NDX vs. SPX

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A short-term positive sign on Friday was the outperformance of the Nasdaq100 vs. the S&P500. While the SPX fell just over 1%, the NDX was only down 0.4% at the end of day. When the SPX is down 1%+ and the NDX 0.5% or less, the S&P is 23-7 (77%) over the next few sessions vs. 55% random odds. Average gain was 3%, more than double the average loss of 1.2%. 2% moves were 10-1…

SPX -1%, NDX >-0.5%
12/17/21… SPX ??? three sessions later
09/30/21… SPX +0.9% three sessions later
09/21/20… SPX -1.1% three sessions later
05/19/20… SPX +1.1% three sessions later
04/13/20… SPX +1.4$ three sessions later
03/23/20… SPX +17.6% three sessions later
05/29/18… SPX +1.7% three sessions later
02/11/16… SPX +5.3% three sessions later
01/20/16… SPX +1.0% three sessions later
09/08/11… SPX -1.1% three sessions later
05/24/10… SPX +2.7% three sessions later
10/26/09… SPX -0.1% three sessions later
06/03/09… SPX +0.8% three sessions later
05/15/09… SPX +2.3% three sessions later
05/11/09… SPX -1.8% three sessions later
04/27/09… SPX +1.8% three sessions later
03/19/09… SPX +2.8% three sessions later
02/20/09… SPX -0.7% three sessions later
10/29/08… SPX +3.9% three sessions later
10/10/08… SPX +1.0% three sessions later
10/08/08… SPX +1.9% three sessions later
08/12/08… SPX +0.7% three sessions later
07/31/08… SPX +1.4% three sessions later
07/15/08… SPX +3.8% three sessions later
05/23/08… SPX +1.6% three sessions later
06/13/06… SPX +2.3% three sessions later
05/12/05… SPX +1.3% three sessions later
03/09/05… SPX -0.1% three sessions later
04/16/03… SPX +3.6% three sessions later
01/22/03… SPX -3.5% three sessions later
10/09/02… SPX +8.3% three sessions later

In reference to my last note on the S&P’s performance post-triple witching, a number of readers correctly noted that those occurrences in December tended to buck the negative trend. So I went back and reran that study just looking at December expirations. Over 23 occurrences since 1990, the S&P was up 17 times, down 6 times one week later. That’s not significantly better than random odds, but it’s quite a bit better than performance following the other quarterly expirations…

S&P500 MTD Positive on December Options Expiration
12/17/21… SPX ???
12/18/20… SPX +0.7% one week later
12/20/19… SPX +0.0% one week later
12/15/17… SPX +0.3% one week later
12/16/16… SPX +0.3% one week later
12/19/14… SPX +1.0% one week later
12/20/13… SPX +1.3% one week later
12/21/12… SPX -0.3% one week later
12/17/10… SPX +1.1% one week later
12/18/09… SPX +2.3% one week later
12/21/07… SPX -1.1% one week later
12/15/06… SPX -1.1% one week later
12/16/05… SPX +0.1% one week later
12/17/04… SPX +0.9% one week later
12/19/03… SPX +1.9% one week later
12/21/01… SPX +0.3% one week later
12/17/99… SPX +2.5% one week later
12/18/98… SPX +3.2% one week later
12/15/95… SPX -0.7% one week later
12/16/94… SPX +0.4% one week later
12/17/93… SPX +0.9% one week later
12/18/92… SPX -0.5% one week later
12/20/91… SPX +7.3% one week later
12/21/90… SPX -0.5% one week later

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