Option Expiration Week: Tuesday Generally Most Volatile

While we typically expect the market to be quiet ahead of the Christmas holiday, this Friday's expiration should make this week a bit more volatile than normal. Below we have updated the market's performance during option expiration weeks since 2006.

As shown, Mondays are typically the most negative with an average decline of 11 bps and positive returns only 48% of the time. While Tuesday has the overall best return, it is also the most volatile with a change of 1% (up or down) in 11 out of 23 (48%) option expiration weeks. While Wednesday's average return is slightly less than Tuesday's, it is much more consistent. Since the start of '06, Wednesday's during option expiration week have been up 74% of the time for an average gain of 0.21%.

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Comments

[anon:]

great. how does this help us?

2007 Dec 17 05:26 PM

[anon:]

pretty graph, though

2007 Dec 17 05:26 PM

[Kunst:]

So we should buy at the end of Monday and sell Friday morning. What could be simpler? We're all going to be billionaires!

2007 Dec 19 09:40 PM

[Alex J:]

In a recession the worst days are monday, tuesday, wedneday, thursday and friday. Sometimes on Sundays which happen to come before mondays 100% of the time.

Over confidence will expose you to excessive risk!

2007 Dec 20 03:28 AM