Expiration Week Strength
By
Rennie on Wednesday, September 16th, 2009 at 3:26 pm
With the market shrugging off a number of short-term sell setups over the last week, and with Cumulative TICK approaching a high +100,000 reading, it’s worth noting that this is the second options expiration week this year in which the market has rallied on each of the first three sessions. The last thirty times that the S&P rallied Monday-Wednesday of expiration week are listed in the table below…
S&P Rallies Mon-Wed of Expiration Week
09/16/09… S&P500 ??? two sessions later
07/15/09… S&P500 +0.8% two sessions later
02/13/08… S&P500 -1.3% two sessions later
04/18/07… S&P500 +0.8% two sessions later
11/15/06… S&P500 +0.3% two sessions later
09/13/06… S&P500 +0.1% two sessions later
08/16/06… S&P500 +0.5% two sessions later
03/15/06… S&P500 +0.3% two sessions later
12/14/05… S&P500 -0.4% two sessions later
07/13/05… S&P500 +0.4% two sessions later
06/15/05… S&P500 +0.9% two sessions later
05/18/05… S&P500 +0.3% two sessions later
02/16/05… S&P500 -0.7% two sessions later
12/15/04… S&P500 -1.0% two sessions later
08/18/04… S&P500 +0.3% two sessions later
03/19/03… S&P500 +2.5% two sessions later
12/19/01… S&P500 -0.4% two sessions later
05/16/01… S&P500 +0.5% two sessions later
06/16/99… S&P500 +0.9% two sessions later
11/18/98… S&P500 +1.7% two sessions later
09/16/98… S&P500 -2.4% two sessions later
03/18/98… S&P500 +1.3% two sessions later
01/14/98… S&P500 +0.4% two sessions later
07/16/97… S&P500 -2.3% two sessions later
04/16/97… S&P500 +0.4% two sessions later
09/13/95… S&P500 +0.8% two sessions later
06/14/95… S&P500 +0.6% two sessions later
02/15/95… S&P500 -0.5% two sessions later
12/14/94… S&P500 +0.8% two sessions later
05/18/94… S&P500 +0.3% two sessions later
02/16/94… S&P500 -1.1% two sessions later
In 21 out of the last 30 cases, or 70% of the time, the S&P continued to move higher heading into Friday’s close, compared with 54% at-any-time odds for a higher S&P two days later in the same time frame. While the S&P was roughly twice as likely to move higher heading into expiration, it’s interesting to note that when it failed to rally, losses were often substantial. In five out of the nine cases in which the S&P fell, losses amounted to 1%+, while in only three cases out of twenty-one did gains amount to 1%+.
Expiration Week Strength
By Rennie on Wednesday, September 16th, 2009 at 3:26 pmWith the market shrugging off a number of short-term sell setups over the last week, and with Cumulative TICK approaching a high +100,000 reading, it’s worth noting that this is the second options expiration week this year in which the market has rallied on each of the first three sessions. The last thirty times that the S&P rallied Monday-Wednesday of expiration week are listed in the table below…
S&P Rallies Mon-Wed of Expiration Week
09/16/09… S&P500 ??? two sessions later
07/15/09… S&P500 +0.8% two sessions later
02/13/08… S&P500 -1.3% two sessions later
04/18/07… S&P500 +0.8% two sessions later
11/15/06… S&P500 +0.3% two sessions later
09/13/06… S&P500 +0.1% two sessions later
08/16/06… S&P500 +0.5% two sessions later
03/15/06… S&P500 +0.3% two sessions later
12/14/05… S&P500 -0.4% two sessions later
07/13/05… S&P500 +0.4% two sessions later
06/15/05… S&P500 +0.9% two sessions later
05/18/05… S&P500 +0.3% two sessions later
02/16/05… S&P500 -0.7% two sessions later
12/15/04… S&P500 -1.0% two sessions later
08/18/04… S&P500 +0.3% two sessions later
03/19/03… S&P500 +2.5% two sessions later
12/19/01… S&P500 -0.4% two sessions later
05/16/01… S&P500 +0.5% two sessions later
06/16/99… S&P500 +0.9% two sessions later
11/18/98… S&P500 +1.7% two sessions later
09/16/98… S&P500 -2.4% two sessions later
03/18/98… S&P500 +1.3% two sessions later
01/14/98… S&P500 +0.4% two sessions later
07/16/97… S&P500 -2.3% two sessions later
04/16/97… S&P500 +0.4% two sessions later
09/13/95… S&P500 +0.8% two sessions later
06/14/95… S&P500 +0.6% two sessions later
02/15/95… S&P500 -0.5% two sessions later
12/14/94… S&P500 +0.8% two sessions later
05/18/94… S&P500 +0.3% two sessions later
02/16/94… S&P500 -1.1% two sessions later
In 21 out of the last 30 cases, or 70% of the time, the S&P continued to move higher heading into Friday’s close, compared with 54% at-any-time odds for a higher S&P two days later in the same time frame. While the S&P was roughly twice as likely to move higher heading into expiration, it’s interesting to note that when it failed to rally, losses were often substantial. In five out of the nine cases in which the S&P fell, losses amounted to 1%+, while in only three cases out of twenty-one did gains amount to 1%+.