Deconstructing the Qs

A piece by Bespoke on S&P behavior at quarter's end got me thinking. . . so I ran a somewhat similar study for the Qs. I've highlighted third quarter results just because that's where the action currently resides. I've also modified the study a little bit from the Bespoke version: whereas they looked at performance results over the entire next quarter, I'm kind of a short term guy and only looked at performance over the following month.

The results are quite stunning and support a high probability gain in the Qs for the coming month. The study also has important implications for those that prefer to hedge their bets with buy/writes as the OTM calls with maximum premium decay and minimal downside risk become more attractive. The study also suggests a strangle strategy selling puts and calls with the puts slightly below the current strike and the calls considerably OTM.
I haven't had a chance to look at the relative costs of simply buying ATM calls out 2 months. . . that will also be a topic for further investigation.

Over the next few days, as time permits, I'll be running similar analyses of post quarter performance for the DIA and IWM.