August 17, 2017

Will the Week of December Options Expiration Live Up to its Historical Billing?

First, I would like to say that tomorrow promises to be an exciting trading day with the FOMC announcement at 2 EST and a plethora of economic reports before the opening bell. Get ready!

The week of December options expiration started of much like it has on a historical basis – negative. Over the last 17 years less than 50% of expiration Monday’s (when a FOMC is scheduled) finished in negative territory. While falling in line with the historical norms, it certainly does not represent a trading edge.

However, as a whole, an options expiration week that contains a scheduled FOMC meeting has finished in positive territory roughly 80% of the time with a gain close to 2%.

Furthermore,  as I have mentioned several times over the past few weeks, December has displayed a positive bias, particularly in the S&P 500 and when taking a closer look at how the S&P, particularly the S&P futures have performed during the week of options expiration the performance is overwhelmingly positive with 24 out of the last 26 years posting a gain for the week.

I will try and post a few charts that I am watching closely later tonight. Stay tuned.

Overbought-Oversold levels for December 15, 2008

ETF Extremes Options Trading Strategy

* S&P 500 (SPY) – 48.9 (neutral)
* Dow Jones (DIA) – 48.2 (neutral)
* Russell 2000 (IWM) – 45.6 (neutral)
* NASDAQ 100 (QQQQ) – 49.5 (neutral)

Sector ETF Extremes Options Strategy

* Biotech (IBB) – 48.2 (neutral)
* Consumer Discretionary (XLY) – 49.8 (neutral)
* Health Care (XLV) – 55.7 (neutral)
* Financial (XLF) – 37.8 (neutral)
* Energy (XLE) – 56.2 (neutral)
* Industrial (XLI) – 44.4 (neutral)
* Materials (XLB) – 53.1 (neutral)
* Real Estate (IYR) – 49.7 (neutral)
* Retail (RTH) – 48.9 (neutral)
* Utilities (XLU) – 42.3 (neutral)

Ultra Extremes (Insiders Page Only)

* Ultra Long (SSO) – 44.7 (neutral)
* Ultra Short (SDS) – 49.7 (neutral)

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