Post-Expiration Selloff

In recent years the market has displayed a consistent tendency to bounce back from selloffs that occur immediately following options expiration. In the table below I’ve listed each of the last 30 instances in which the S&P500 closed down in excess of 0.5% on the session immediately following OpEx. Note that 16 out of the last 17 occurrences since 2005 (and 25/30 since 2002) led to a higher S&P three sessions later, significantly above the 56% random chance…

S&P500 Falls 0.5%+ Day Following Options Expiration
05/23/11… S&P500 +0.6% three sessions later
04/18/11… S&P500 +2.5% three sessions later
02/22/11… S&P500 +0.3% three sessions later
05/24/10… S&P500 +2.7% three sessions later
06/22/09… S&P500 +3.1% three sessions later
04/20/09… S&P500 +2.4% three sessions later
02/23/09… S&P500 +1.3% three sessions later
01/20/09… S&P500 +3.3% three sessions later
12/22/08… S&P500 +0.1% three sessions later
09/22/08… S&P500 +0.2% three sessions later
08/18/08… S&P500 -0.1% three sessions later
01/22/08… S&P500 +1.5% three sessions later
11/19/07… S&P500 +0.5% three sessions later
09/24/07… S&P500 +0.9% three sessions later
01/22/07… S&P500 +0.1% three sessions later
06/19/06… S&P500 +0.4% three sessions later
12/19/05… S&P500 +0.7% three sessions later
09/19/05… S&P500 -1.3% three sessions later
07/18/05… S&P500 +0.5% three sessions later
02/22/05… S&P500 +2.3% three sessions later
09/20/04… S&P500 -1.2% three sessions later
03/22/04… S&P500 +1.3% three sessions later
09/22/03… S&P500 -1.9% three sessions later
07/21/03… S&P500 +0.3% three sessions later
06/23/03… S&P500 +0.4% three sessions later
05/19/03… S&P500 +1.2% three sessions later
03/24/03… S&P500 +0.5% three sessions later
02/24/03… S&P500 +0.6% three sessions later
01/21/03… S&P500 -3.0% three sessions later
11/18/02… S&P500 +3.7% three sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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