"We risk becoming the best informed society that has ever died of ignorance"
- Rubén Blades

"You can't make up anything anymore. The world itself is a satire. All you're doing is recording it"
- Art Buchwald

"It's getting exciting now, two and one-half. Think of everything we've accomplished, man. Out these windows, we will view the collapse of financial history. One step closer to economic equilibrium"
- Tyler Durden

"It is your corrupt we claim. It is your evil that will be sought by us. With every breath, we shall hunt them down."
- Boondock Saints

Wednesday, September 14, 2011

Triple Witching Dates

Since this week is a Triple Witch Week here is some background going back to the start of 2010.

If you bought the S&P 500 Index over the past year and 9 months on a Witching date and sold the following market open, you made a 1% or greater profit 15% of the time.  Likewise, you lost 1% or more 20% of time.  And yes even though there have been positive movements 70% of the time, overall, if you bought and sold on every witching date from January of 2010 to August of 2011, you lost 0.02%.  This doesn't count for those pit traders and electronic traders who produce positive Alpha's but it does count for over 90% of Jim Cramer's audience seeing as to they perform in markets by means of a hobby and hobbies cost money.

Here is a chart on the percent change in each indicator over the Thursday before, the Friday of, and the following market open after a witching date.

Here is a chart of the performance with an Index = 100 in January of 2010.