Here are the results of my continuing exploration of Qs behavior. . . in this case how the Qs perform on the first and second days of a new month. Looking back over 33 months of data we see the Qs average a gain of .12 the first day and .13 the second day, or $.25 for the first 2 days. This works out to an ROI of .06% for a 4 day holding period . . not exactly a stellar return. Obviously this is a work in progress and we need to improve on the probable ROI payout before initiating any positions based on this strategy.
Additional data that was analyzed, but not included in this spreadsheet includes the value of the Last Day Close-First Day Open (average +.05). Taking the residual from the FDC .12-.05= .07, and adding to the 2nd Day Close of .13 = .20 average for a 2 day carry period. One strategy suggested by this data is the purchase of ITM or deep ITM Q calls at the FDC open with the goal of flipping them at the 2nd Day Close. This would push our leverage to approx 10:1, reduce our exposure (only 2 days holding) and premium decay should be minimal as the weekend cusp had passed. More thoughts on this tactic later as well as several entry filters that may improve the ROI.
As always, reader comments are welcome.