While this February didn’t seem to affected by seasonality, here is March’s info. First for SPY:
and IWM:
It looks like for the first part of the month, not much is happening and then starting around options expiration, it rises to finish the month higher.
This month contains month to date (first 10 trading days and last 10 [11-20] trading days) performance graphs for both SPY and IWM:
SPY (1994+):
IWM:
after a gap up on the first, looks like mid month is back to around the open of the month, with a slight tendency of going down toward the end of month .
I was looking at SPY 20 day highs, using Yahoo! adjusted closes, and sorted by year/month:
| MONTH | |||||||||||||
| YEAR | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | Grand Total |
| 1993 | 1 | 5 | 4 | 5 | 1 | 1 | 8 | 3 | 3 | 6 | 37 | ||
| 1994 | 4 | 1 | 3 | 6 | 1 | 10 | 2 | 3 | 30 | ||||
| 1995 | 5 | 9 | 11 | 7 | 10 | 8 | 8 | 1 | 12 | 3 | 15 | 6 | 95 |
| 1996 | 4 | 9 | 1 | 7 | 1 | 6 | 4 | 7 | 13 | 52 | |||
| 1997 | 8 | 4 | 2 | 10 | 10 | 9 | 2 | 4 | 2 | 2 | 5 | 58 | |
| 1998 | 1 | 15 | 15 | 4 | 4 | 9 | 5 | 10 | 7 | 70 | |||
| 1999 | 3 | 2 | 6 | 9 | 1 | 2 | 7 | 2 | 2 | 5 | 5 | 44 | |
| 2000 | 1 | 7 | 2 | 4 | 7 | 1 | 1 | 23 | |||||
| 2001 | 5 | 4 | 5 | 1 | 4 | 8 | 1 | 28 | |||||
| 2002 | 2 | 7 | 6 | 5 | 6 | 1 | 27 | ||||||
| 2003 | 3 | 5 | 4 | 12 | 6 | 1 | 2 | 5 | 5 | 3 | 14 | 60 | |
| 2004 | 14 | 1 | 1 | 2 | 7 | 1 | 8 | 3 | 7 | 13 | 57 | ||
| 2005 | 1 | 7 | 3 | 5 | 5 | 6 | 1 | 1 | 12 | 2 | 43 | ||
| 2006 | 5 | 4 | 5 | 3 | 1 | 2 | 9 | 9 | 11 | 7 | 7 | 63 | |
| 2007 | 5 | 8 | 14 | 9 | 1 | 4 | 2 | 4 | 4 | 51 | |||
| 2008 | 9 | 5 | 3 | 1 | 18 | ||||||||
| 2009 | 3 | 6 | 7 | 5 | 4 | 9 | 9 | 7 | 5 | 3 | 8 | 66 | |
| 2010 | 7 | 1 | 13 | 10 | 2 | 3 | 3 | 10 | 10 | 4 | 12 | 75 | |
| 2011 | 9 | 10 | 1 | 7 | 1 | 1 | 3 | 6 | 1 | 39 | |||
| 2012 | 9 | 9 | |||||||||||
| Grand Total | 90 | 75 | 85 | 83 | 79 | 60 | 67 | 71 | 66 | 77 | 96 | 96 | 945 |
When I checked stockcharts.com for the years 1997, 2004, 2011, they seemed to have a end of month dip for January (although not much in 2011), but February all had higher highs.
Here are a couple of charts comparing SPY behavior during options expiration week by month. Each bar is a different month (month 13 is the summary). The range is the middle 50% of the weekly movements with the mark being the median value. First, the change from prior week end close to options expiration close:
and this one, not much different, just going from start of week open through close:
It appears that January is one of only two months where the week change is typically down.
The daily cumulative performance for option expiration week for January looks like:
The number is the trading day of the week. When the week only has 4 trading days (like this year), day 4 is the second to last trading day and day 5 is the last trading day (that is day 3 is repeated as day 4 also).
This month contains month to date (first 10 trading days and last 10 [11-20] trading days) performance graphs for both SPY and IWM:
SPY (1994+)
IWM (2002+)
Compared to November and December, there is a much wider range between the good months and bad months, and there doesn’t seem to be a particular trend. I did take a look of how January performed depending on December’s price action, and didn’t see any correlation – a little over 50% of the time January went in the same direction as December, although 60% of the time January SPYwas positive (relative to December’s close).
Similar to last month, this is a picture of the cumulative performance of the SPY during the month of December. top 25 is the 4th best and bot 25 is the 14th best (SPY 1993-2010, adjusted for dividends).
SPY December cumulative
For November, I am displaying a slightly different graph. This month, I am displaying only the SPY 1993+ (it seemed to me that the IWM was very similar). But instead of just the median cumulative percentage change, I am also showing the average, and doing a large() to find the range of the mid 50% of the changes. The x axis is similar to previous posts, 1-10 are the first 10 trading days of November, and 11-20 are the last 10 trading days of the month.
November SPY cumulative returns
Looking at the median, it seems like there might be a slight rise at the start of the month, then a drop around election day,then an upward bias for the rest of the month.
Using similar methodology as the last three months, here is October’s daily action:
To recap, I am plotting the median cumulative daily performance of IWM since 2000, SPY since 1990 and SPY since 2000. The first 10 trading days of the month are 1001 – 1010. The last ten trading days of the month are 1011 – 1020. Looking at the graph I would say that there is a upward bias for the first half of the month, and then some choppiness.
One of the difficulties in calculating the CCI (stockcharts or Gstock) is you get can get a cell with a calculation like:
=(ABS(H3-G3)+ABS(H3-G4)+ABS(H3-G5)+ABS(H3-G6)+ABS(H3-G7)+ABS(H3-G8)+ABS(H3-G9)+ABS(H3-G10)+ABS(H3-G11)+ABS(H3-G12)+ABS(H3-G13)+ABS(H3-G14)+ABS(H3-G15)+ABS(H3-G16)+ABS(H3-G17)+ABS(H3-G18)+ABS(H3-G19)+ABS(H3-G20)+ABS(H3-G21)+ABS(H3-G22))/20
because the basic CCI calculation is the formula:
(typical price – n day simple moving average of typical price) / (.015 * mean deviation)
Where mean deviation is the average of the absolute values of the difference between the last n days typical price and the current n day simple moving average (hence the sum of abs(H3-Gx)).
If you want to change the number of periods from 20, to say, 99, then the formula becomes very tedious to enter. However, it seems there is an easier way to enter the formula in Excel (at least from a number of characters to type perspective) and that is to use array formulas (which I used in the medianifs calculation in a prior post). The first 11 columns are from the example in Gstock. Column G is simply the typical price (pivot value)
=(C3+D3+E3)/3
The first new column – which is column L – the first row is the number of periods, and the rest of the column is simply the formula
=(“G”&ROW()&”:G”&(ROW()+$L$1-1))
I did this primarily because I was having problems with getting the array function to work properly when this was part of the formula in column N, but it has the side effect of making the formula in m3 simple:
=AVERAGE(INDIRECT(L3))
The formula in column N is displayed in column O – remember this is an array function, so rather than pressing enter, you need to press ctrl shft enter.
The CCI calculation now becomes – for cell P3 :
=(G3-M3)/(0.015*N3)
Changing the value in L1 from 20 to 99 will recalculate the CCI in column P to be based on 99 periods.
The original Gstock spreadsheet example:
| Data Table | Step-1 | Step-2 | Step-3 | CCI | |||||
| Date | Open | High | Low | Close | Volume | ||||
| 09/19/1996 | 0.86 | 0.9 | 0.85 | 0.9 | ### | 0.883 | 0.823 | 0.033 | 121.425 |
| 09/18/1996 | 0.9 | 0.9 | 0.85 | 0.86 | ### | 0.870 | 0.818 | 0.032 | 107.904 |
| 09/17/1996 | 0.88 | 0.9 | 0.86 | 0.9 | ### | 0.887 | 0.815 | 0.030 | 160.638 |
| 09/16/1996 | 0.86 | 0.87 | 0.85 | 0.86 | ### | 0.860 | 0.811 | 0.026 | 125.160 |
| 09/13/1996 | 0.83 | 0.87 | 0.82 | 0.86 | ### | 0.850 | 0.809 | 0.024 | 117.092 |
| 9/12/1996 | 0.78 | 0.81 | 0.78 | 0.81 | ### | 0.800 | 0.808 | 0.023 | -23.090 |
| 9/11/1996 | 0.78 | 0.79 | 0.77 | 0.79 | ### | 0.783 | 0.810 | 0.024 | -74.023 |
| 9/10/1996 | 0.78 | 0.8 | 0.77 | 0.77 | ### | 0.780 | 0.811 | 0.024 | -87.470 |
| 9/9/1996 | 0.76 | 0.79 | 0.76 | 0.78 | ### | 0.777 | 0.808 | 0.027 | -78.407 |
| 9/6/1996 | 0.76 | 0.78 | 0.76 | 0.77 | ### | 0.770 | 0.805 | 0.029 | -79.563 |
| 9/5/1996 | 0.77 | 0.78 | 0.77 | 0.77 | ### | 0.773 | 0.805 | 0.030 | -69.475 |
| 9/4/1996 | 0.79 | 0.8 | 0.78 | 0.79 | ### | 0.790 | 0.803 | 0.032 | -28.070 |
And additional columns (L-P) showing the alternative calculation method:
| Col L | Col M | Col N | Col O | Col P |
| 20 | Step 2A | Step-3A | CCI | |
| G3:G22 | 0.823 | 0.033 | {=SUM(ABS(INDIRECT(L3)-M3))/$L$1} | 121.425 |
| G4:G23 | 0.818 | 0.032 | {=SUM(ABS(INDIRECT(L4)-M4))/$L$1} | 107.9038 |
| G5:G24 | 0.815 | 0.030 | {=SUM(ABS(INDIRECT(L5)-M5))/$L$1} | 160.6381 |
| G6:G25 | 0.811 | 0.026 | {=SUM(ABS(INDIRECT(L6)-M6))/$L$1} | 125.1596 |
| G7:G26 | 0.809 | 0.024 | {=SUM(ABS(INDIRECT(L7)-M7))/$L$1} | 117.0916 |
| G8:G27 | 0.808 | 0.023 | {=SUM(ABS(INDIRECT(L8)-M8))/$L$1} | -23.0901 |
| G9:G28 | 0.810 | 0.024 | {=SUM(ABS(INDIRECT(L9)-M9))/$L$1} | -74.023 |
| G10:G29 | 0.811 | 0.024 | {=SUM(ABS(INDIRECT(L10)-M10))/$L$1} | -87.4704 |
| G11:G30 | 0.808 | 0.027 | {=SUM(ABS(INDIRECT(L11)-M11))/$L$1} | -78.4067 |
| G12:G31 | 0.805 | 0.029 | {=SUM(ABS(INDIRECT(L12)-M12))/$L$1} | -79.5626 |
| G13:G32 | 0.805 | 0.030 | {=SUM(ABS(INDIRECT(L13)-M13))/$L$1} | -69.4752 |
| G14:G33 | 0.803 | 0.032 | {=SUM(ABS(INDIRECT(L14)-M14))/$L$1} | -28.0702 |
Using similar methodology as the last two months, here is September’s daily action:
To recap, I am plotting the median cumulative daily performance of IWM since 2000, SPY since 1990 and SPY since 2000. The first 10 trading days of the month are 901 – 910. The last ten trading days of the month are 911 – 920. looking at the graph I would say that there is a slight upward bias for the first half of the month (around this month’s options expiration), then downward bias until the last few days of the month. Looking back on August 2011, the predicted early weakness certainly happened, but the recovery back above breakeven doesn’t look like it will happen – at least for IWM and SPY.
