Delivered As Promised

Week #42 delivered as statistically promised as the SPX closed 30.29 handles in the plus. That’s a very good start to our 2019 EOY earnings season and the weekly Sharpe ratio stats suggest more upside ahead in the weeks to come.

Historically we are good to go for three more weeks (including this one) until November 11th when we’re scheduled for a bit of a breather.

That’s on an average basis since the early 1990s, let’s not forget, and given recent volatility levels anything can of course happen at any time. Let’s also not forget that we are heading into an election year, which should be fun 😉

The trading range should be elevated, as it is expected for October until early November, but that’s again only historically speaking. If you want a more precise number look no further than implied volatility on the weekly SPX options expiring this Friday:

The market is expecting a range of +/- 11.92% or 33.54 handles. I hate to sound like a broken record but market efficiency at this point, as expressed by implied volatility in three weekly SPX expirations, has become extremely high. And yes, even during earnings season.

Tony and I are actually working on an option strategy that seeks to exploit this very phenomenon and we should be ready to rock & roll just in time for the January 2020 earnings season.

So we’ve got a range and we have a direction, so we are all set it seems. Well, maybe not… as always there’s a caveat:

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