Hickey and Walters (Bespoke) submit: Yesterday, the market held true to its option expiration week form. We recently noted how Tuesday's of option expiration week tend to be the most volatile with the greatest chance of a 1% move. Well we got one yesterday, and unfortunately it was on the downside.
Revisiting the chart from Monday, shows that Wednesday is typically the most friendly day of the week for the bulls, with an average gain of 0.3%. There were two occurrences since the start of '06 where the S&P 500 went down more than 1% on the Tuesday of option expiration week, and following those periods, the S&P 500 rose the next day by 52 bps and 67 bps, respectively.