SPY opened lower 1.0%+ the session immediately following OpEx

SPX closed higher the 1st three days of a month, and up gt. 3.0% month-to-date on the 3rd session ; assumed one went long on close of the 3rd session

SPY closed lower at least -1.0% the Friday before option expiration week.

SPY intraday returns (1/1/1993 to present)

Strat. 1: VIX and SPY lower, any day
Strat. 2: VIX and SPY lower, NOT Friday
Strat. 3: VIX and SPY lower, Friday's only
Strat. 4: VIX and SPY lower (-0.50% < x < 0%), any day
Strat. 5: VIX and SPY lower (-0.50% < x < 0%), Friday's only

SPY vs. RTH, strategy and buy-and-hold (see http://www.tradingtheodds.com/2010/08/pairs-trading-part-ii-spy-vs-rth/) since 08/01/2009

Market Model 01/01/1997 - 12/31/2003

Trading The Odds - Market Model, from 2000 to 2009

Trading The Odds - Market Model, from 1990 to 1999

ES E-MINI S&P 500 posted a higher low and closed higher, but more than 55% of S&P 500 stocks penetrated their previous session's low (weakness beneath the surface)

VIX and the performance between the last business day of October and the then following 40 sessions.

Setup:
Nasdaq 100 posted an intraday low at least +0.55% above the previous session's low, but number of stocks penetrating their previous session's low exceed those penetrating their previous session's high.

Next session's intraday stats when NYSE Advancing/Declining Volume > 3 and ES E-MINI couldn't manage a gain > +0.75% on the previous close

With N225, HSIX, AORD and KOSPI all up today depsite a lower close for the $ES_F yesterday, probabilities and odds are lopsided in favor of a positive outcome today.

N225, HSIX, AORD and KOSPI closed lower today. $ES_F posted a low below the previous session's close on ALL 26 occurrences since 01/01/2009. On 14 (out of 26) occurrences trading higher during the first hour, but trading lower 18 times during the last hou

ES (E-mini S&P 500) intraday performance on a session where Nikkei, HSI, ASX and KOSPI all closed up. $ES_F

ES (E-mini S&P 500) intraday performance on a session where Nikkei, HSI, ASX and KOSPI all closed up. $ES_F

ES (E-mini S&P 500) intraday performance on a session where Nikkei, HSI, ASX and KOSPI all closed up. $ES_F

ES (E-mini S&P 500) intraday performance on a session where Nikkei, HSI, ASX and KOSPI all closed up. $ES_F

After the $ES_F opened above the previous session's high on 2 consecutive sessions, chances are significantly above-average for a close above the open today (on 17 out of the last 20 occurrences).