Counter-Trend Tendencies Post-Expiry

The S&P500 closed out options expiration week on an upbeat note, setting the stage for a likely downside reversal when trading resumes Monday. Historically, a one-way directional move on the final days of expiration week generally leads to a counter-trend move at the start of the next week. In the table below I’ve extracted the last thirty instances in which the S&P closed higher the day before and the day of options expiration. Note that in 23 cases, or 77% 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…

S&P Rallies Last Two Days of Expiration Week
11/19/10… S&P500 ??? next session
06/18/10… S&P500 -0.4% next session
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

Categories : Archived EOD Commentary, End-of-Day Commentary

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