spx S&P 500 Third Friday to Third Friday Closes Ending in Month, 2/70-4/02

S&P 500 Third Friday to Third Friday Closes Ending in Month, 2/70-4/02:

	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:	Month:
	All:	1	2	3	4	5	6	7	8	9	10	11	12
max:	16.4%	9.2%	16.4%	8.8%	8.0%	8.3%	8.3%	7.8%	9.8%	8.4%	9.0%	14.0%	9.4%
min:	-14.4%	-6.2%	-6.6%	-11.6%	-5.6%	-10.2%	-6.6%	-4.5%	-9.4%	-10.4%	-10.2%	-14.4%	-10.0%
median:	0.92%
average:	0.75%	1.93%	1.51%	1.30%	0.61%	0.12%	1.21%	0.92%	-0.21%	-0.25%	0.01%	0.84%	1.00%
Avg, annzd:	9.4%	25.8%	19.7%	16.8%	7.6%	1.4%	15.5%	11.6%	-2.5%	-2.9%	0.1%	10.6%	12.7%
90%	5.86%	5.91%	7.53%	5.86%	5.40%	4.71%	6.36%	4.43%	6.21%	4.31%	3.47%	5.90%	4.52%
75%	3.42%	3.67%	4.31%	3.88%	2.62%	3.54%	2.85%	2.50%	3.02%	2.93%	2.83%	3.35%	2.77%
50%	0.92%	1.97%	0.62%	2.05%	0.54%	-0.30%	0.86%	0.51%	0.08%	0.60%	0.94%	1.26%	1.34%
25%	-1.57%	-0.07%	-2.28%	-1.10%	-1.72%	-1.89%	-0.60%	-0.31%	-4.11%	-2.29%	-2.29%	-1.72%	-0.64%
10%	-4.52%	-1.48%	-3.42%	-2.28%	-3.72%	-3.88%	-1.96%	-2.73%	-7.18%	-6.24%	-5.84%	-5.54%	-3.70%

Month:	max:	min:	Average:	Avg annzd:	90%	75%	50%	25%	10%
All:	16.4%	-14.4%	0.75%	9.4%	5.86%	3.42%	0.92%	-1.57%	-4.52%
1	9.2%	-6.2%	1.93%	25.8%	5.91%	3.67%	1.97%	-0.07%	-1.48%
2	16.4%	-6.6%	1.51%	19.7%	7.53%	4.31%	0.62%	-2.28%	-3.42%
3	8.8%	-11.6%	1.30%	16.8%	5.86%	3.88%	2.05%	-1.10%	-2.28%
4	8.0%	-5.6%	0.61%	7.6%	5.40%	2.62%	0.54%	-1.72%	-3.72%
5	8.3%	-10.2%	0.12%	1.4%	4.71%	3.54%	-0.30%	-1.89%	-3.88%
6	8.3%	-6.6%	1.21%	15.5%	6.36%	2.85%	0.86%	-0.60%	-1.96%
7	7.8%	-4.5%	0.92%	11.6%	4.43%	2.50%	0.51%	-0.31%	-2.73%
8	9.8%	-9.4%	-0.21%	-2.5%	6.21%	3.02%	0.08%	-4.11%	-7.18%
9	8.4%	-10.4%	-0.25%	-2.9%	4.31%	2.93%	0.60%	-2.29%	-6.24%
10	9.0%	-10.2%	0.01%	0.1%	3.47%	2.83%	0.94%	-2.29%	-5.84%
11	14.0%	-14.4%	0.84%	10.6%	5.90%	3.35%	1.26%	-1.72%	-5.54%
12	9.4%	-10.0%	1.00%	12.7%	4.52%	2.77%	1.34%	-0.64%	-3.70%

This table illustrates how the market performed, not close-to-close but options expiration to options expiration (every third Friday), February, 1970, to April, 2002. Key points:

- The average month rose .75% (.92% median) with a 3.42% 75^th percentile and -1.57% 25^th percentile.

- The best month was January (1.93% average), followed by February (1.51% average), then March (1.30%).

- The worst months were August (-0.21%) and September (-0.25%).

- The safest months (highest 10^th percentile) were January, March, and July.

- The most dangerous months (lowest 10^th percentile) were August, September, and October.

Stochastic of Last 12 Weeks Versus Next 4 Week's Return:

Does the market have a memory? If so, then the relationship of prices to a past price range should predict some sort of regression to a mean, meaning that extremely low readings of a stochastic ( (c - lowest low) / (highest high - lowest low)) should predict future above average returns. As it turns out, this is NOT the case. Knowing where this month's close is relative to the prior 12 weeks' high-low range is useless for determining future price change. If anything, there is a direct relationship, meaning that closes in the upper end of the prior 12 week range predict slightly higher subsequent average market changes.

	Stochastic at close of month:	Percentage Change Next Month:
n:	384	384
Max:	100.00	14.9%
Min:	0.58	-16.9%
Average:	61.80	0.6%
Median:	68.10	0.9%

Sliced data:			Stochastic:
		n:	From:	To:	Avg % change:
	Min-10%	39	0.58	17.20	0.45%
	10-25%	57	17.20	41.12	-0.06%
	25-50%	96	41.12	68.10	0.58%
	50-75%	96	68.10	86.37	0.35%
	75-90%	57	86.37	95.28	0.76%
	90-Max	39	95.28	100.00	0.78%
		384
In fourths:
		n:	From:	To:	Avg % change:
	Min-25%	96	0.58	41.12	0.15%
	25-50%	96	41.12	68.10	1.07%
	50-75%	96	68.10	86.37	0.35%
	75-Max	96	86.37	100.00	0.77%
		384

In thirds:
		n:	From:	To:	Avg % change:
	Bottom	127	0.58	49.95	0.40%
	Middle	126	49.95	80.48	0.67%
	Top	131	80.48	100.00	0.68%
		384