OpEx Rally To Trigger a Short-term Sell

A rally in the final two sessions 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. Average down day was 1.1%, well ahead of the 0.4% average up day. This will be triggered at today’s close as long as the SPX closes higher…

S&P Rallies Last Two Days of Expiration Week
02/18/11… S&P500  -2.1% next session
12/17/10… S&P500  +0.3% next session
11/19/10… S&P500 -0.2% 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

Earlier today the S&P500 was up over 1%. Should we see that kind of gain at today’s close it would trigger a separate short-term sell. Below are the last 30 instances in which the SPX closed up 1%+ on an Expiration Friday. Note that in 28 cases, or 93% of the time, the S&P posted a subsequently lower close (below Friday’s close) within the next five sessions, significantly above the 72% random chance…

S&P500 +1.0% on Expiration Friday
05/21/10… Lower S&P close one session later
08/21/09… Lower S&P close one session later
11/21/08… No lower close within five sessions
09/19/08… Lower S&P close one session later
04/18/08… Lower S&P close one session later
03/20/08… Lower S&P close four sessions later
12/21/07… Lower S&P close three sessions later
08/17/07… Lower S&P close one session later
07/18/03… Lower S&P close one session later
04/17/03… Lower S&P close one session later
03/21/03… Lower S&P close one session later
02/21/03… Lower S&P close one session later
12/20/02… Lower S&P close two sessions later
03/15/02… Lower S&P close one session later
09/17/99… Lower S&P close two sessions later
01/15/99… Lower S&P close three sessions later
04/17/98… Lower S&P close four sessions later
01/16/98… Lower S&P close four sessions later
12/18/92… Lower S&P close one session later
12/20/91… No lower close within five sessions
02/15/91… Lower S&P close two sessions later
01/18/91… Lower S&P close one session later
10/19/90… Lower S&P close two sessions later
03/16/90… Lower S&P close two sessions later
05/19/89… Lower S&P close two sessions later
04/21/89… Lower S&P close one session later
02/19/88… Lower S&P close four sessions later
01/15/88… Lower S&P close one session later
12/18/87… Lower S&P close five sessions later
03/20/87… Lower S&P close five sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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