3:30PM closing imbalance
Time-of-DayMulti
NYSE closing imbalance reveal at 3:30PM ET drives flow
Source: encyclopedia
4-yr cycle Kitchin
Recurring PatternsLong
Inventory cycle 3.5-4yrs
Source: Kitchin
9:30 EST opening rotation
Time-of-DayMulti
First 5-min volatile then settles - common fade
Source: encyclopedia
Asia-EU handoff 7-8AM London
Time-of-DayMulti
EUR/GBP often gap on liquidity handover
Source: encyclopedia
BoE Super Thursday
Macro CalendarMulti
GBP straddle around BoE policy + MPR
Source: encyclopedia
BoJ surprise vol
Macro CalendarLong vol
BoJ has history of surprise moves Dec 2022
Source: encyclopedia
Buy SPY day -1 sell +3
Turn-of-MonthLong
Simple TOM: buy close day before EOM exit close TD3
Source: Quantpedia
Chinese New Year effect
HolidayMulti
Pre-CNY rally + post-CNY divergence
Source: encyclopedia
Cieslak FOMC cycle 5-day
FOMCLong
Cieslak: even-week vs odd-week post-FOMC return pattern
Source: Cieslak Morse Vissing-Jorgensen 2019
Cliff Asness overnight critique
Overnight GapMulti
Overnight effect partly compensation for risk
Source: Asness
Crypto halving cycle
Recurring PatternsLong
BTC halving every 4yrs - bullish post-halving
Source: encyclopedia
Crypto seasonality Q4
Recurring PatternsLong
Crypto Q4 historically positive
Source: encyclopedia
Day after Thanksgiving
HolidayLong
Black Friday short session positive bias
Source: Hirsch
Dealer gamma flip strikes
OpExMulti
Negative gamma below flip = vol amplification
Source: SpotGamma/Squeezemetrics
Decennial pattern
Recurring PatternsLong
Years ending in 5 historically strongest
Source: Hirsch
ECB Thursday drift
Macro CalendarMulti
Pre/post ECB EUR/Stoxx patterns
Source: encyclopedia
Earnings IV term-structure trade
EarningsShort vol
Sell front-month vs back-month vol pre-earnings
Source: encyclopedia
Earnings announcement premium
EarningsLong
Stocks earn premium during announcement window
Source: Frazzini-Lamont
Earnings calendar straddle
EarningsLong vol
Buy short-dated straddle just before report
Source: encyclopedia
Earnings momentum SUE
EarningsLong
Standardized Unexpected Earnings drives drift
Source: Foster-Olsen-Shevlin
Easter week effect
HolidayLong
Holy Week often positive (light volume)
Source: Hirsch
Election Day rally
Recurring PatternsLong
Election Day + day after often positive
Source: Hirsch
Election year cycles
Recurring PatternsLong
Hirsch presidential cycle: year 3 strongest
Source: Hirsch
Etula 7-day TOM window
Turn-of-MonthLong
Institutional flows extend window to [-3 +3]
Source: Etula 2020
European-open USDJPY trade
Time-of-DayMulti
EU open at 8AM London moves USDJPY
Source: encyclopedia
Even-week FOMC anomaly
FOMCLong
Returns concentrated in even weeks of FOMC cycle
Source: Cieslak
FOMC announcement day return
FOMCLong
FOMC days returns ~30x larger than other days (Lucca-Moench)
Source: NY Fed Staff 512
FOMC blackout drift
FOMCLong
Equities drift higher during 11-day Fed speech blackout
Source: Cieslak et al
FOMC dot plot reaction trade
FOMCMulti
Trade gap between dots and OIS-implied rates
Source: encyclopedia
FOMC minutes 3 weeks post
Macro CalendarMulti
Minutes can re-litigate prior decision
Source: encyclopedia
FOMC overnight gap fade
FOMCMulti
Fade overnight overreaction to FOMC release statements
Source: encyclopedia
FOMC short-vol post-event
FOMCShort vol
Sell vol after release - IV crush + lower realized vol
Source: encyclopedia
FOMC straddle pre-announcement
FOMCLong vol
Buy ATM straddle pre-FOMC for vol expansion (mostly priced in now)
Source: encyclopedia
FX turn-of-year flows
Recurring PatternsMulti
EUR/USD often weak into year-end
Source: encyclopedia
Friday effect
Day-of-WeekLong
Fridays historically positive (now mixed)
Source: French
Gap-and-go breakout
Overnight GapTrend
Gap continuation when held first 30min
Source: encyclopedia
Gap-fade strategy
Overnight GapMulti
Fade large gaps when no news catalyst
Source: encyclopedia
Gap-fill statistics
Overnight GapMulti
~70% of equity gaps fill within day historically
Source: multiple
Halloween Sell in May
HolidayMulti
Bouman-Jacobsen: Nov-Apr beats May-Oct
Source: Bouman-Jacobsen 2002
Hirsch StockTrader's Almanac
Turn-of-YearLong
Hirsch family compendium of calendar anomalies
Source: Hirsch
Holiday gift effect
HolidayLong
Final week of December positive bias
Source: Hirsch
Indian 9:15-9:20 gap
Time-of-DayMulti
9:20 entry better than 9:15 on gap days (Yashpal data)
Source: user memory
Indian Diwali Muhurat
HolidayLong
Diwali Muhurat session usually positive
Source: Indian tradition
Indian closing 3:20-3:30 squeeze
Time-of-DayMulti
Closing auction + MIS sq-off can spike vol
Source: encyclopedia
Jackson Hole effect
Macro CalendarMulti
Jackson Hole speeches move markets
Source: encyclopedia
January effect post-2000 fade
Turn-of-YearMulti
January effect largely arbitraged away post-2000
Source: Schwert
January effect small caps
Turn-of-YearLong
Small caps outperform in January historically
Source: Keim 1983
Knight-Patell intraday MR
Overnight GapMulti
Intraday returns mean-revert
Source: Patell
Labor Day September seasonal
HolidayMulti
Sept historically weakest month
Source: Hirsch
Lakonishok-Smidt TOM
Turn-of-MonthLong
1897-1986: avg 0.473% TOM vs 0.349% rest
Source: Lakonishok-Smidt 1988
Last-hour drift
Time-of-DayLong
Last hour historically positive avg drift
Source: Hirsch
Lou-Polk-Skouras overnight
Overnight GapLong
Overnight returns historically positive intraday flat/neg
Source: Lou et al 2019
Lunch-time fade
Time-of-DayMulti
Low-volume lunch hour = MR opportunities
Source: encyclopedia
Memorial Day pre-effect
HolidayLong
Last day before Memorial Day positive
Source: Hirsch
Mid-term election year effect
Recurring PatternsMulti
Mid-term election year low historically Q3
Source: Hirsch
Monday effect
Day-of-WeekMulti
Cross 1973: Mondays historically negative; mostly faded
Source: Cross 1973
Opening range breakout
Time-of-DayTrend
ORB: trade break of 5/15/30-min opening range
Source: Crabel
Opening range fade
Time-of-DayMulti
Fade extreme moves in first 30 min
Source: encyclopedia
Overnight return premium
Overnight GapLong
All SPY return historically from overnight (Bondt et al)
Source: Lou Polk Skouras
PEAD post-earnings drift
EarningsLong
Bernard-Thomas: drift after positive earnings
Source: Bernard-Thomas 1989
Pension fund flow hypothesis
Turn-of-MonthLong
Monthly contributions = buying pressure at TOM
Source: quantpedia
Post-OpEx Monday weakness
OpExMulti
Post-OpEx Monday tends weaker
Source: Hirsch
Post-election year strength
Recurring PatternsLong
Year after election often positive
Source: Hirsch
Powell press conference 2:30 swing
FOMCMulti
2:30PM Q&A often reverses 2:00PM statement reaction
Source: encyclopedia
Power hour
Time-of-DayLong
Last hour high vol + directional close
Source: encyclopedia
Pre-Budget Nifty rally
Macro CalendarLong
Indian markets often rally pre-Union Budget
Source: encyclopedia
Pre-CPI vol pricing
FOMCLong vol
IV bid-up pre-CPI release - sell after
Source: encyclopedia
Pre-FOMC drift Lucca-Moench
FOMCLong
Lucca-Moench 2015: 49bps avg in 24h pre-FOMC; ~80% of equity premium
Source: Lucca-Moench JoF 2015
Pre-FOMC drift post-2015 fade
FOMCNeutral
Drift essentially disappeared after 2015 per ScienceDirect 2020
Source: Sciencedirect 2020
Pre-NFP equity drift
FOMCMulti
Limited evidence of pre-NFP drift comparable to FOMC
Source: encyclopedia
Pre-OpEx week strength
OpExLong
Week before OpEx typically positive
Source: Hirsch
Pre-RBI policy drift
Macro CalendarMulti
Bank Nifty volatile around RBI MPC days
Source: encyclopedia
Pre-earnings IV crush
EarningsShort vol
Sell vol pre-earnings collect IV crush
Source: encyclopedia
Pre-holiday strength
HolidayLong
Day before holiday positive (Lakonishok-Smidt)
Source: Lakonishok-Smidt
Press-conference FOMC drift
FOMCLong
Drift now confined to PC-meetings vs all FOMC days
Source: Tandfonline 2024
Q-end window-dressing fade
Turn-of-QuarterMulti
Window-dressed names mean-revert post Q-end
Source: encyclopedia
Quad-witch Friday vol
OpExLong vol
Index futures + index options + stock options + stock futures expiry
Source: encyclopedia
Ramadan effect
HolidayMulti
MENA markets show Ramadan return patterns
Source: Husain
SPX OpEx Friday pin risk
OpExMulti
Indices pin to high-OI strikes on monthly OpEx
Source: encyclopedia
Santa Claus rally
Turn-of-YearLong
Last 5 trading days of year + first 2 of new year
Source: Hirsch
Sell-in-May variants global
HolidayMulti
Effect found in 36/37 countries 1973-1998
Source: Bouman-Jacobsen
Stoll-Whaley OpEx anomaly
OpExMulti
Triple-witch days show vol/return anomalies
Source: Stoll-Whaley 1991
TOM EM mutual funds
Turn-of-MonthLong
Stronger TOM in emerging mkt mutual funds
Source: PMC 2022
TOM EOM rebalance front-run
Turn-of-MonthLong
Front-run institutional EOM rebalances
Source: encyclopedia
TOM combined w/ momentum
Turn-of-MonthLong
Combine TOM days w/ trend filter
Source: encyclopedia
TOM in 43 countries
Turn-of-MonthLong
37/43 countries show TOM effect (1990-2012)
Source: Aalto study
TOM weakening post-2007
Turn-of-MonthMulti
Effect weakened in some markets post-GFC
Source: Aalto
TOQ rebalance flow
Turn-of-QuarterMulti
Pension/index rebalance at quarter-end
Source: encyclopedia
Tax-day sell-off April 15
Recurring PatternsMulti
April-15 weakness from withdrawals
Source: Hirsch
Tax-loss selling December
Turn-of-YearMulti
Year-end tax-loss selling depresses losers in Dec
Source: encyclopedia
Thursday Nifty expiry
Day-of-WeekMulti
Pin-risk + theta decay strongest on expiry day
Source: user memory
Tuesday turnaround
Day-of-WeekMulti
Common reversal day after Monday weakness
Source: encyclopedia
US CPI mid-month
Macro CalendarMulti
CPI release straddle trade
Source: encyclopedia
US payrolls 1st Friday
Macro CalendarMulti
NFP first-Friday vol spike
Source: encyclopedia
Volmageddon-style XIV blowup risk
OpExLong vol
Short-vol unwind crushes mkt structure (Feb 2018)
Source: encyclopedia
Wednesday options fade Indian
Day-of-WeekShort vol
Wednesday lowest avg range pre-Thursday expiry (Yashpal data)
Source: user memory
Weekend effect
Day-of-WeekMulti
Friday close to Monday open returns historically neg
Source: French 1980
Whisper number trade
EarningsMulti
Track whisper estimates vs consensus
Source: encyclopedia
Xu-McConnell TOM 1987-2005
Turn-of-MonthLong
All excess return came from 4-day TOM 1897-2005
Source: Xu-McConnell SSRN
Year-end vol crush
Turn-of-YearShort vol
VIX often declines into year-end on light vol
Source: encyclopedia
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