Fun with data

Monthly options on SPY started trading back in January of 2005. Here are a few statistics that I found interesting and thought I’d share:

  • Not including the current cycle (May 2016) there have been 136 monthly option expirations for SPY
  • When opening the cycle above the pivot, there have been 7 (5.15%) instances where SPY touched both R1 & S1
  • Of those 7 instances, 5 of them either closed OpEx above S1 or under R1

In other words, only two times did S1 fail to hold as support and two times that R1 failed to hold as resistance. That’s an impressive 98.5% “win rate” for S1 and R1 to hold after both being touched in the cycle. The failed support dates were in Jan ’05 and May of ’06 while the failed resistance dates were in July ’05 and Mar of ’13 . Interestingly, Mar of ’13 also saw R2 fail to hold as resistance.

Pretty neat information that can be used, depending on how you trade. Buy why stop there? Add another filter and both instances that saw OpEx close under S1 also started the cycle above the 13EMA. Guess what? Both instances that saw OpEx close above R1 started the cycle below the 13EMA.

Option expiration for SPY is next Friday (5/20) and S1 for the May 2016 cycle is down at 203.48. SPY started the cycle above both the 13EMA and the pivot. On 4/20, SPY touched R1 so next week could be interesting if S1 is tested. A rare occurrence if nothing else.

March Option Expiration

It appears the data I was using (Think or Swim) was/is wrong. Take a look at the image below. On the left side you’ll see the OHLC for the opex month. On the right side you’ll see the OHLC for the actual opex week. The close does not match. Something is fishy and I’ve reached out to Think or Swim support and have been told they are looking into it. Who knows what will come of it, maybe nothing. 

I was able to procure SPY data from Bloomberg and have been crunching some statistics that I plan on sharing at a later time.