Consecutive Down Days Heading into Options Expiration Week
By
Rennie on Friday, August 13th, 2010 at 3:59 pm
Here’s an interesting seasonal pattern… When the S&P500 closes lower three consecutive days heading into options expiration week, the market typically posts at least one higher close (above Friday’s close) during expiration week. The last 30 occurrences are shown below…
SPX Three Lower Closes Heading into Options Expiration Week
08/13/10… ???
10/10/08… Higher SPX close on Monday
11/09/07… Higher SPX close on Tuesday
07/14/06… Higher SPX close on Tuesday
05/12/06… Higher SPX close on Monday
04/08/04… Higher SPX close on Monday
05/11/01… Higher SPX close on Monday
02/09/01… Higher SPX close on Monday
11/10/00… Higher SPX close on Tuesday
04/14/00… Higher SPX close on Monday
01/09/98… Higher SPX close on Monday
12/12/97… Higher SPX close on Monday
10/10/97… Higher SPX close on Monday
04/11/97… Higher SPX close on Monday
12/13/96… Higher SPX close on Wednesday
06/14/96… Higher SPX close on Friday
08/11/95… Higher SPX close on Monday
06/09/95… Higher SPX close on Monday
11/11/94… Higher SPX close on Monday
12/10/93… Higher SPX close on Monday
12/11/92… Higher SPX close on Thursday
08/09/91… Higher SPX close on Monday
03/08/91… No higher SPX close during Expiration Week
06/08/90… Higher SPX close on Monday
10/13/89… Higher SPX close on Monday
02/10/89… Higher SPX close on Monday
07/08/88… Higher SPX close on Monday
10/09/87… Higher SPX close on Tuesday
09/12/86… Higher SPX close on Monday
01/10/86… Higher SPX close on Monday
09/13/85… Higher SPX close on Thursday
I would note, however, that while the track record looks strong, it’s not a statistically significant edge over random. The SPX closed higher within two days 83% of the time, not significantly above the 67% random chance. Similarly, it closed higher within four days 93% of the time, but again not significantly above the 77% random chance. So it’s interesting but that’s about all. Perhaps if we see confirming evidence from other indicators, although at the moment I’m not seeing much.
Consecutive Down Days Heading into Options Expiration Week
By Rennie on Friday, August 13th, 2010 at 3:59 pmHere’s an interesting seasonal pattern… When the S&P500 closes lower three consecutive days heading into options expiration week, the market typically posts at least one higher close (above Friday’s close) during expiration week. The last 30 occurrences are shown below…
SPX Three Lower Closes Heading into Options Expiration Week
08/13/10… ???
10/10/08… Higher SPX close on Monday
11/09/07… Higher SPX close on Tuesday
07/14/06… Higher SPX close on Tuesday
05/12/06… Higher SPX close on Monday
04/08/04… Higher SPX close on Monday
05/11/01… Higher SPX close on Monday
02/09/01… Higher SPX close on Monday
11/10/00… Higher SPX close on Tuesday
04/14/00… Higher SPX close on Monday
01/09/98… Higher SPX close on Monday
12/12/97… Higher SPX close on Monday
10/10/97… Higher SPX close on Monday
04/11/97… Higher SPX close on Monday
12/13/96… Higher SPX close on Wednesday
06/14/96… Higher SPX close on Friday
08/11/95… Higher SPX close on Monday
06/09/95… Higher SPX close on Monday
11/11/94… Higher SPX close on Monday
12/10/93… Higher SPX close on Monday
12/11/92… Higher SPX close on Thursday
08/09/91… Higher SPX close on Monday
03/08/91… No higher SPX close during Expiration Week
06/08/90… Higher SPX close on Monday
10/13/89… Higher SPX close on Monday
02/10/89… Higher SPX close on Monday
07/08/88… Higher SPX close on Monday
10/09/87… Higher SPX close on Tuesday
09/12/86… Higher SPX close on Monday
01/10/86… Higher SPX close on Monday
09/13/85… Higher SPX close on Thursday
I would note, however, that while the track record looks strong, it’s not a statistically significant edge over random. The SPX closed higher within two days 83% of the time, not significantly above the 67% random chance. Similarly, it closed higher within four days 93% of the time, but again not significantly above the 77% random chance. So it’s interesting but that’s about all. Perhaps if we see confirming evidence from other indicators, although at the moment I’m not seeing much.