Seasonal Tendencies Surrounding July Options Expiration

Big moves down on expiration Friday often lead to a upside reversal the following Monday, but seasonal factors argue against such a reversal. The day after July options expiration has typically been a weak session for the market, as the table below illustrates…

S&P500 on Day After July Options Expiration
07/19/10… S&P500 ???
07/20/09… S&P500 +1.1%
07/21/08… S&P500 -0.1%
07/23/07… S&P500 +0.5%
07/24/06… S&P500 +1.7%
07/18/05… S&P500 -0.6%
07/19/04… S&P500 -0.0%
07/21/03… S&P500 -1.5%
07/22/02… S&P500 -3.3%
07/23/01… S&P500 -1.6%
07/24/00… S&P500 -1.1%
07/19/99… S&P500 -0.8%
07/20/98… S&P500 -0.2%
07/21/97… S&P500 -0.3%
07/22/96… S&P500 -0.8%
07/24/95… S&P500 +0.5%
07/18/94… S&P500 +0.2%
07/19/93… S&P500 +0.1%
07/20/92… S&P500 -0.5%
07/22/91… S&P500 -0.4%
07/23/90… S&P500 -1.7%
07/24/89… S&P500 -0.7%
07/18/88… S&P500 -0.6%
07/20/87… S&P500 -1.0%
07/21/86… S&P500 -0.1%
07/22/85… S&P500 -0.4%
07/23/84… S&P500 -0.4%
07/18/83… S&P500 -0.2%
07/19/82… S&P500 -0.3%
07/20/81… S&P500 -1.6%
07/21/80… S&P500 +0.4%

Up until the last few years the S&P had never gained much more than 0.5% on the day after July expiration, so the fact that it recently gained more than 1% in two out of the last four years could indicate this seasonal trend is not as strong as it once was. Still, the overall track record of 23 down days over the past 30 occurrences (77%) is tough to fight given the 47% random chance for a lower S&P one day later.

Categories : Archived Intraday Commentary, Intraday Commentary

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