Trading Nerd

tag:blogger.com,1999:blog-159365762012-01-18T22:27:12.739-05:00Trading NerdTrading Nerdhttp://www.blogger.com/profile/06075582574386716841noreply@blogger.comBlogger191100tag:blogger.com,1999:blog-15936576.post-37868398975257306512011-04-17T21:14:00.005-05:002011-04-17T21:19:56.834-05:00Trading Days Remaining Until Month End

Trading Days Remaining Until Month EndHere is a chart that shows the historical performance of the S&P 500, given the number of trading days remaining until the end of the month (from 1990 to 2010).The first chart groups low-frequency days together (21 to 22 days remaining is grouped together as a single observation because some months are shorter than others). The second chart does not group

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-30269824953558244922011-04-17T21:09:00.007-05:002011-04-17T21:18:25.686-05:00Trading Days Remaining Until Options Expiration - Chart

Trading Days Remaining Until Options ExpirationHere is a chart that shows the historical performance of the S&P 500, given the number of trading days remaining until near-month options expire (from 1990 to 2010).The first chart groups low-frequency days together (21 to 24 days remaining and 19 to 20 days remaining are grouped together as single observations because some months are shorter than

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com1tag:blogger.com,1999:blog-15936576.post-67879972462101482152011-04-17T20:54:00.003-05:002011-04-17T21:04:25.886-05:00Calendar Effect

Calendar EffectHere is a seasonal chart of the S&P 500, (from 1990 to 2010).January: -.20%February: -.42%March: +1.17%April: +1.71%May: +1.32%June: -.74%July: +.60%August: -.95%September: -.45%October: +.92%November: +1.40%December: +1.96%

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-31590051931049215652011-04-17T20:46:00.004-05:002011-04-17T20:53:43.113-05:00Day of the Month Effect

Day of the Month EffectHere is a chart that shows the historical performance of the S&P 500, given the day of the month (from 1990 to 2010).

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-7605230058506122362011-04-17T20:35:00.006-05:002011-04-17T20:50:59.153-05:00Day of the Week Effect

Day of the Week EffectHere is a chart that shows the historical performance of the S&P 500, given the day of the week (from 1990 to 2010).Monday: +.06%Tuesday: +.03%Wednesday: +.04%Thursday: +.00%Friday: -.01%

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-3989584254981768722011-04-17T20:21:00.001-05:002011-04-18T19:27:19.958-05:00Composite Indicator

Composite Indicator A proprietary indicator based on the other 11 indicators. Readings of 20 and below are Bearish. [0, 20] Readings above 20 are Bullish (Sub-normal). (20, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish"

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-76953188002097103632011-04-17T20:20:00.002-05:002011-04-18T19:28:19.754-05:00Wall of Worry

Wall of Worry A proprietary indicator based on the VIX that also takes into account the level of the S&P 500. Readings of 20 and below are Bearish (Sub-normal). [0, 20] Readings above 20 are Bullish. (20, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-939316106831027232011-04-17T20:19:00.001-05:002011-04-18T19:29:02.658-05:00VIX Momentum

VIX Momentum A proprietary indicator based on the VIX's momentum. Readings of 20 and below are Bearish (Sub-normal). [0, 20] Readings above 20, but not above 80 are Bullish. (20, 80] Readings above 80 are Bearish (Sub-normal). (80, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-76648733374268666622011-04-17T20:18:00.003-05:002011-04-18T19:29:51.760-05:00S&P 500 Momentum

S&P 500 Momentum A proprietary indicator based on the S&P 500's momentum. Readings of 40 and below are Bearish (Sub-normal). [0, 40] Readings above 40 are Bullish. (40, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish" and "

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-65706452711028681482011-04-17T20:17:00.001-05:002011-04-18T19:30:45.732-05:00VIX Volatility

VIX Volatility A proprietary indicator based on the VIX's volatility. Readings of 40 and below are Bullish. [0, 40] Readings above 40 are Bearish (Sub-normal). (40, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish" and "

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-77588342989363375742011-04-17T20:16:00.001-05:002011-04-18T19:31:35.896-05:00S&P 500 Volatility

S&P 500 Volatility A proprietary indicator based on the S&P 500's volatility. Readings of 60 and below are Bullish. [0, 60] Readings above 60 are Bearish (Sub-normal). (60, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish"

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-34938398273081912712011-04-17T20:15:00.001-05:002011-04-18T19:32:29.014-05:00Volatility Jumps

Volatility Jumps A proprietary indicator based on jumps in implied volatility. Readings of 60 and below are Bullish. [0, 60] Readings above 60 are Bearish (Sub-normal). (60, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish"

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-28319896311495844212011-04-17T20:14:00.001-05:002011-04-18T19:33:22.592-05:00VIX Idiosyncratic Volatility

VIX Idiosyncratic Volatility A proprietary indicator based on the VIX's idiosyncratic volatility. Readings of 60 and below are Bullish. [0, 60] Readings above 60 are Bearish (Sub-normal). (60, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500.

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-77967938496225792772011-04-17T20:13:00.001-05:002011-04-18T19:34:07.403-05:00Volatility Level

Volatility Level Trailing percentile ranking of the level of the VIX. Readings of 40 and below are Bullish. [0, 40] Readings above 40, but not above 80 are Bearish (Sub-normal). (40, 80] Readings above 80 are Bullish. (80, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-18848312754701271662011-04-17T20:12:00.001-05:002011-04-18T19:35:06.100-05:00Corporate-Treasury Yield Spread

Corporate-Treasury Yield Spread Trailing percentile ranking of the yield spread between Moody's Baa-rated bonds and Treasury securities (a close proxy for the Junk-Treasury spread). Readings of 80 and below are Bullish. [0, 80] Readings above 80 are Bearish (Sub-normal). (80, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-68648089191045984082011-04-17T20:11:00.001-05:002011-04-18T19:35:51.985-05:00Corporate Bond Yields

Corporate Bond Yields Trailing percentile ranking of Moody's Baa-rated bonds. Readings of 40 and below are Bullish. [0, 40] Readings above 40 are Bearish (Sub-normal). (40, 100)Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns of the S&P 500. The terms "Bullish"

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-64929195363423508932011-04-17T20:10:00.003-05:002011-04-18T19:37:03.702-05:00Treasury Yield Spread

Treasury Yield Spread Trailing percentile ranking of the yield spread between 10-year T-Notes and 3-month T-Bills. Readings of 60 and below are Bullish. [0, 60] Readings above 60 are Bearish (Sub-normal). (60, 100) Expected returns are based on historical data. Past performance is no guarantee that these relationships will hold in the future. Expected returns are for 1-month and 3-month returns

Equo Ne Credite (Do Not Trust the Horse)noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-1159996032248551722006-10-04T16:06:00.000-05:002006-10-04T16:08:45.936-05:00Why Does Options Expiration Sometimes Add Volatility To A Stock?

This is the counterpart to a piece that I wrote about stocks “pinning” a strike price.I will discuss the reason why the expiration of stock options can add volatility to a stock.A increasing implied volatility on a stock’s options indicates that people are buying options. Due to put-call parity, it’s really not that important whether the options are calls or puts.Options-dealers (I am lumping

Trading Nerdhttp://www.blogger.com/profile/06075582574386716841noreply@blogger.com0tag:blogger.com,1999:blog-15936576.post-1159995757768681092006-10-04T16:02:00.000-05:002006-10-04T16:04:59.453-05:00The Real Reason Stocks Often Times "Pin" A Strike Price When Options Expire

For a long time, I have heard (and read) a great deal of misinformation about the tendency of stock prices to “pin” a strike price on an options expiration day.I will attempt to explain the mechanics involved that lead to stocks “pinning” a strike price (no conspiracy theories). For the sake of making this explanation relatively brief, I am working under the assumption that you have, at least, a

Trading Nerdhttp://www.blogger.com/profile/06075582574386716841noreply@blogger.com1