Low Volume Start to Expiration Week

Stocks kicked off expiration week with a low-volume selloff, historically a bullish sign for the remainder of the week. When the S&P500 closes lower on Monday of OpEx week on the lightest NYSE volume of the past five sessions, we usually see a rebound in price over the remainder of the week. The last thirty times this has occurred are listed in the table below, beginning with the expiration Monday in which the S&P closed lower and followed by the performance of the S&P500 over the next four sessions…

S&P Down Monday of Expiration Week on Lightest NYSE Volume in Five Days
04/11/11… S&P500 ??? at Friday’s close
11/15/10… S&P500 +0.2% at Friday’s Close
05/11/09… S&P500 -2.9% at Friday’s Close (*)
12/15/08… S&P500 +2.2% at Friday’s Close
07/14/08… S&P500 +2.6% at Friday’s Close
04/14/08… S&P500 +4.7% at Friday’s Close
09/17/07… S&P500 +3.3% at Friday’s Close
08/13/07… S&P500 -0.5% at Friday’s Close
02/12/07… S&P500 +1.6% at Friday’s Close
02/13/06… S&P500 +1.9% at Friday’s Close
09/15/03… S&P500 +2.1% at Friday’s Close
01/13/03… S&P500 -2.6% at Friday’s Close (*)
11/11/02… S&P500 +3.8% at Friday’s Close
08/12/02… S&P500 +2.8% at Friday’s Close
04/15/02… S&P500 +2.1% at Friday’s Close
11/12/01… S&P500 +1.8% at Friday’s Close
07/16/01… S&P500 +0.7% at Friday’s Close
04/16/01… S&P500 +5.4% at Friday’s Close
06/12/00… S&P500 +1.3% at Friday’s Close
03/13/00… S&P500 +5.8% at Friday’s Close
11/15/99… S&P500 +2.0% at Friday’s Close
10/11/99… S&P500 -6.6% at Friday’s Close (*)
09/13/99… S&P500 -0.7% at Friday’s Close
06/17/96… S&P500 +0.3% at Friday’s Close
11/13/95… S&P500 +1.3% at Friday’s Close
10/17/94… S&P500 -0.9% at Friday’s Close
01/17/94… S&P500 +0.3% at Friday’s Close
11/16/92… S&P500 +1.4% at Friday’s Close
01/13/92… S&P500 +1.1% at Friday’s Close
12/16/91… S&P500 +0.7% at Friday’s Close
03/11/91… S&P500 +0.2% at Friday’s Close

Note the propensity for the S&P to bounce back from a low-volume selloff at the start of expiration week. In 24 out of 30 cases, or 80% of the time, the S&P closed higher at Friday’s close, significantly above the 55% at-any-time odds for a higher S&P close four sessions later. Only 3 cases led to an S&P down 1%+ at Friday’s close while eighteen led to an S&P up 1%+.

Also worth noting that when the S&P closes down Thursday and Friday prior to OpEx week and the Monday of OpEx, the market has a good record of bouncing back over the remainder of the week. Out of 15 occurrences since 1990, 14 led to a higher S&P four sessions later…

Heading into opEx Week, S&P500 Down Thursday, Friday & Monday
04/11/11… S&P500 ??? at end of week
11/15/10… S&P500 +0.2% at end of week
11/12/07… S&P500 +1.4% at end of week
02/12/07… S&P500 +1.6% at end of week
07/17/06… S&P500 +0.5% at end of week
05/17/04… S&P500 +0.9% at end of week
11/17/03… S&P500 -0.8% at end of week
11/11/02… S&P500 +3.8% at end of week
11/13/00… S&P500 +1.2% at end of week
06/12/00… S&P500 +1.3% at end of week
12/16/96… S&P500 +3.9% at end of week
06/17/96… S&P500 +0.3% at end of week
12/14/92… S&P500 +2.0% at end of week
01/13/92… S&P500 +1.1% at end of week
03/11/91… S&P500 +0.2% at end of week
12/17/90… S&P500 +1.8% at end of week

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

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