spx July 4th

Fourth of July and the S&P 500:

S&P 500 % change by year and day around July 4th Holiday: - eg on July 3, 1980, the market rose 1.54%
					July:
	1	2	3	4	5	6	7	8	9
1980	0.60%	0.65%	1.54%				0.71%	-0.38%	0.12%
1981	-1.10%	-0.87%				-0.99%	0.68%	0.06%	0.76%
1982	-0.82%	-0.98%		H		-0.33%	-0.07%	0.29%	1.21%
1983	0.60%			O	-1.21%	1.13%	-0.55%	-0.29%
1984		0.01%	0.33%	L	-0.61%	-0.34%			0.74%
1985	0.30%	-0.22%	-0.29%	I	0.56%			-0.31%	-0.46%
1986	0.48%	0.26%	-0.36%	D			-3.07%	-1.01%	0.51%
1987	-0.35%	0.89%		A		-0.23%	0.81%	0.29%	-0.25%
1988	-0.63%			Y	1.48%	-1.37%	-0.09%	-0.65%
1989			0.39%		0.44%	0.28%	1.04%
1990		0.42%	0.17%		-1.24%	0.77%			0.31%
1991	1.82%	-0.12%	-1.10%		0.20%			1.03%	-0.48%
1992	1.16%	-0.27%				0.50%	-1.13%	0.27%	0.96%
1993	-0.34%	-0.71%				-0.99%	0.32%	1.31%	-0.12%
1994	0.43%				0.04%	-0.05%	0.50%	0.26%
1995			0.43%		0.03%	1.23%	0.43%
1996	0.78%	-0.34%	-0.18%		-2.22%			-0.75%	0.34%
1997	0.67%	1.46%	1.43%				-0.51%	0.72%	-1.22%
1998	1.30%	-0.19%				0.95%	-0.23%	1.02%	-0.67%
1999	0.60%	0.74%				-0.22%	0.56%	-0.10%	0.64%
2000			1.03%		-1.59%	0.72%	1.53%
2001		1.01%	-0.18%		-1.23%	-2.35%			0.69%
2002	-2.14%	-2.12%	0.62%		3.67%			-1.22%	-2.47%
Grand Total	3.38%	-0.36%	3.82%		-1.68%	-1.30%	0.93%	0.56%	0.59%
Average:	0.20%	-0.02%	0.29%		-0.13%	-0.08%	0.06%	0.03%	0.03%
Annualized:	64.2%	-5.1%	108.4%		-27.6%	-18.3%	15.7%	8.5%	9.1%

Average S&P 500 Daily % Change Versus Days Prior to July 4^th

	-3	-2	-1	0	1	2	3
1980	0.60%	0.65%	1.54%		0.71%	-0.38%	0.12%
1981	-0.52%	-1.10%	-0.87%		-0.99%	0.68%	0.06%
1982	-0.54%	-0.82%	-0.98%	H	-0.33%	-0.07%	0.29%
1983	0.58%	0.60%	0.60%	O	-1.21%	1.13%	-0.55%
1984	0.22%	0.01%	0.33%	L	-0.61%	-0.34%	0.74%
1985	0.30%	-0.22%	-0.29%	I	0.56%	-0.31%	-0.46%
1986	0.48%	0.26%	-0.36%	D	-3.07%	-1.01%	0.51%
1987	-1.27%	-0.35%	0.89%	A	-0.23%	0.81%	0.29%
1988	-0.49%	0.93%	-0.63%	Y	1.48%	-1.37%	-0.09%
1989	-1.88%	-0.53%	0.39%		0.44%	0.28%	1.04%
1990	-0.53%	0.42%	0.17%		-1.24%	0.77%	0.31%
1991	1.82%	-0.12%	-1.10%		0.20%	1.03%	-0.48%
1992	-0.20%	1.16%	-0.27%		0.50%	-1.13%	0.27%
1993	-0.04%	-0.34%	-0.71%		-0.99%	0.32%	1.31%
1994	0.35%	-0.75%	0.43%		0.04%	-0.05%	0.50%
1995	-0.16%	0.16%	0.43%		0.03%	1.23%	0.43%
1996	0.78%	-0.34%	-0.18%		-2.22%	-0.75%	0.34%
1997	0.67%	1.46%	1.43%		-0.51%	0.72%	-1.22%
1998	-0.41%	1.30%	-0.19%		0.95%	-0.23%	1.02%
1999	1.57%	0.60%	0.74%		-0.22%	0.56%	-0.10%
2000	-0.85%	0.85%	1.03%		-1.59%	0.72%	1.53%
2001	-0.15%	1.01%	-0.18%		-1.23%	-2.35%	0.69%
2002	-2.14%	-2.12%	0.62%		3.67%	-1.22%	-2.47%
Average:	-0.08%	0.12%	0.12%		-0.26%	-0.04%	0.18%
Annualized:	-17.7%	34.6%	36.2%		-47.2%	-9.8%	55.6%

This is the most important table. Clearly, the S&P 500 has a propensity to rise the 2 days prior to the July 4^th holiday, but then sells off the day after. Going long 2 days prior, then exiting BEFORE the holiday is the optimal strategy. Re-entering at the close 2 days AFTER the holiday also would lead to a solid gain.

See also: - p.86 shows market behavior 3 days before and 3 days after holidays
- day after Easter is worst day
- Thanksgiving is bullish mainly the day before: .05 > .06 > .3 days 3, 2, and 1 prior, then day after .18% average then .14 drop average S&P 500
- Christmas tends to rise .21 then .2 then .22 the day prior then .14 then .09 then .31 for 3 days after