Options Expiration Week

Below we have updated our table of the S&P 500's performance during option expiration weeks since 2006. As shown, the only day which has averaged negative returns is Wednesday. Based on the size of each day's move, Wednesday is also the most volatile with an average change of +/- 1.25%.

Interestingly, while Fridays of option expiration weeks are typically thought of as volatile, they are actually the only day where the S&P 500 has recently averaged a move of less than 1% up or down (0.95%). Fridays are also the day where the market has the highest average return with a gain of 0.34%.

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Comments

[NutritionFacts:]

How meaningless is this?

2008 Dec 18 07:35 AM

[Lynn:]

Thanks for the info, Bespoke guys. I always enjoy your tables and charts.

2008 Dec 18 06:15 PM