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XAO Technical Analysis

Discussion in 'ASX Stock Chat' started by kennas, Oct 27, 2006.

  1. OmegaTrader

    OmegaTrader Well-Known Member

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    Interesting

    So is the 'new year' seasonality effect actually there or not?

    It looks like early January is negative seasonally from that image.

    Recently positive market moves in December.
     
  2. Quant

    Quant Well-Known Member

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    The period from dec option expiry and NewYears is one of the strongest periods of year statistically

    i have charts on this but cant upload from PC anymore , you will just have to trust me )))
     
  3. Quant

    Quant Well-Known Member

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    Ok lets see if this works
     

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  4. OmegaTrader

    OmegaTrader Well-Known Member

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    My main interest is trying to time a volatility play using options straddle

    IV is very low, was 10.5 down to 10.1 a few days ago.


    If the market turns negative then IV spikes, so the strat is too expensive to use

    However if the market keeps going up better to wait as IV will probably drop

    Making options even cheaper..

    okay

    So looking a the first chart

    Day 1-6 up , peaks at day 6
    Day 6-11 down, lose all gains to break even
    Day 11-21 up with a small petering out at the last 3 days

    From that I would conclude that January is positive overall

    From the second chart

    I would conclude that it is mostly sideways with a small positive bias

    But really the positive trend starts at the end of January even end of February,
    as Feb is mostly sideways as well/a bit positive

    March, April may, strongly positive

    and up trend finishes at end of may

    Down from may to October
    Except august is pretty positive

    and then positive again from end of october.

    Looking at the second chart should wait until may for up trend to end.

    I haven't done the seasonality for IV

    Should probably do that.

    Of course seasonality is also competing with the other factors, but interesting nevertheless.

    As the basis of strategy or additional factor to add to a strategy.
     
  5. Quant

    Quant Well-Known Member

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    US indices while a guide to asx seasonality are not totally in synch , many factors influence under and over performance between us and asx markets . this year US is basically flat since OPEX whereas XJO big overperformer
     

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  6. OmegaTrader

    OmegaTrader Well-Known Member

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    Yeah that doesn't help much.....

    That is like saying we have a fantastic, incredible fund great with risk and return

    But past returns are no indicator of future returns.

    Asx-SP are correlated?

    Of course correlation is never 100% and neither is seasonality.

    But in general, I don't see why as a rule of thumb it, idea, additional factor would not help

    Do the charts look similar??

    I reckon a bit there...


    http://investingperspectives.com/seasonality/seasonality-in-the-australian-sharemarket/
    seanson2.1.PNGxjo_seasonality_with_comments_2.png

    cheers
     
  7. Gringotts Bank

    Gringotts Bank Well-Known Member

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    DJI 20,000 on the 20th? (Presidential inauguration).

    Then will be hard to find support.
     
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