Thursday, December 18, 2008
Trading RM tracks the number of "waves" in the SPX every day, week, and month. I looked up some stats for what we define as "waves." Being shorter term option traders I am curious as to how this expiration is shaping up as compared to the most recent expirations. from this I can gauge my expectations for PnL, # of trades, and aggressiveness against how I did previously. Here is a brief table with the stats (# of "waves" per day):
Day September October November December
Wednesday before expiration Friday 38 48 38 19
Thursday before expiration Friday 58 97 67 18
expiration Friday 30 62 66 ?
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