Dow Options Expiry Trading Strategy

[FetteredChinos]

Another observation for you guys to think about....

Based upon activity around the monthly options expiry dates in the US on the 3rd Friday of each month..

there are 2 basic strats...

Strategy 1

Go Long on the friday close before the options expiry (ie the 2nd friday of the month)

Close this long on the following thursday...

since Jan-00:-
Points: 2470
Trades: 69
Wins: 40 (58%)

Strategy 2

Go Short on the the close this thursday, ie the day before options expiry, and close on the following monday's close.

Since Jan-00:-
Points: 3502
Trades: 69
Wins: 44 (64%)

Interesting that this pattern, especially on the short side has held up since 1928, judging by the equity curves. Overall the Short pattern has generated 4,612 points since 1928, even though the index has climbed approx 11,000 points since then.

the next trade this month is a long on friday 13th. ho ho ho

hope this helps,

FC

 

[FetteredChinos]

just checked... also works nicely on the FTSE....again, the short over the expiry day being the more profitable...920 points from 69 trades..33 wins (48%)

and the Dax: +1648, from 70, 38 wins (54%)

CAC: +1733 from 68, 36 wins (53%)

SP500: +4420 from 69, 42 wins (61%)


looks promising...

FC

 

[FetteredChinos]

now... how about this for an equity curve...

cobbled together a few ideas...

this trades on average 10-15 days per month...

this test is on the Dow futures data that i have from 1997-2004..trading close to close..

i am NOT going to divulge this one, i'm afraid, chaps..but it does show the power of seasonal trades..

circa 20,000 Dow points in 8 years...

FC

 

[the blades]

i am NOT going to divulge this one, i'm afraid, chaps..but it does show the power of seasonal trades..



FC

Spoil sport.



UTB

 

[dpfuller]

Hi FC, strat 2 would have been a cracker this month:

Thurs 19/1 - short at 10880, closing tonight for circa 200 points.

Nice one, sadly I didn't trade this!

 

[RunTheNumbers]

Similar thoughts, on the S&P this time, here:

http://www.tradingblox.com/forum/viewtopic.php?t=1538

regards

Ben

 

[podval]

Similarly, Nasdaq and OED are not friends
Results are better when Nasdaq opens in OED with gap up. Just short it!

 

[frugi]

Quotes for DIA - Yahoo! Finance

78(00) or so for Fri. close, after frightening them down at 73.5?

 

[Martinghoul]

My guess that the strategy turned out to be a bit more difficult than originally expected.

 

[Martinghoul]

There's really nothing to discuss... There wasn't much substance.