I am a little OCD re. historical trends and I have been researching EVEP and the run up pre and post EX-DIV date for the past 4 years. I know, why 4? I got tired going back further.
So, I have collected data for 15 div runs, and I have noted the ff. facts & trends:
1)Dividend announcement given on avg 6 days B4 EX 2)Time from announcement to EX often has run-up of PPS 3)(Important) only on the quarters with runs (minimum 3%) during those 6 days will this work. 4)On those 15 quarters this strategy worked 14 times. 5)Most fascinating is that for those quarters with zero or negative divi runs this stategy worked 5 out of 6 times. 6)Do not trade therefore without a minimum 3% divi run from 6 days out to EX-Div day.
Buy ITM puts and immediately place sell order for 9% return. Buy these puts at open of EX-DIV for near month, hold until sell limit of 9% hit or expiration (usu. 12 days).
Total historical runs on the dates you would and would not have traded:
1/2007 No trade 5/2007 No trade 8/2007 No trade...would have made 9.39% but negative run 11/2007 19.9% 2/2008 No trade 5/2008 No trade 8/2008 17.9% 11/2008 19.8% 02/2009 28.5% 5/2009 7.8% Holding with ITM puts until exp, BE 8/2009 11% 11/2009 No trade 02/2010 14.28% 05/2010 53% 08/2010 12%
Check out from 8/2008 until 08/2010 Using this strategy and just holding for 10% gain on the "green light" trades(7) would have returned 70%.
The kicker is that on those 7 dates it only took an average of two days to hit 10% on 6 of those dates and 12 days on one. Total days held 22, for an annualized return over two years (730 days) of 1161% each year.
Thanks for the excellent pattern research (I can relate to your OCD). Similar to the earlier exercise that we did for AGNC, but with an option component. As previously, I appreciate the short holding time, which helps to minimize exposure to price changing events. Hope the cold is better (Gesundheit).
BTW, the "Honest Lawyer" Pub in Nelson, New Zealand is the closest that I have gotten to an "Honest Lawyer".
I been doing that for several years, except I use two years and eight dividends. You are right in that yours and mine have similiar trends, and it does work 4 out of 5 times. I am ahead 61% for 2010. I only work with 1600 shares.