SPX Historical Spread Plays

Hi Lowvol,

Thanks for your comment. That's an interesting observation, for you're correct, over time virtually all of the net gain in the S & P has been in the Nov/Apr periods. A quick check of my stats reveals that the overall percentage of winning months in that period is 64.5%, or only a statistically insignificant difference from the 63.1% of using all the 122 months. The total points gained in those months may have been higher than in the other six, but in this strategy, the points gained are irrelevant, only the fact of a gain or loss in any cycle is meaningful.

Good trading to all.

Josh Fry
 
Hi Folks,

Well, the bullish put vertical spread strategy lost in the February contracts, breaking a six month winning streak. That marked the 46th losing month out of the last 123 cycles, encompassing the last decade plus three months, lowering the success percentage to 63.6. We raised our wager by one unit from the March bet and entered a new spread at the 1280/1285 strikes in the April contracts near the 4:00 PM close, buying the 1280 and selling the 1285 puts for a credit of 2.40 and a 2.60 margin requirement.

Good trading to all,

Josh
 
Just for curiosity I downloaded the weekly data from Yahoo on SPX starting in 1985. It is just about 50/50 up weeks/down weeks. It's not exactly settlement to settlement but probably close enough.
 
Hi Eliot,

Was that from 1985 to the present? If so, that's surprising to me, since it's so different from the last decade. In fact, if you subtract the last decade from the 1985 through 2010 period, the 1985 through 2000 would show fewer up months than down.

Josh

Good trading to all
 
Quote from optionsmaven:

Hi Eliot,

Was that from 1985 to the present? If so, that's surprising to me, since it's so different from the last decade. In fact, if you subtract the last decade from the 1985 through 2010 period, the 1985 through 2000 would show fewer up months than down.

Josh

Good trading to all
More...

It was 1985 to present.

I went back and just used 2001 to present and it was still about 50/50 using close-to-close (289 up/240 down, 3 no change).

Edit: It's about 55%/45%, just eyeballing it seemed more like 50/50.
 
Eliot,

My stats are from expiry settlement to settlement, and I believe that they are completely accurate. I used the CBOE settlement prices from their web site. If your compilation of 55/45 for the same time frame is any indicator, it just shows how much the shenanigans that go on in the futures market prior to, and just after, the opening contribute to expiry Friday's price movement.

Josh
 
Quote from optionsmaven:

Eliot,

My stats are from expiry settlement to settlement, and I believe that they are completely accurate. I used the CBOE settlement prices from their web site. If your compilation of 55/45 for the same time frame is any indicator, it just shows how much the shenanigans that go on in the futures market prior to, and just after, the opening contribute to expiry Friday's price movement.

Josh
More...

I don't doubt your stats and you have the results to back them up.

I was just checking to see if there might be the same "edge' in trading weeklys. Looks to be not as good as the monthlys.
 
Eliot,

Thanks for confirming my stats. I took a cursory look at the weeklys and came to the same conclusion you did. They seem to a total crap shoot, as far as direction goes.

Josh
 
Quote from Eliot Hosewater:

I don't doubt your stats and you have the results to back them up.

I was just checking to see if there might be the same "edge' in trading weeklys. Looks to be not as good as the monthlys.
More...

Josh's edge came from securities fraud and theft. He stole >$4MM from investors and did 8 years in prison stemming from a 1993 felony conviction on multiple counts.

Still scamming in your late 70s, Josh? Wow, I give you credit for longevity.
 
Quote from atticus:

Josh's edge came from securities fraud and theft. He stole >$4MM from investors and did 8 years in prison stemming from a 1993 felony conviction on multiple counts.
More...

You know, it frustrates me - I could come up with a good strategy using options trading and/or stocks, and I bet I'd have a tough time raising $100K from other investors!

How people could have been so stupid for example to basically invest ALL of their money they made in their entire lifes with Madoff is just bizarre to me - I mean if my brother who I trust 100% had a great system, I wouldn't invest ALL my money with him!

JJacksET4
 
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