S&P 100 Index
The S&P 100, a sub-set of the S&P 500, is designed to measure the performance of large-cap companies in the United States and comprises 100 major blue chip companies across multiple industry groups. Individual stock options are listed for each index constituent.
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 27.49% per annum.
- S&P 100 Index at the close of May 17, 2024 was 2,522.63 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 44.86% per annum.
- S&P 100 Index at the close of May 17, 2024 was inside the secondary price channel.
Linear Regression Model
Model equation:
Yi = α + β × Xi + εi
Top border of price channel:
Exp(Yi) = Exp(a + b × Xi + 2 × s)
Bottom border of price channel:
Exp(Yi) = Exp(a + b × Xi – 2 × s)
where:
i - observation number
Yi - natural logarithm of S&P 100 Index
Xi - time index, 1 day interval
σ - standard deviation of εi
a - estimator of α
b - estimator of β
s - estimator of σ
Exp() - calculates the exponent of e
Primary Trend
Start date: September 22, 2022
End date: May 17, 2024
a = 6.5965
b = 0.0007
s = 0.0298
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 27.49%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0298) – 1
= 12.65%
September 22, 2022 calculations
Top border of price channel:
Exp(Y843)
= Exp(a + b × X843 + 2 × s)
= Exp(a + b × 1,221 + 2 × s)
= Exp(6.5965 + 0.0007 × 1,221 + 2 × 0.0298)
= Exp(7.4684)
= 1,751.78
Bottom border of price channel:
Exp(Y843)
= Exp(a + b × X843 – 2 × s)
= Exp(a + b × 1,221 – 2 × s)
= Exp(6.5965 + 0.0007 × 1,221 – 2 × 0.0298)
= Exp(7.3493)
= 1,555.03
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(6.5965 + 0.0007 × 1,824 + 2 × 0.0298)
= Exp(7.8696)
= 2,616.43
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(6.5965 + 0.0007 × 1,824 – 2 × 0.0298)
= Exp(7.7504)
= 2,322.57
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 27.49% per annum.
- S&P 100 Index at the close of May 17, 2024 was 2,522.63 and was inside the primary price channel.
Secondary Trend
Start date: September 21, 2023
End date: May 17, 2024
a = 5.9916
b = 0.0010
s = 0.0224
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 44.86%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0224) – 1
= 9.39%
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,093)
= Exp(a + b × X1,093 + 2 × s)
= Exp(a + b × 1,585 + 2 × s)
= Exp(5.9916 + 0.0010 × 1,585 + 2 × 0.0224)
= Exp(7.6457)
= 2,091.53
Bottom border of price channel:
Exp(Y1,093)
= Exp(a + b × X1,093 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(5.9916 + 0.0010 × 1,585 – 2 × 0.0224)
= Exp(7.5559)
= 1,912.00
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(5.9916 + 0.0010 × 1,824 + 2 × 0.0224)
= Exp(7.8883)
= 2,665.92
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(5.9916 + 0.0010 × 1,824 – 2 × 0.0224)
= Exp(7.7986)
= 2,437.08
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 44.86% per annum.
- S&P 100 Index at the close of May 17, 2024 was inside the secondary price channel.