Day before FOMC announcement 2 VIX up closes 96% win (MAY get triggered ) EOD 6/14/2016

Day before FOMC announcement 2 VIX up closes 96% win (MAY get triggered ) EOD 10/27/2015

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When end of month is down more than 1 pct, 90% chance of going up in the next 5 days

When end of month is down more than 1 pct, there is a 90% chance of making a profit in the next 5 days. On Dec 31, 2015, we were down almost 1%. I have taken out the stop loss for this test. The exit is based on the first profitable close or after holding the position for 5 days. The average win/loss ratio is 0.44. I have also taken the commision out of the testing. Attached is the detail stats. I have recently switched to use quantstrat in R so I have not quite figured out how to export the stats nicely yet. I can barely export the per trade stats in the link below in pdf. If you know an easy way for me to attach .csv file for people to download, please let me know. gambulator@gmail.com

down1pct

pertrans

 

Open Interest for SPY expiry 7/2/2015

OI_SPY

So Greece is having a problem…  This is an OI for SPY expiration date on 7/2 on 6/26/2015. Those numbers at the top are percentage of calls being bought on that day with 7/2 expiry for SPY. It rarely goes about 0.5. For the past few months, when the media is crying wolf, the largest OI and percentage of call bought never confirmed these pending collapse. This time around, it goes to 0.5… (unusually bullish). If market has not priced this Grexit in, then a lot of people would have to sell. On the other hand, if this percentage of call bought is correct again, we should stay within 205.5 and 211.5 (largest OI for put and call;Put is red, call is blue, yellow is the sum)