Skip to content

Calendar Effects

October 24, 2010

One of the most difficult and interesting problems in scrutinizing anomalies arises when looking at calendar effects  or seasonality. This is because numerous factors–both structural such as fund flow schedules or taxation, and behavioral such as the fear of a crash or holding overnight come into play. The October issue of “Expiring Monthly” that is written by Bill Luby of Vix and More, and Jared Woodward of Condor Options and many other prominent options gurus features an excellent article on “Fear and Loathing in October.” This article is a great example of the multi-dimensional thinking that goes into explaining certain anomalies such as the prevalence of crashes in October.  The entire issue is also very high quality and worth reading. CSS was featured in the article along with many other well known bloggers giving our own take on why this effect seems to occur.  In light of this article, we will present a post this week on some interesting monthly anomalies that seem to contain a consistent effect.

No comments yet

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

%d bloggers like this: