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As a follow-up to an article on daily fluctuations on the precious metals market, I did some analysis on the weekly performance of the SPDR Gold Trust (NYSEARCA:GLD) ETF. There was a fairly substantial divergence in gains based on the day of the week, and a commenter suggested that there might be a difference in the weekly performance of the ETF, related to options expiration.

I recorded the weekly performance, based on closing prices of the GLD for each Friday since the inception of the GLD, specifically from 11/19/2004 to 02/24/2012. I then calculated the total return for each week of the month. I used the historical prices downloaded from Yahoo! Finance.

The first Friday of each month was designated week one, etc., through week five. Many times week one would include a few days of the prior month, and most months there was no week five. The study was based on Friday close to Friday close.

Monthly options expiration occurs after week three. There are weekly options for GLD, but the open interest on those is a fraction of the monthly, so if there is any impact of options expiration, it would be related to the monthlies.

Week Total Gain Average Gain
1 $ 8.14 $0.10
2 $63.73 $0.74
3 $ 0.58 $0.01
4 $42.00 $0.49
5 $13.00 $0.45

As you can see from the chart, there is a difference in the return for the weeks of the month. The GLD increased by $127.45 during this period, and almost all of it took place in weeks two and four.

Is the Weekly Variance Significant?

The GLD, which mimics the price of gold, is very volatile. The standard deviation of the weekly price gains and losses is $2.83. Although there is clearly a weekly variance in the performance of the GLD over time, it may not be significant enough to have a major impact on trading decisions. Investors should at least look at the calendar along with other factors when making investment decisions.

Source: Analyzing Weekly Gains And Losses In The Gold Market