OpEx Strength
By
Rennie on Friday, October 21st, 2011 at 2:00 pm
Below is every instance since 2000 in which the S&P500 closed higher on the last two days of expiration week. Negative bias for the following session, especially since 2005. I’ve put an asterisk (*) next to those instances in which the S&P closed up 1%+ on OpEx.
S&P Rallies Last Two Days of Expiration Week
09/16/11… S&P500 -1.0% next session
06/17/11… S&P500 +0.5% next session
04/15/11… S&P500 -1.1% next session
03/18/11… S&P500 +1.5% next session
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
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
10/18/02… S&P500 +1.7% next session
05/17/02… S&P500 -1.3% next session
05/18/01… S&P500 +1.6% next session
10/20/00… S&P500 -0.1% next session
03/17/00… S&P500 -0.5% next session
Would also be a negative for Monday if S&P futures settle below the day’s midpoint (as is the case currently) and NYSE breadth holds in 3:1 positive territory…
S&P Futures Close <Midpoint, NYSE Breadth 3:1+ Positive
10/12/11… S&P futures -0.3% next day
09/27/11… S&P futures -1.8% next day
10/13/10… S&P futures -0.1% next day
08/17/10… S&P futures -0.2% next day
07/13/10… S&P futures +0.1% next day
02/09/10… S&P futures -0.3% next day
11/23/09… S&P futures -0.1% next day
10/06/09… S&P futures +0.5% next day
08/07/09… S&P futures +0.1% next day
07/30/09… S&P futures +0.2% next day
03/31/09… S&P futures +1.8% next day (*)
03/04/09… S&P futures -3.2% next day
01/06/09… S&P futures -2.7% next day
12/08/08… S&P futures -1.7% next day
09/19/08… S&P futures -2.6% next day
04/18/08… S&P futures +0.0% next day
06/15/07… S&P futures -0.1% next day
OpEx Strength
By Rennie on Friday, October 21st, 2011 at 2:00 pmBelow is every instance since 2000 in which the S&P500 closed higher on the last two days of expiration week. Negative bias for the following session, especially since 2005. I’ve put an asterisk (*) next to those instances in which the S&P closed up 1%+ on OpEx.
S&P Rallies Last Two Days of Expiration Week
09/16/11… S&P500 -1.0% next session
06/17/11… S&P500 +0.5% next session
04/15/11… S&P500 -1.1% next session
03/18/11… S&P500 +1.5% next session
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
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
10/18/02… S&P500 +1.7% next session
05/17/02… S&P500 -1.3% next session
05/18/01… S&P500 +1.6% next session
10/20/00… S&P500 -0.1% next session
03/17/00… S&P500 -0.5% next session
Would also be a negative for Monday if S&P futures settle below the day’s midpoint (as is the case currently) and NYSE breadth holds in 3:1 positive territory…
S&P Futures Close <Midpoint, NYSE Breadth 3:1+ Positive
10/12/11… S&P futures -0.3% next day
09/27/11… S&P futures -1.8% next day
10/13/10… S&P futures -0.1% next day
08/17/10… S&P futures -0.2% next day
07/13/10… S&P futures +0.1% next day
02/09/10… S&P futures -0.3% next day
11/23/09… S&P futures -0.1% next day
10/06/09… S&P futures +0.5% next day
08/07/09… S&P futures +0.1% next day
07/30/09… S&P futures +0.2% next day
03/31/09… S&P futures +1.8% next day (*)
03/04/09… S&P futures -3.2% next day
01/06/09… S&P futures -2.7% next day
12/08/08… S&P futures -1.7% next day
09/19/08… S&P futures -2.6% next day
04/18/08… S&P futures +0.0% next day
06/15/07… S&P futures -0.1% next day