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.
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