Expiration week plays

[spindr0]

Quote from akivak:

I found the following interesting article:
http://www.cxoadvisory.com/calendar-effects/option-expiration-week-stock-return-drill-down/

Summary: The average weekly return of 28 large-cap stocks with actively traded options during option expiration week (other weeks) is 0.45% (0.12%) over the period 1996-2008.

Past performance of a finite sample of 28 stocks is no guarantee of future performance. It's no edge. Ever hear of the Super Bowl indicator?

 

[atticus]

The SET is jammed up more often than not, adding to the bias. Buy Thursday's close in SPX.

 

[akivak]

Quote from spindr0:

Past performance of a finite sample of 28 stocks is no guarantee of future performance. It's no edge. Ever hear of the Super Bowl indicator?

There are no guarantees in trading. it's not a guarantee, it's a statistical advantage. Nobody can guarantee you it will work in 100% of weeks, but 70-80% of cases should be good enough assuming the data is correct.

 

[spindr0]

Quote from akivak:

There are no guarantees in trading. it's not a guarantee, it's a statistical advantage. Nobody can guarantee you it will work in 100% of weeks, but 70-80% of cases should be good enough assuming the data is correct.

It isn't an edge or a statistical advantage.

I could arbitrarily pick any useless canned indicator (RSI, MACD, Stochastic, Commodity Channel Index, whatever) and run it against the universe of optionable stocks for a given time period and cull out the ones that yielded a 100% gain while the market did 20%. I guarantee you that going forward you would have hardly any chance of duplicating that 100% performance and just as good a chance of losing money. It's no more than curve fitting.