An Historic Look At Dow Performance On Options Expiry Days

Aug.17.07 | About: SPDR Dow (DIA)

Hickey and Walters (Bespoke) submit: In today's Ahead of the Tape column in the WSJ, Scott Patterson mentions some of our recent analysis on the market's typical performance on options expiration Fridays.

Today is the third Friday of the month, and that means options expiration day. We went back 15 years to see how the Dow Jones Industrial Average has typically performed on options expiration day. The average percent change on all options expiration days has been -0.08% versus an average percent change of all days over the past 15 years of 0.03%.

We also looked at the Dow’s change on options expiration day when the VIX (volatility index) has been greater than 20 and the Dow has been below its 50-day moving average -- two criteria that are currently present. We found 26 such occurrences, and the index has been down 70% of the time for an average decline of -0.70%.

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dow options expiry performance