April Options Expiration Week

Here’s an interesting pattern related to options expiration week. Since 1990, buying the S&P on the Friday prior to April expiration week has led to a subsequently higher close on Monday or Tuesday in every year but one…

Friday’s close prior to April Expiration Week
04/12/90… S&P500 +0.1% one session later
04/12/91… S&P500 +0.2% one session later
04/10/92… S&P500 +0.2% one session later
04/08/93… S&P500 +1.5% one session later
04/08/94… S&P500 +0.6% one session later
04/13/95… S&P500 -0.8% two sessions later
04/12/96… S&P500 +0.9% one session later
04/11/97… S&P500 +0.8% one session later
04/09/98… S&P500 +0.5% two sessions later
04/09/99… S&P500 +0.8% one session later
04/14/00… S&P500 +3.3% one session later
04/12/01… S&P500 +0.7% two sessions later
04/12/02… S&P500 +1.6% two sessions later
04/11/03… S&P500 +1.9% one session later
04/08/04… S&P500 +0.5% one session later
04/08/05… S&P500 +0.0% one session later
04/13/06… S&P500 +1.4% two sessions later
04/13/07… S&P500 +1.1% one session later
04/11/08… S&P500 +0.1% two sessions later
04/09/09… S&P500 +0.3% one session later
04/09/10… S&P500 +0.2% one session later
04/08/11… S&P500 ???

Categories : Archived Intraday Commentary, Intraday Commentary

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