Thursday, December 18, 2008

Number of "waves" in the market

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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