Trendy Moves During Options Expiration Week
By
Rennie on Thursday, December 17th, 2009 at 2:34 pm
The Dow is currently off 1% at 10340, setting up for a third consecutive lower close. When the Dow has posted three straight lower closes during options expiration week, there’s a notable tendency for the downtrend to continue over the next 1-5 days. The last thirty occurrences are listed in the table below. Note that in 29 out of 30 cases, or 97% of the time, there was a subsequently lower Dow close (below the setup day) within the next five sessions, significantly better than the 75% at-any-time odds for a lower Dow close within three days. When the market gets into a trending mode during expiration week, there’s a better than average chance of that trend continuing over the near-term.
Dow Down Three in a Row During Expiration Week
11/20/09… Lower Dow close four sessions later
06/17/09… Lower Dow close three sessions later
01/14/09… Lower Dow close three sessions later
12/19/08… Lower Dow close one session later
06/18/08… Lower Dow close two sessions later
01/17/08… Lower Dow close one session later
10/17/07… Lower Dow close one session later
08/15/07… Lower Dow close one session later
01/19/07… Lower Dow close one session later
05/18/06… Lower Dow close two sessions later
04/15/05… Lower Dow close one session later
03/17/05… Lower Dow close two sessions later
01/21/05… Lower Dow close one session later
10/14/04… Lower Dow close four sessions later
07/16/04… Lower Dow close one session later
02/20/04… Lower Dow close one session later
10/17/03… Lower Dow close three sessions later
07/17/03… No lower close within five sessions
01/17/03… Lower Dow close one session later
12/19/02… Lower Dow close five sessions later
09/19/02… Lower Dow close two sessions later
06/21/02… Lower Dow close two sessions later
09/19/01… Lower Dow close one session later
08/15/01… Lower Dow close two sessions later
06/15/01… Lower Dow close two sessions later
09/15/00… Lower Dow close one session later
07/19/00… Lower Dow close three sessions later
02/18/00… Lower Dow close three sessions later
01/20/00… Lower Dow close one session later
10/13/99… Lower Dow close two sessions later
Trendy Moves During Options Expiration Week
By Rennie on Thursday, December 17th, 2009 at 2:34 pmThe Dow is currently off 1% at 10340, setting up for a third consecutive lower close. When the Dow has posted three straight lower closes during options expiration week, there’s a notable tendency for the downtrend to continue over the next 1-5 days. The last thirty occurrences are listed in the table below. Note that in 29 out of 30 cases, or 97% of the time, there was a subsequently lower Dow close (below the setup day) within the next five sessions, significantly better than the 75% at-any-time odds for a lower Dow close within three days. When the market gets into a trending mode during expiration week, there’s a better than average chance of that trend continuing over the near-term.
Dow Down Three in a Row During Expiration Week
11/20/09… Lower Dow close four sessions later
06/17/09… Lower Dow close three sessions later
01/14/09… Lower Dow close three sessions later
12/19/08… Lower Dow close one session later
06/18/08… Lower Dow close two sessions later
01/17/08… Lower Dow close one session later
10/17/07… Lower Dow close one session later
08/15/07… Lower Dow close one session later
01/19/07… Lower Dow close one session later
05/18/06… Lower Dow close two sessions later
04/15/05… Lower Dow close one session later
03/17/05… Lower Dow close two sessions later
01/21/05… Lower Dow close one session later
10/14/04… Lower Dow close four sessions later
07/16/04… Lower Dow close one session later
02/20/04… Lower Dow close one session later
10/17/03… Lower Dow close three sessions later
07/17/03… No lower close within five sessions
01/17/03… Lower Dow close one session later
12/19/02… Lower Dow close five sessions later
09/19/02… Lower Dow close two sessions later
06/21/02… Lower Dow close two sessions later
09/19/01… Lower Dow close one session later
08/15/01… Lower Dow close two sessions later
06/15/01… Lower Dow close two sessions later
09/15/00… Lower Dow close one session later
07/19/00… Lower Dow close three sessions later
02/18/00… Lower Dow close three sessions later
01/20/00… Lower Dow close one session later
10/13/99… Lower Dow close two sessions later