Jun
14
For SPY since inception (1993):
observations: 127
positive: 79
% positive: 62.2%
mean move: 0.37%
sd: 1.61%
z vs all SPY days: 3.19
Jeffrey Hirsch comments:
Filtering for magnitude might be instructive.
Michael Brush suggests:
Would it need to be Thurs Fri Mon down ahead of a Wed Fed meeting? That seems to be the salient factor. For months markets have been weak in the days leading up to a Fed meeting, and then…
Kim Zussman adds:
There may also be a size effect, i.e., not just down, but down small vs big %.
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