Past Market Performance During Option Expiration Week

Includes: IVV, SPY
by: Bespoke Investment Group

Hickey and Walters (Bespoke) submit: With another option expiration week underway, we looked back over the last year and a half to see how the S&P 500 typically performs during option expiration weeks (for a calendar of option expiration weeks for the year, click here (pdf file)). In addition to calculating the average performance of the market on each day of the week, we also looked to see if any patterns were evident.

Since 2006, Tuesday has typically been the most volatile day. Over the last 17 months, the market has had a Tuesday move of more than 1% seven times (five up and two down). In terms of market performance, Wednesday is typically the best day with an average gain of 0.3% and positive returns in 14 out of 17 periods.

option expiration week