 3.2%
%DOWN MONTHS = 38.7%
AVG %DOWN MONTH = -3.5%Beat me to it.
Pearls before swine, mate.