Tendencies Surrounding Options Expiration
By
Rennie on Friday, June 18th, 2010 at 2:57 pm
Not much to add on this slow Friday session, but I would note that if the S&P500 closes higher today, odds would tilt in favor of lower prices on Monday. The table below highlights the last 30 instances in which the S&P closed higher on the last two days of options expiration week Note that in 22 cases, or 73% of the time, the S&P closed lower the day after expiration, significantly above the 46% random chance for a lower S&P one day later in the same time frame. At least in recent years, the mean reversion bias around OpEx has been real…
S&P Rallies Last Two Days of Expiration Week
02/19/10… S&P500 -0.1% next session
08/21/09… S&P500 -0.1% next session
06/19/09… S&P500 -3.1% next session
04/17/09… S&P500 -4.3% next session
01/16/09… S&P500 -5.3% next session
09/19/08… S&P500 -3.8% next session
08/15/08… S&P500 -1.5% next session
07/18/08… S&P500 -0.1% next session
05/16/08… S&P500 +0.1% next session
04/18/08… S&P500 -0.2% next session
12/21/07… S&P500 +0.8% next session
08/17/07… S&P500 -0.0% next session
06/15/07… S&P500 -0.1% next session
12/15/06… S&P500 -0.3% next session
11/17/06… S&P500 -0.1% next session
10/20/06… S&P500 +0.6% next session
08/18/06… S&P500 -0.4% next session
03/17/06… S&P500 -0.2% next session
11/18/05… S&P500 +0.5% next session
09/16/05… S&P500 -0.6% next session
07/15/05… S&P500 -0.6% next session
06/17/05… S&P500 -0.1% next session
09/17/04… S&P500 -0.6% next session
05/21/04… S&P500 +0.2% next session
04/16/04… S&P500 +0.1% next session
01/16/04… S&P500 -0.1% next session
08/15/03… S&P500 +0.9% next session
03/21/03… S&P500 -3.5% next session
11/15/02… S&P500 -1.0% next session
10/18/02… S&P500 +1.7% next session
Keep in mind we still have that three-day buy setup based on higher highs and increasing volume in effect until Monday’s close, so not expecting a significant selloff.
Tendencies Surrounding Options Expiration
By Rennie on Friday, June 18th, 2010 at 2:57 pmNot much to add on this slow Friday session, but I would note that if the S&P500 closes higher today, odds would tilt in favor of lower prices on Monday. The table below highlights the last 30 instances in which the S&P closed higher on the last two days of options expiration week Note that in 22 cases, or 73% of the time, the S&P closed lower the day after expiration, significantly above the 46% random chance for a lower S&P one day later in the same time frame. At least in recent years, the mean reversion bias around OpEx has been real…
S&P Rallies Last Two Days of Expiration Week
02/19/10… S&P500 -0.1% next session
08/21/09… S&P500 -0.1% next session
06/19/09… S&P500 -3.1% next session
04/17/09… S&P500 -4.3% next session
01/16/09… S&P500 -5.3% next session
09/19/08… S&P500 -3.8% next session
08/15/08… S&P500 -1.5% next session
07/18/08… S&P500 -0.1% next session
05/16/08… S&P500 +0.1% next session
04/18/08… S&P500 -0.2% next session
12/21/07… S&P500 +0.8% next session
08/17/07… S&P500 -0.0% next session
06/15/07… S&P500 -0.1% next session
12/15/06… S&P500 -0.3% next session
11/17/06… S&P500 -0.1% next session
10/20/06… S&P500 +0.6% next session
08/18/06… S&P500 -0.4% next session
03/17/06… S&P500 -0.2% next session
11/18/05… S&P500 +0.5% next session
09/16/05… S&P500 -0.6% next session
07/15/05… S&P500 -0.6% next session
06/17/05… S&P500 -0.1% next session
09/17/04… S&P500 -0.6% next session
05/21/04… S&P500 +0.2% next session
04/16/04… S&P500 +0.1% next session
01/16/04… S&P500 -0.1% next session
08/15/03… S&P500 +0.9% next session
03/21/03… S&P500 -3.5% next session
11/15/02… S&P500 -1.0% next session
10/18/02… S&P500 +1.7% next session
Keep in mind we still have that three-day buy setup based on higher highs and increasing volume in effect until Monday’s close, so not expecting a significant selloff.