Barron's, along with most other commentators, proclaimed that the SPX gained 3.3% last week (its best week so far in 2015!). From Monday's open to Friday's close, that is a correct calculation. But it is not a full week, nor is it the time period I look at when evaluating a weekly return.
Friday's expiration was interesting in fact. The SPX index opened at 2082.82. However, the monthly options that expired the night before are based on the CBOE SET price, a value based on the price where each of the 500 companies in the index actually opened. The SET came in at 2092.59, almost 10 points higher than the SPX index opening!
The index settlement value at the end of the day was 2089.17, actually showing a full reversal from the highs made during the day.
I, however, watch the Friday to Friday move to determine if we had a true 3% week. From Friday, November 13th's open, even using the higher SET from this Friday, the weekly gain was only 2.3%. So, is there more upside this week? Well, there is room for more as we technically did not have a 3% week last week!
However, the move probably will not be immediate. Although the SKEW printed a relatively low 125 on Friday, the reversal we had on Friday could give us a pullback for the usually bullish Wednesday and Friday trading days this week (see Urban Camel's blog for a great chart of the averages for the days surrounding Thanksgiving).
I will look to sell some call spreads in the AM if we get a good bounce in the morning, but more importantly I want to put on some bullish trades before Wednesday, especially if the market is soft Monday and Tuesday.
