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 27.63% per annum.
S&P 100 Index at the close of May 28, 2024 was 2,543.27 and was inside the primary price channel.
The secondary trend is increasing.
The growth rate of the secondary trend is 44.29% per annum.
S&P 100 Index at the close of May 28, 2024 was inside the secondary price channel.

Linear Regression Model

Model equation:
Y_i = α + β × X_i + ε_i

Top border of price channel:
Exp(Y_i) = Exp(a + b × X_i + 2 × s)

Bottom border of price channel:
Exp(Y_i) = Exp(a + b × X_i – 2 × s)

where:

i - observation number
Y_i - natural logarithm of S&P 100 Index
X_i - time index, 1 day interval
σ - standard deviation of ε_i
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 28, 2024

a = 6.6744

b = 0.0007

s = 0.0297

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 27.63%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0297) – 1
= 12.61%

September 22, 2022 calculations

Top border of price channel:

Exp(Y₇₅₇)
= Exp(a + b × X₇₅₇ + 2 × s)
= Exp(a + b × 1,098 + 2 × s)
= Exp(6.6744 + 0.0007 × 1,098 + 2 × 0.0297)
= Exp(7.4676)
= 1,750.37

Bottom border of price channel:

Exp(Y₇₅₇)
= Exp(a + b × X₇₅₇ – 2 × s)
= Exp(a + b × 1,098 – 2 × s)
= Exp(6.6744 + 0.0007 × 1,098 – 2 × 0.0297)
= Exp(7.3488)
= 1,554.40

May 28, 2024 calculations

Top border of price channel:

Exp(Y_1,178)
= Exp(a + b × X_1,178 + 2 × s)
= Exp(a + b × 1,712 + 2 × s)
= Exp(6.6744 + 0.0007 × 1,712 + 2 × 0.0297)
= Exp(7.8779)
= 2,638.38

Bottom border of price channel:

Exp(Y_1,178)
= Exp(a + b × X_1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(6.6744 + 0.0007 × 1,712 – 2 × 0.0297)
= Exp(7.7592)
= 2,343.00

Description

The primary trend is increasing.
The growth rate of the primary trend is 27.63% per annum.
S&P 100 Index at the close of May 28, 2024 was 2,543.27 and was inside the primary price channel.

Secondary Trend

Start date: September 21, 2023
End date: May 28, 2024

a = 6.1330

b = 0.0010

s = 0.0222

Annual growth rate:

Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 44.29%

Price channel spread:

Exp(4 × s) – 1
= Exp(4 × 0.0222) – 1
= 9.27%

September 21, 2023 calculations

Top border of price channel:

Exp(Y_1,007)
= Exp(a + b × X_1,007 + 2 × s)
= Exp(a + b × 1,462 + 2 × s)
= Exp(6.1330 + 0.0010 × 1,462 + 2 × 0.0222)
= Exp(7.6460)
= 2,092.23

Bottom border of price channel:

Exp(Y_1,007)
= Exp(a + b × X_1,007 – 2 × s)
= Exp(a + b × 1,462 – 2 × s)
= Exp(6.1330 + 0.0010 × 1,462 – 2 × 0.0222)
= Exp(7.5573)
= 1,914.67

May 28, 2024 calculations

Top border of price channel:

Exp(Y_1,178)
= Exp(a + b × X_1,178 + 2 × s)
= Exp(a + b × 1,712 + 2 × s)
= Exp(6.1330 + 0.0010 × 1,712 + 2 × 0.0222)
= Exp(7.8971)
= 2,689.53

Bottom border of price channel:

Exp(Y_1,178)
= Exp(a + b × X_1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(6.1330 + 0.0010 × 1,712 – 2 × 0.0222)
= Exp(7.8084)
= 2,461.29

Description

The secondary trend is increasing.
The growth rate of the secondary trend is 44.29% per annum.
S&P 100 Index at the close of May 28, 2024 was inside the secondary price channel.