Many of you saw my earlier post on how rare consecutive 2% down days is...
So I decided to expand the analysis a little to see what the daily change is day by day rather than just 1 day, 5 days & 20 days later and this is what I got...
I think this does a good job showing that on average we get a pretty good bounce the next day and how much the data is skewed by Black Monday. Black Monday was actually a 4th consecutive >2% down day.
But then this evening I was reading rsm005's post in the ES Option Selling thread...
Which got me thinking, is that true, is Friday selling really that scary... which then had me generate this pretty scary chart...
Post 1987 there have been 24 consecutive down days.
21 of these have occurred on Mon-Thur and the next day the market is up and average of 2.1%
Just 3 of these have occurred on a Friday. ALL All 3 OCCURENECES the market was DOWN the next day by an average of 2.2%. Even worse 2 of the 3 occurrences the market was down AGAIN on the following day.
Remember this is post 1987 and excludes Black Monday If you include 1987 these numbers will look much much worse.
The 3 Fridays in question were 7/19/2002, 8/2/2002 & 1/30/2009
Re Black Monday. On Wed 10/14/1987 -2.95%, Thu 15 -2.34%, Fri 16 -5.08%, Mon 19 -20.46%, Tue 20 +5.23% & Wed 21 +9.10%
Apologies for cross posting this but I'm posting it in the ES options Selling Thread, ES Analysis Thread, Big Mike's Thread & the Homework Thread.