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Strategies & Market Trends : News Links and Chart Links
SPXL 201.93-2.5%Nov 18 4:00 PM EST
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To: Les H who wrote (15935)5/23/2008 5:15:58 PM
From: Les H  Read Replies (3) of 29597
 

Effect of Term Auction Facility on $SPX since January 10, 2008 (two days before the first TAF)

                 SPX change   SPX change   SPX change
Auction Date     day before     day of      day after
January 14          -19.3       +15.2         -35.3
January 28          -21.5       +23.4          +8.3
February 11          -5.6        +7.8          +9.7
February 25         +10.6       +18.7          +9.5
March 10            -11.0       -20.0         +47.3
March 24            +31.1       +20.4          +3.1
April 7              +1.1        +2.1          -7.0
April 21            +24.8        -2.2         -12.2
May 5                -6.4       +10.8         -25.7
May 19               +1.8        +1.3         -13.2
-----------------------------------------------------
totals               *5.6       +77.5         -15.5

Closing price of SPX on January 10 = 1420.33
Intraday price on SPX on May 19 = 1413.40

Effect of Options Expiration Week since January 4, 2008
Change in SPX value is close of Friday minus the previous Friday close.

                    SPX change    SPX change   SPX change    
                   week before      week of    week after
January 14-18         -10.61        -75.83       + 5.42
February 11-15        -64.13        +18.70       + 3.12
March 17-21            -5.23        +41.37       -14.29
April 14-18           -37.57        +57.50       + 7.51
May 12-16             -25.62        +37.07       -49.42
---------------------------------------------------------
total                -143.16        +78.81       -47.66

Closing price of SPX on January 4 = 1411.63
Closing price of SPX on May 21 = 1375.93


I haven't tabulated the figures for the 2nd week after options expiry but it seems to be extremely positive when the changeover into the next month occurs within that week. It would argue for a low around mid-week.
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