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Moby Waller
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Moby Waller is a former CBOE Market Maker floor trader and off the floor London-based European Index Options Trader. He now works with BigTrends.com and is a Research Analyst and Portfolio Manager for BigTrends.com's ETF TRADR (http://www.bigtrends.com/getstarted/etfgrowth/), which provides... More
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BigTrends
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BigTrends Blog
  • Thursdays, Fridays, and Mondays in 2009 0 comments
    Apr 8, 2009 12:52 PM | about stocks: SPY, SPY, DIA

    Recently we ran an article that showed that 2009 was on pace to be the most volatile year since the 1930s in terms of day-to-day % moves in the Dow Jones Industrial Average (DJIA).  There's always been chatter among traders and talking heads about "volatile Fridays", "weekend risk", etc.  Recently this kind of talk has accelerated, and it seems like we have seen many huge moves on Fridays, Mondays, etc.  We decided to run some data on the S&P 500 Index (SPX) and see what the actual results show.

    Bob Geldof sang in the 1980s, "I Don't Like Mondays" ... but how has the market felt about Mondays in 2009?

    We examined at S&P 500 Index Open & Close data for every Thursday, Friday & Monday in 2009 (for market holidays we used the previous or next trading day).  This is only about 13 points of data on each day, but some interesting results showing up thus far this year.
     
     


    Basically, some of the key points that jump out from the data are:

    Mondays have been bullish on average -- showing a strong average Open to Close net move of +1.26% this year.

    Big Monday moves -- The most volatile Mondays on an Open/Close basis this year have had much bigger moves than Thursdays & Fridays.

    Buy the weekend -- Buying Friday's Open SPX and selling on Monday's Close has shown an average gain of 1.44% this year.

    The market will move -- As has been much discussed, the market has been extremely volatile this year.  Fully 92% of the time, if you bought Thursday's Open and sold on Monday's Close, the S&P would show a 2% or more net move in that time frame.

    Certainly there is room for further analysis here, in areas such as Open/High/Low/Close (OHLC), the other days of the week, etc.  But some quick number-crunching on 2009 thus far shows some interesting results.

    Have a great day,
    Moby Waller,
    BigTrends.com
    1-800-244-8736

    Disclosure:  No positions

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