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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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Source: Option Expiration Week: Tuesday Generally Most Volatile