Tuesday, September 8, 2015

Further Details On SPY Short Set Up 9-8-15

Click on Stats to Enlarge

I ran one more filter on the data from today's short set-up, and this made a huge difference suggesting a more pronounced downside, and lasting further into the future.

The additional filter I added to the scan was that the close of today's session was in the upper end of the day's range (above the 80% mark of the day's range).  So the gap up was followed a strong close.

Again this was in addition to a daily MACD "down" and the >1.5% gap up.

There were only 17 instances of this with the closing returns 7 trading days into the future shown above.  (Data only goes back 20 years).

The MAX loss versus MAX gain was greater than 2:1 in favor of the downside in the time frames out to 10 trading days ahead.  And the average closing return jumped from 0.5% profit on the short to ~2.5% profit on the short at 8 days out.

So if SPY closes strong here, as it look likely to as of 3 pm EST, then that would argue for even greater downside expected over the coming days.

For disclosure, I purchased an Oct 196 put this afternoon.  There is not a clear option limit target here, I will likely place an OCO order for stop and a limit gain after I see a few days of action.  But I am prepared for the possibility of a 100% loss on this trade, even though i do not expect to take it.


1 comment:

  1. A gap down tomorrow would be a better sign of future weakness rather than a gap up. This is based on the past similar instances over the past 20 years of data.