Bank Of America Put Imbalance Research Signals Up Week For S&P 500

Bank of America Merrill Lynch BAC released a note Monday morning calling for an up week in the market for the period ending August 15th. Analyst Chintan Kotecha notes "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 2nd Friday of the month during non-triple-witching periods leaning toward the puts. When this happens, S&P 500returns are positive 60 percent of the time.

Currently, according to BoA/ML, the delta-weighted open interest balance represents 23 percent of futures volume or 339,000 e-mini S&P 500 futures contracts.