Reduce net exposure between Fed and option expiration

There is a recurrent pattern around each FOMC meetings – a rise up to the meeting and a correction after (see chart below with the house flag representing the Fed meetings)


Then, there is a pattern around option expiration [which is accentuated when they are triple witches] – a rise into the settlement of futures & options on index (US open of the third Friday of the month) and then a correction. Both studies show a strong risk-reward to hedge or go short in the coming days. What’s more, we have contrarian sell signals from our European SC sentiment indicator:


and US short term SC sentiment indicator:


To reduce our net exposure, specifically important in Europe, we make the following trades:

1- On Sept 18th, we close our long call on Eurostoxx50 and keep open the short future.

2- On Sept 18th, we take profit on Telenor

3- On Sept 18th, we take profit on 2 US banks: Bank of America & JP Morgan