美股,季报,时间表,预测, 期权交易

Market Data Statistics

2018-03-23:

 

Index PCRatio Reached a high of 1.77:  In recent 5 cases, next day all rebound  :

| Date            |Symbol | P/C Ratio | calls | puts | ticker | pctChg | ndpctchg |
+————+——-+——+——–+———+——+——–+———-+
| 2015-01-06 | index | 1.71 | 667622 | 1139770 | SPY | -0.94 | 1.25 |
| 2015-01-23 | index | 1.96 | 678085 | 1326982 | SPY | -0.55 | 0.23 |
| 2015-03-06 | index | 1.76 | 636329 | 1119983 | SPY | -1.41 | 0.41 |
| 2015-07-08 | index | 1.81 | 563438 | 1021236 | SPY | -1.68 | 0.18 |
| 2015-09-04 | index | 1.85 | 706494 | 1310151 | SPY | -1.52 | 2.51 |
| 2018-03-23 | index | 1.77 | 994873 | 1765537 | SPY | -2.13 | ? |

 

Total PCRatio reached a high of 1.55, in recent 8 cases, average next day return is -0.07% with 5 times up and 3 times down.

 

 

SPY big drop on Firday, For past 83 cases, average next day return is positive though with big standard deviation:
+——+—–+—————+——————-+
| ticker | cnt | avg(ndpctchg) | stddev |
+——+—–+—————+——————-+
| SPY | 83  | 0.198434  | 2.3339 |
+——+—–+—————+——————-+

 

Among this 83 cases, the next day return: 50 up and 33 down  ( 60% vs 40%), up day average return  1.29%,  while Down day average return: -1.45%

 

9次 高开之中7次补了缺口,

 

+——+————+——–+——-+———–+———–+———–+
| tick | date | pctchg | NxChg | NxOpenGap | NxLowChg | NxHighChg |
+——+————+——–+——-+———–+———–+———–+
| SPY | 1993-04-02 | -2.10 | 0.50 | 0.793831 | 0.226809 | 0.793831 |
| SPY | 1994-06-24 | -2.07 | 1.73 | 0.385837 | -0.090785 | 1.747617 |
| SPY | 1996-07-05 | -2.55 | -0.40 | 0.076243 | -0.686185 | 0.609942 |
| SPY | 1997-04-11 | -3.17 | 1.33 | 0.476969 | -0.095394 | 1.458163 |
| SPY | 1997-08-08 | -2.03 | 0.74 | 0.396230 | -0.803170 | 0.963804 |
| SPY | 1997-08-15 | -3.07 | 2.23 | 0.668300 | -0.490087 | 2.227668 |
| SPY | 2014-01-24 | -2.13 | -0.49 | 0.095030 | -0.989435 | 0.352172 |
| SPY | 2014-12-12 | -1.62 | -0.69 | 0.542585 | -1.050326 | 0.816367 |
| SPY | 2015-09-18 | -1.63 | 0.52 | 0.506523 | -0.122794 | 1.140957 |
| SPY | 2015-12-11 | -1.94 | 0.51 | 0.094115 | -0.956013 | 0.579552 |
| SPY | 2015-12-18 | -1.77 | 0.82 | 0.694931 | 0.034997 | 0.929907 |
+——+————+——–+——-+———–+———–+———–+

 

平均涨幅0.62%, 平均高开0.43%, 平均低点 -0.46%, 平均搞点1.06%

+——+—————+—————+———-+————–+—————+————–+
| tick | count(a.date) | avg(a.pctchg) | NxChg | NxOpenGap | NxLowChg | NxHighChg |
+——+—————+—————+———-+————–+—————+————–+
| SPY | 11 | -2.189091 | 0.618182 | 0.4300541991 | -0.4565802992 | 1.0563617319 |

 

 

 

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