Bank Of America Put Imbalance Research Signals Up Week For S&P 500
Bank of America Merrill Lynch released a note Monday morning calling for an up week in the market for the period ending August 15.
Analyst Chintan Kotecha noted "Put imbalances over non-triple witching expirations have historically produced positive returns for the index over the option expiry week".
Since October 1997, the start point of the study, Kotecha found 57 instances of the put imbalance on the second Friday of the month during non-triple-witching periods leaning toward the puts. When this happens, S&P 500 returns are positive 60 percent of the time.
According to Bank of America, the delta-weighted open interest balance currently represents 23 percent of futures volume or 339,000 e-mini S&P 500 futures contracts.
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