November Options Expiration

Back-to-back losses in excess of 1% prior to OpEx is a fairly rare pattern, only occurring five times since 1990…

S&P500 -1% Two Consecutive Days Prior to opEx
11/17/11… S&P500 ??? next day
11/20/08… S&P500 +6.3% next day
04/14/05… S&P500 -1.7% next day
06/20/02… S&P500 -1.7% next day
09/20/01… S&P500 -1.9% next day
06/14/01… S&P500 -0.5% next day

OEX outperformed SPX for the second day in a row Thursday. When the OEX has been down 1%+ two consecutive days and outperformed SPX both days…

OEX Down Over 1% Two Consecutive Days, Outperforms SPX
11/17/11… ???
11/01/11… Higher SPX close one session later
10/03/11… Higher SPX close one session later
09/22/11… Higher SPX close one session later
09/02/11… Higher SPX close two sessions later
06/30/10… No higher SPX close next 1-2 sessions
06/01/10… Higher SPX close one session later
05/14/10… Higher SPX close one session later
06/16/09… Higher SPX close two sessions later
03/30/09… Higher SPX close one session later
01/30/09… Higher SPX close two sessions later
01/12/09… Higher SPX close one session later
11/20/08… Higher SPX close one session later
11/17/08… Higher SPX close one session later
11/11/08… Higher SPX close two sessions later
10/22/08… Higher SPX close one session later
10/10/08… Higher SPX close one session later
10/03/08… No higher SPX close next 1-2 sessions
09/23/08… Higher SPX close two sessions later
12/17/07… Higher SPX close one session later
08/15/07… Higher SPX close one session later
05/12/06… Higher SPX close one session later
01/22/03… Higher SPX close one session later
10/07/02… Higher SPX close one session later
09/27/90… Higher SPX close one session later
08/03/90… No higher SPX close next 1-2 sessions
11/10/87… Higher SPX close one session later
04/14/87… Higher SPX close one session later
09/12/86… Higher SPX close one session later

25/28 (89%) led to higher SPX close (above setup day’s close) within next two sessions, a significant edge over the 66% random chance.

Friday’s close kicks off a bullish seasonal time frame heading into year-end. Table below highlights S&P500 performance from November options expiration until the last day of December over the last 30 years…

SPX Performance from November OpEx through Year-End
11/18/11 – 12/30/11… S&P500 ???
11/19/10 – 12/31/10… S&P500 +4.8%
11/20/09 – 12/31/09… S&P500 +2.2%
11/21/08 – 12/31/08… S&P500 +12.9%
11/16/07 – 12/31/07… S&P500 +0.7%
11/17/06 – 12/29/06… S&P500 +1.2%
11/18/05 – 12/30/05… S&P500 +0.0%
11/19/04 – 12/31/04… S&P500 +3.6%
11/21/03 – 12/31/03… S&P500 +7.4%
11/15/02 – 12/31/02… S&P500 -3.3% (*)
11/16/01 – 12/31/01… S&P500 +0.8%
11/17/00 – 12/29/00… S&P500 -3.5% (*)
11/19/99 – 12/31/99… S&P500 +3.3%
11/20/98 – 12/31/98… S&P500 +5.7%
11/21/97 – 12/31/97… S&P500 +0.8%
11/15/96 – 12/31/96… S&P500 +0.4%
11/17/95 – 12/29/95… S&P500 +2.6%
11/18/94 – 12/30/94… S&P500 -0.5%
11/19/93 – 12/31/93… S&P500 +0.8%
11/20/92 – 12/31/92… S&P500 +2.1%
11/15/91 – 12/31/91… S&P500 +9.0%
11/16/90 – 12/31/90… S&P500 +4.1%
11/17/89 – 12/29/89… S&P500 +3.5%
11/18/88 – 12/30/88… S&P500 +4.2%
11/20/87 – 12/31/87… S&P500 +2.1%
11/21/86 – 12/31/86… S&P500 -1.5%
11/15/85 – 12/31/85… S&P500 +6.7%
11/16/84 – 12/31/84… S&P500 +1.9%
11/18/83 – 12/30/83… S&P500 -0.1%
11/19/82 – 12/31/82… S&P500 +2.6%
11/20/81 – 12/31/81… S&P500 +0.7%

25 of last 30 years S&P gained in this time frame. The S&P fell more than 2% two times while it rallied more than 2% sixteen times.

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

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