The $spx continued the bullish theme and again yesterday closed at a 100 day highs. Today is February options expiry. Historically when this has happened it has presented an interesting trading opportunity. Below are stats from a strategy that goes short 1 contract of ES when it closes at 20 day highs prior to opex Friday and takes profit at my first ss target, currently at 1351.5, or exit at end of day. I've used 20 day highs to increase the sample size.
80% winners
1.9 Profit factor
$193 average drawdown per contract
$1087 Max drawdown.
A decent edge. Further, below is an equity curve of the same strategy, except it exits at the end of 5 days. This shows the short target was has been hit on every occasion, the max drawdown was never greater than 3 daily average ranges.
So historically, this would suggest that there is a good expectancy ES will trade down to 1351.5 in the next few sessions. Additionally this signal is also currently active.
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