Not to be a copy-cat steve, but fig'd i'd kick in a similar and probably
useless observation. In one of our models (Tim Melvin aka the scoundrel
and i), we look at unusual opens with respect to daily trading range
volitility. In the referenced data file are the counts of the opens for
spx constituents since 92 where the open was down > 2 std-devs for the
90day daily trading range. basically a norm'd stock-got-slam'd by bad
news kinda thing.
based on these silly numbers, i would expect to see a larger than normal
dumping in december of 'certain' stocks that were bought based on
speculation on the outcome of the election. should be a good buyng
op...maybe? seems to obvvious to be useful though.
in 2003, when VIX halfed itself, we saw a qtr reduction in these
open-events, and corresponding movements in prev years.
TIX <- read.table('http://www.tggsolutions.com/downloads/vol-opens.txt',
head=TRUE, sep=",")
TIXE <- TIX[ !TIX$Year%%4, ]
info<- function(M) {str(M); rbind(head(M),tail(M))}
mean_pct_of_tix <- function(M) mean( sum(M) / sum(TIX$Count) )
mean_pct_of_tixe <- function(M) mean( sum(M) / sum(TIXE$Count) )
info(TIX); info(TIXE)
round( matrix( with(TIX, by( Count, Month, mean_pct_of_tix) )*100 ), 2)
round( matrix( with(TIXE, by( Count, Month, mean_pct_of_tixe) )*100 ), 2)
> info(TIX); info(TIXE)
`data.frame': 154 obs. of 3 variables:
$ Year : int 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 ...
$ Month: int 1 2 3 4 5 6 7 8 9 10 ...
$ Count: int 98 46 49 59 48 68 83 74 82 75 ...
Year Month Count
1 1992 1 98
2 1992 2 46
3 1992 3 49
4 1992 4 59
5 1992 5 48
6 1992 6 68
149 2004 5 116
150 2004 6 76
151 2004 7 162
152 2004 8 124
153 2004 9 131
154 2004 10 163
`data.frame': 46 obs. of 3 variables:
$ Year : int 1992 1992 1992 1992 1992 1992 1992 1992 1992 1992 ...
$ Month: int 1 2 3 4 5 6 7 8 9 10 ...
$ Count: int 98 46 49 59 48 68 83 74 82 75 ...
Year Month Count
1 1992 1 98
2 1992 2 46
3 1992 3 49
4 1992 4 59
5 1992 5 48
6 1992 6 68
149 2004 5 116
150 2004 6 76
151 2004 7 162
152 2004 8 124
153 2004 9 131
154 2004 10 163
> round( matrix( with(TIX, by( Count, Month, mean_pct_of_tix) )*100 ), 2)
[,1]
[1,] 8.94
[2,] 6.09
[3,] 9.36
[4,] 9.04
[5,] 6.28
[6,] 8.70
[7,] 8.98
[8,] 6.54
[9,] 12.06
[10,] 11.65
[11,] 5.22
[12,] 7.14
> round( matrix( with(TIXE, by( Count, Month, mean_pct_of_tixe) )*100 ), 2)
[,1]
[1,] 11.59
[2,] 8.16
[3,] 9.11
[4,] 8.70
[5,] 5.33
[6,] 7.52
[7,] 10.17
[8,] 6.72
[9,] 8.10
[10,] 9.34
[11,] 4.88
[12,] 10.37
R.version.string
[1] "R version 2.0.0, 2004-10-04"