SPY - LONG - Jobless claims data coming up (quants analysis)
Updated
SPY got into a uptrend on the weekly charts as indicated by higher highs and higher lows (marked with yellow zones).We have made a higher high again indicating continuation of uptrendAt 289 levels we got the entry signal on the RSI and indicator has been holding on very well
Since then, we have a nearly 7 pc move and looks good ahead, unless trend broken
Any new entries can be timed by looking at lower time frames. on the retracement moves!
Next Jobless claims are due on 14th November 2019. Over the lookbacl for last 3 years data, I am sharing some quants data below
1.75% of the time ( 9 out of 12 times), SPY has given an average return of 0.7% 1 week prior to Jobless Claims data announcement date.
2. 5 out of 5 times in the past 3 years you would make positive returns (average of 0.9%) if you were to buy 2 days after the event date.
3. If you were to buy 1 week after the event, then 73% of the times (8 out of 11 times) you would make an average return of about 0.5%
Possible positive returns ahead from both loopback analysis as well as chart ideas
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Cheers
Akhil
Note
Cost if hedging a USD 100 portfolio has gone down from 1.5% tp to 1,1% indicating that fear gauge is subdued, positive short term and in the options space order flow sentiment is moving from bullish to bearish (more puts than calls)1. Current O/s Bullish positions - 35% of contracts and 37% of notional amounts
Current Bearish - 65% of contracts and 63% of notional
5 days average : Bullish contracts positions : 39% and and bearish - 41% of notional
Bearish contracts position : 61% and bearish notional positions : 59%
30 day Average : Bullish contracts positions : 39% and bullish notional amounts 42%
Bearish contracts position : 61% and as a notional : 58%
There is an increase in both bearish contracts open and higher notional as bearish positions as a percentage
Interesting to mix various parameters
Cheers
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