Max Pain Results For September

For the entire September-expiration month I tracked the options activity for some of the most traded symbols in the US market. These included SPY, IWM, XLF, QQQQ, and DIA.

For the most part of the month the price of these symbols was well below their max pain values (as computed by iqauto). However, on expiration day, the average difference between price and max pain value jumped quite significantly to very close to zero (+0.05%).

Last month, there were changes during the day that moved max pain values closer to the stock price and vice-versa. This month, the action was almost entirely on the stock prices, which is quite remarkable as the last day began with the average difference between price and max pain value down -4.47% (and it was -9.43% on Wednesday)

The average difference for all symbols tracked is show on the chart below:




This month was indeed remarkable. Max pain values looked completely off all month, yet in the end they somehow managed to be correct - on average.


Individual Symbols:

Massive Volume of SPY Options Created Just Before Bailout Was Announced, Then Vanished

On Thursday September 18 there was a massive creation of SPY deep in the money calls very late in the day. The average daily amount traded on SPY is somewhere around $100M. On that day, when the massive $0.7T US bailout of wall street was about to be announced, $792M were traded. The majority of these trades were spread out through strike prices from 60 to 100, while SPY was trading much higher around 115.

Positions and Trading on Wednesday, Thursday, and Friday at the end of the day (data from Yahoo):



(Please click on image to enlarge)

Some samples from RBC for individual strikes, from both Thursday and Friday:



Note that on Thursday all these trades happened at or around 4PM, give or take a couple of minutes. Even more strangely, note how the options simply disappeared on Friday. They were not traded as there was no volume, yet they do not show up in the open interest. The options simply vanished.

A Potentially Rewarding Investment in Nortel, Deeply Troubled, Deeply Undervalued

Nortel yesterday announced a reduced sales forecast as well as the intended sale of a key Metro Ethernet division (a "premium asset"). The market responded by dropping its stock price by more than 50%. The day Nortel chose to make this announcement coincided with a global meltdown (what were they thinking?) certainly helped push the stock off a cliff. The company clearly has its share of troubles.

Notwithstanding these troubles, the company's valuation at the end of the day yesterday was USD$1.3B. With sales of $10B ($8.5B excluding Metro Ethernet), this means the company trades at 12% of annual sales, which is tremendously undervalued compared to its peers. Cisco trades at 3X annual revenues, that is 25X higher than Nortel's ratio. A common, reasonable high-tech company would trade at least at 1X annual sales. The Metro Ethernet division alone, with superb and unique optical products (for example allowing telcos to run 4x or 10x traffic on existing fiber lines) could fetch $500M to $1.5B alone.
Nortel also has a wireless division (particularly for LTE, Long Term Evolution) which is riskier but is worth something as well.

Moreover, the company's cumulative tax losses are roughly $6B. A profitable company which buys Nortel as a whole will inherit these tax losses, which can be worth approximately $1B in cash savings for the acquirer.

The company is selling its premium division because it is in trouble, its financial position is not strong, customers are buying less, competition is tough, and it does not enjoy the economies of scale of other players such as Cisco and Ericsson. However, I believe the company is deeply undervalued at the current prices, at least by a factor of 2 or more.

On the negative side, the company has $3.1B in cash, and $4.5B in debt.

Counting the Metro Ethernet sale as $1B, tax losses at $1B, and not counting any assets, technology, people, the company is worth a solid $0.6B in cash. Adding a paltry 50% annual revenues, the company is worth north of $4.5B, compared with the current market cap of $1.3B.

While you can be rewarded by buying the stock straight, a potentially rewarding strategy is to use leverage and buy the following call options.

September 2.50 traded at 0.30.
October 2.50 traded at $0.60
October 5.00 traded at $0.05
December 2.50 traded at $0.70
December 5.00 traded at $0.15

The September and October 2.50s and the December 5s can be extremely rewarding. Keep in mind that the current stock market steep decline is not over yet. Please do your own diligence.

Solid High Yield Income Trusts Candidates to Park Your Money

If you are looking for places to safely park your money in the months ahead, while earning a good return in the meantime, you may be interested in some Canadian income trusts.

TAX LAW. The taxation for income trusts will change in 2011. At that point, income trusts will lose some of their tax advantages. It is expected that some income trusts will revert back to corporations. Others, have tax advantages that carry over for a few more years. In any case, until then there is plenty of time to invest in them.

YIELD: In choosing an income trusts you want a good dividend yield, but not exaggerated (which typically mean a return of your capital as opposed to a dividend payment). You capital may also decrease depending on the business the income trusts is involved in. For example, some income trusts invest in car dealerships. This is not likely to be a good investment when a recession is happening now, or is around the corner.

It used to bet that most Canadian income trusts were in the energy field (among other reasons, to attract foreign capital). These trusts have gone up in price when the price of oil went up, and have now come down. If oil continues to drop to around $80, they may still have some downside. It is also possible that some of the oil and gas trusts could cut their distributions if the price of the commodity drops. This was for example, discussed in the latest meeting of the Board of AN.UN (you can see it from their financial reports on their web site).

TOP SELECTION:

The income trusts listed below were filtered out of a list of a couple of hundred of them. They are either rated 4 or 5 stars by the Globe and Mail. They are:



(Please click on images to enlarge)

They are shown in detail below. Star rating is shown below each symbol.


A&W Revenue Royalties Income Fund is a Canada-based limited purpose trust. It is established to invest in A&W Trade Marks Inc. (Trade Marks), which owns the A&W trade-marks used in the A&W quick service restaurant business in Canada.




Canadian Oil Sands Trust is an open-ended investment trust. The Trust has a 36.74% working interest in the Syncrude Joint Venture (Syncrude). Syncrude is involved in the mining and upgrading of bitumen from oil sands in Northern Alberta, and is operated by Syncrude Canada Ltd. (Syncrude Canada). Syncrude Canada operates oil sands mines, utilities plants, bitumen extraction plants and an upgrading complex that processes bitumen into a sweet crude oil. Syncrude's production is sent by pipeline to Edmonton area refineries and to pipeline terminals, which ship it to refineries in Canada and the United States. The Syncrude Project is located 40 kilometers north of the town of Fort McMurray in Alberta, Canada. Syncrude's leases are in the sweet spot of the Athabasca Oil Sands deposit, spanning over 102,000 hectares and holding enough crude oil resource to produce 500,000 barrels per day for more than 50 years.




NAL Oil & Gas Trust is an open-end investment trust created to acquire a royalty from NAL Energy Inc. (NAL) and to issue trust units to the public. NAL acquires oil and natural gas properties and sells a royalty to the Trust entitling the Trust to 99% of the revenues from the properties held by NAL. The Trust also receives distributions, directly or indirectly, from NAL GP, Ventures Trust, Addison LP, NAL Energy GP, NAL Energy LP, NAL Partnership and 1331899. As of December 31, 2007, the Trust held assets in Southeast Saskatchewan, Central Alberta, Sylvan Lake, Alberta, Pine Creek, Alberta, and Monkman, British Columbia. During the year ended December 31, 2007, the production totaled 20,501 barrels of oil equivalent per day. The Trust is managed by NAL Resources Management Limited, which is a wholly owned subsidiary of Manulife Financial Corporation. On August 31, 2007, NAL closed the acquisition of Seneca Energy Canada Inc.



Noranda Income Fund is a Canada-based, open-ended trust. The Fund was created to acquire Xstrata Canada Corporation's (Xstrata Canada) CEZinc Processing Facility (the Processing Facility), located in Salaberry-de-Valleyfield, Quebec. Xstrata Canada is a wholly owned subsidiary of Xstrata plc. The Fund distributes the cash generated by the Processing Facility, to its unit holders. The primary objective of the Fund is to provide monthly cash distributions to its unit holders. During the year ended December 31, 2007, the Fund processed approximately 514,000 tons of zinc concentrate. Canadian Electrolytic Zinc Limited acts as the manager of the Fund.



Pizza Pizza Royalty Income Fund is a limited purpose, open-ended trust established to indirectly, through the Partnership, acquire the trademarks and trade names used by Pizza Pizza Limited (Pizza Pizza) in its Pizza Pizza and Pizza 73 restaurants. On July 24, 2007, the Partnership acquired the trademarks and other intellectual property of Pizza 73 (the Pizza 73 Rights) from Pizza 73, Inc.



Penn West Energy Trust is an open-ended investment trust. The Trust's principal undertaking is to issue Trust Units, and to acquire and hold securities of subsidiaries, net profits interests (NPI), royalties, notes and other interests. Its direct and indirect subsidiaries and partnerships carry on the business of acquiring, developing, exploiting and holding interests in petroleum and natural gas properties, and assets related thereto. Penn West Petroleum Ltd. (PWPL) is actively engaged in the business of oil and natural gas exploitation, development, acquisition and production in Canada. The Trust is the sole shareholder of PWPL. The Trust is a party to NPI Agreements with PWPL and certain other operating entities pursuant to which the Company has the right to receive the NPIs on petroleum and natural gas rights held by PWPL and the other operating entities from time to time. The Trust's production and reserves are attributed to more than 200 producing properties.



SIR Royalty Income Fund is an investment trust. The trademarks related to the SIR Corp. (SIR) concept restaurant brands, including Jack Astor's Bar and Grill, Alice Fazooli's! and Canyon Creek Chop House, and SIR's signature restaurant brands, including reds, Far Niente/Soul of the Vine, Petit Four, and the Loose Moose Tap & Grill, is used by SIR under a license agreement with SIR Royalty Limited Partnership (the Partnership) in consideration for a Royalty, payable by SIR to the Partnership. As of December 31, 2007, SIR operated more than 40 Concept Restaurants and Signature Restaurants in Canada. The Fund receives distribution income from its investment in the Partnership and interest income from the SIR Loan. On January 1, 2007, three new SIR Restaurants were added to the Royalty pool in accordance with the License and Royalty Agreement. SIR owns 100% of all its Canadian restaurants, except for Jack Astor's Don Mills Limited (50%).





K-Bro Linen Income Fund is an open-ended, limited-purpose trust based in Canada. The Fund was created for the purpose of acquiring, directly or indirectly, all of the issued and outstanding securities of K-Bro Linen Systems Inc. (K-Bro). K-Bro owns and operates laundry and linen processing facilities in Canada. It provides a range of services to healthcare institutions, hotels and other commercial accounts. These services include the processing, management and distribution of linen, including sheets, blankets, towels, operating room linen and a variety of other types of linen. Its healthcare customers include hospitals and long-term care facilities. As of December 31, 2006, K-Bro owned and operated processing facilities from leased premises in six Canadian cities, including Toronto, Edmonton, Calgary, Vancouver, Victoria and Quebec City. K-Bro owns 100% of the shares of K-Bro Linen Inc. and is a 99% limited partner in KBL limited Partnership.





Disclaimer: I currently have no position in any of these but I am looking for an entry.

Investments in Brazil Since 2007

In recent weeks the USD has risen significantly after a lengthy decline. This, coupled with the withdrawal of funds from emerging markets by distressed financial institutions, among other issues, has cause the Brazilian stock market to drop recently. However, anyone who invested in Brazil since 2007 would still be far better off when compared with investing in the US markets:

Bovespa index on Jan 1 2007: 45,383 (US$21,221)
Bovespa index on Jan 1 2008: 62,815 (US$34,704)
Bovespa index on Sep 6 2008: 51,940 (US$30,096)

Bovespa performance in USD:

Since Jan 2007: +41.8%
Since Jan 2008: -13.2%

SPX performance:

Since Jan 2007: -14.1%
Since Jan 2008: -12.3%


While in 2008 the performances are comparable measured in USD, anyone who had invested in Brazil would far, far better off since 2007: +41% in Brazil vs -14% for the SPX.

In Jan 2007, in USD bought 2.13 R$. Today one USD buys only R$1.72. As a side note, US investors should note that the US market is a bit of an illusion. This is particularly true for those who thought that the US market went up in 2007. The gains were greatly due to the falling USD, which means, the USD buys less.

Those who own real estate properties (or even stocks) which have on top of it lost face value, have had even larger losses in real terms.

A Very Attractive Strategy on Oil

Oil prices are expected to move quite a bit in the next few days. Straddles and strangles could be considered. These strategies allow the investor to benefit if the oil moves both up or down. This page shows some possibilities for both USO and UNG (prices will be updated a few times during the day today):

http://nexalogic.com/strangles.html

Clearly the USO positions are very attractive. The first two positions require a move of around 9% to be profitable. With oil expected to either move to 130 or drop to 110 that will be achieved and surpassed. Given that we still have more than 2 weeks to expiration, there will be also residual value on the side of the straddle that goes wrong.

Looks very good, please do your due diligence.

UPDATE 3:50PM: Best strangle was:

93 puts: $4.20 x 12 = $5,046
plus
94 calls: @$4.15, *12 = $4,986

Total invested = $10,032

-------

UPDATE Tuesday September 2nd, prices, 10AM:

93 puts: $7.70 x 12 = $9,240
plus
94 calls: @$1.60, *12 = $1,920

Total amount = $11,160

Return on Investment: 11.1%

Correlation of the Most Traded Stocks in the US

Following up on yesterday's correlation study, here is a table of correlations of the most traded stocks in the US. This list contains all stocks whose 90 day Simple Moving Average of Volume multiplied by the closing price is greater than $1B.



Please click on image to enlarge.


NOte that GS (Goldman Sachs) is not correlated to anything else in any major way.

Stock Correlation Study: Oil, Gold, Currencies are Highly Correlated

This article shows a study of correlation on a number of stocks and ETFs. The correlation uses closing prices data since August 1 2008.

Correlation is very useful for hedging and diversification. An investor who wants diversification should always look at the correlation factor between stocks and should not buy highly correlated ones. Similarly, an investor who is looking at hedging long position should be looking at negatively correlated stocks.

The data is also useful for investors in registered accounts who cannot short stocks or buy puts. An investor who wishes to shirt oil for example, can simply buy UAUA as the two stocks have been highly negatively correlated.

Clearly, there is a large relationship between currencies and oil and gold. Clearly also there are very high negative correlations between the general markets and oil and gold.

Please note that correlation does not necessarily mean a causality relationship, but it does indicate that the prices march together.


The following table shows the high positive and negative correlations of over 0.85 (or -0.85):



(Please click on image to enlarge.)


The following table shows the positive and negative very high correlations of over 0.90 (or -0.90):



The following table shows the positive and negative extremely high correlations of over 0.95 (or -0.95):




The following table shows the list of positive correlations (<0.90) for each of the symbols:




Similarly, this table shows the list of negative correlations (<-0.90):




(Please click on image to enlarge)


Some of the data may surprise investors. Clearly there are clusters of highly correlated stocks. Please see the maps below, which show a graphical representation of the very highly correlated stocks (<0.95), green edges are positive correlations, red are negative:





And this is a graphical representation of the very highly correlated stocks (>0.90):

Max Pain Report For August 2008

This is a report of what happened at the end of options expiration.

The week started with DIA and SPY significantly off their Max Pain values, 3.3% and 2.1% respectively (please see the max pain live page). At the end of the week, these figures were down to -0.4% and 0.9%. This was quite remarkable. However, what also occurred is both stock prices and max pain values fluctuated. DIA went from $117.80 to $115.40 on Wednesday to $116.43 o Friday. DIA's max pain went from 114 to 115 on Tuesday, jumping 2 points to 117 on Friday. While the stock prices moved closer to MP, MP also moved closer to the prices on the expiration day.

The situation with SPY was similar. Stock price went from 130.71 to 130.57 to 130.17. Its max pain was steady at 128 all week, moving one point to 129 on Friday.

These changes throughout the week can be seen in the chart below, which shows the average difference between the stock price and the max pain value for DIA, SPY, XLF, and QQQ.



The following chart shows the final differences in $ (stock price - max pain value):



Clearly, max pain theory was correct this moth for DIA, SPY, XLB, and XLF. Clearly it did not work so well for XLE, GG and USO (energy ETF, gold miner and oil respectively, commodities which have suffered very significant declines in the last couple of weeks).

As for Max Pain theory, "one month a proof does not make". There seems to be indeed a magnet for prices somewhere. What can be said at this point is that Prices and max pain values do appear converge to each other.

In term of money and profits made. This was the situation for DIA at the end of the day on Friday:



This is what option writers made for several average premiums charged.



This is what the in the money options holders kept, and made, at the end of the day:



This was the situation for SPY at the end of the day on Friday:



This is what the SPY option writers made for several average premiums charged.



This is what the SPY in the money options holders kept, and made, at the end of the day:




These figures do not include the trades made on Friday itself, options buyers who cashed into their profits or any writers who simply locked into their profits by covering or buying back their options. The total number of options closed (which means open interest dropped) on Friday, as well as the $ traded is shown below:

DIA:



SPY:



It can clearly be seen that the $ traded on Friday were primary for calls: 68% for DIA and 76% for SPY. This makes sense as call holders do not want to exercise their rights (and buy a very large number of shares), but rather they just wish to cash into their profits by selling the calls.

The total $ value for SPY was $26M, again shared between buyers and writers. Since this constitutes a small fraction of the open interest $ we will add the amount traded for the calls to their profits. Remember this is just an estimate.

Therefore, at a $2 average premium, the DIA options writers made approximately $49M. The options buyers made approximately $27M . The SPY options writers faired even better making approximately $480M, while the options buyers made approximately $142M.

While these figures are approximations, it clearly pays to write options as opposed to buying them.


If you wish to track the max pain values for September, please visit the max pain page.

Unusual Activity in Financial Puts Bought for September

Yesterday there was strange activity in the out buying of Bank of America. A large number of fairly out of the money puts were bough for both August and September. For example, while the stock closed the day at $28.86, there were 60,000 August 25 puts traded. Those puts closed at roughly $0.13. In terms of $ spent, this amounts to approximately $780,000.00.

Where there is a buyer there is a seller, so could it be that the seller was a market maker trying to pocket the premiums as most options expire worthless. But to sell 60,000 puts still requires a major buyer, or buyers, in order to avoid causing a drastic drop in the value of the premiums. Maybe someone knows bad news are coming in the next couple of days, may be not. Because of the very short time to expiration (this Friday) the premiums are quite low. It is difficult to know what was going on.

This study instead focuses on the September puts in most of the financial institutions, as well as MCO and the popular XLF ETF. It looks at the total number of puts bought, at the out-of-the-money puts, and at the deep out-of-the-money puts traded today.

Total number of puts bought, as well as a rough estimate of the $ spent (based on the closing price):



The total number of puts traded is 288,928, for a $ figure of $59M. BAC puts are approximately $9M, comparable with MER and GS and XLF. This is also illustrated by the chart below:



Now let's look only at the number of puts that were out-of-the-money:




The total number of OTM puts is 208,639, for an estimated $ figure of $22M. BAC's share is now $5M, much higher than all the other institutions (except XLF itself).

Finally, let's look at the deep out of-the-money puts, defined as being more than 20% below the closing price.



This is where things get really interesting. BAC's share is now $1.4M out of the total $2M traded. The next one is MER with $147k. The following chart illustrates well the difference between BAC puts and the rest of the institutions:




You can see below the actual traded numbers for each strike price in AIG, AXP, and BAC.




Please click on the image to expand.

You can see over 19,000 September 22.50 puts and over 4,000 September 20 puts traded - today alone.

Max Pain Update

Yesterday there was a remarkable reversion closer to the max pain values. The current stock prices for DIA, SPY and QQQ were around 2-5% off their max pain values, now they are within 1%, and XLF is at 0.86%.

The max main values and the current differences with current prices are updated live (20-minute delayed) at http://nexalogic.com/maxpain.html.

This page also shows you how the theoretical max pain values have been shifting every day.

Max Pain Theory and Options Expiration This Week

Max Pain options theory tells us that the majority of options will expire worthless. The assumption is that most of the call or put options associated with an index or equity will expire worthless. To achieve this the underlying stock has to end the week somewhere above most of the open put options, but below most of the open call options.

Options expirations this month is this Friday August 15. With the big up move on Friday by the stock markets we will have a golden chance to see this theory proven right - or not - as current prices are significantly higher than what the max pain numbers.

Here are some max pain numbers, as well as the current price, and the price differential:

DIA: 114 (current: 116.95, +2.6%)
SPY: 128 (current: 129.37, +1.1%)
XLF: 21 (current: 21.94, +4.4%)
QQQQ: 45 (current: 47.32, +5.1%)

These are the numbers for QQQQ:



A more interesting example is DIA. The following table shows the number of options in-the-money and out-of-the-money, as well as the total $ profits that holders of in the money options could make.



This table shows the revenue that will be made by the options holders once they sell their ITM (in the money) options, not deducting the premiums paid). With Max Pain, there is a difference of $11M in profits. This means that holders of in the money options make less money, and the writers of the options make the most money. Notice also the number of OTM (out of the money) options at expiration. If Max theory is correct, the writers of the options will stand to keep 257,615 contracts, versus 234,388 if the current price stands. That is a a difference of 23,227 contracts. The table below shows the profits made by the options writers at several average premiums charged for these contracts.




Finally, the table below shows the actual profits made by the ITM holders at expiration versus the premium paid.



Note that at an average premium paid of $3.50 no ITM holder actually makes any money as the profits from their sales does not cover the cost of the options. At $5 premium the difference does not make sense as Max Pain theory benefits the buyers (fewer buyers, fewer losses!).

The figures in the two previous tables also clearly show that it its much more advantageous to write options as opposed to buying them. At, for example, $3 premium, the writers stand to make profits of $70M to $77M, while the buyers only make $7M to $11M.

If Max Pain is correct and if these numbers remain the same this week, the markets should correct. It will be very interesting to watch.

Correlation Between Oil and Natural Gas

Natural gas prices collapsed yesterday, dropping approximately 40% from their peaks. An easy way to invest in this commodity is through UNG in the US and through the HNU and HND ETFs in Canada. The Horizon's ETFs work very well in terms of not losing their value over time, as per extensive studies I have done, and are shielded from the drop in the USD, while UNG has the advantage of having options (calls/puts).

The following table shows the correlation among oil (through USO), UNG, HND, and HNU.



As expected, the correlation between HND and HNU is very high, and the correlation between UNG and HNU is even higher at 0.99, in spite of HNU being a 2X ETF. Of interest is the correlation between USO and UNG, roughly 0.89 since Jan 15 2008. This information is useful if you wish to diversify or hedge your holdings. In 2008 there is too much correlation between natural gas and oil.

The following table shows the correlation each quarter this year (Q3 being very incomplete).

Q1 2008: 0.90
Q2 2008: 0.95
Q3 2008: 0.93

Brazil's Newest Deep Sea Oil and Gas Exploration Platform.

PMXL-1, Brazil's biggest oil and gas sea exploration platform is in final construction stages. It will stand at 230m high (equivalent to a 70-story highrise). It will be capable of processing 15 million cubic meters daily and will start operation in Q1 2009. You can see a picture below (sideways, while it is being built). The platform is visible from the Rio-Niteroi bridge and it stands taller than the bridge.



The platform will operate in the Mexilhao field, in the Bacia de Santos area, off Sao Paulo's state northern coast. The platform is being built at a cost of $1.2B.

Ring Of Fire Report

A report on the Ring Of Fire is presently available HERE. The report shows market caps, claims, and chart prices. This is part of a much larger report that is being finalized.

The current market caps as of the end of the day yesterday are shown below.

Ring of Fire Market Cap and Claim Units by Company

Here is an updated table based on the latest area claim map of the Ring of Fire region in Ontario, where Noront made its discovery. This map shows new companies in the area. The tables below show them sorted by current market cap and by the number of claim units they own. Some of the players have appreciated significantly in recent days, including the top names NOT, BMK, FNC, PRB and FWR.

Market Cap:



Click on each image to enlarge.


Claim Units:

The Ring of Fire Players (Re. Noront)

Here is a list of the current market cap of the Ring Of Fire players, where Noront (NOT.V) made is significant discovery. There are several companies exploring in the area (e.g, Probe, MacDonald, Freewest, Fancamp and others). I am working on a much bigger report on these. If anyone is interested please send me a note.

All figures in $M.

Performance of ETFs and Indexes on Each Weekday Show Very Interesting Results

This article discusses the daily performance of a number of indexes and ETFs. It shows the performance on each weekday ( Mondays, Tuesdays, Wednesdays, Thursdays, and Fridays). The results are quite interesting as there is quite a difference for a couple of specific days of the week.

The table below shows the performance of the Dow30 (through DIA), SP500 (through SPY), XLF, EWZ (Brazil), XFI (China), and the SP500 itself. The SP500 closely follows the Dow30 as they are highly correlated (see our post on correlation).



(Click on image to enlarge)

If you guessed one of them was Fridays, you are correct. Fridays are very good days to go short, most likely because people do not want to leave money on the table for unexpected bad news on the weekend?). The Dow 30 has gone down on 19 out of 25 Fridays for the first half of this year from January 2 2008 to June 30 2008. The average daily performance on Friday was -0.69%. If you shorted the Dow index at the end of the day on Thursdays and sold it at the end of the following day on Fridays, your cumulative performance would have been -15.95%. In comparison, the total return for the 6 months was -12.21%.


Note also that since the start of the year Brazil gained 10.3%, while its performance on Fridays was a cumulative -7.19%.

As for the best days to go long, it is clearly Mondays, where the Dow has gained 3.88% in spite of what was clearly a bear market in this first half of 2008.

The table also shows the number of days with returns over +0.5% and under -0.5%.

The graph below shows the performance of the Down on each weekday. You can clearly see how people usually sell on Fridays, perhaps afraid of whatever bad news might come on the weekend.



The Excel file used is also available for your viewing pleasure.