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Wednesday, May 13, 2009

Options Expiration Week Performance

With the S&P 500 down over 1.6% at the moment, today is shaping up to be just another Monday of an options expiration week. Since the S&P 500 peaked in October 2007, Mondays of options expiration week have been notoriously bad with a median decline of 0.6% and positive returns only seven out of eighteen times.



Above: Source B.I.G.

Note the performance for Tuesdays when Mondays are down more than 1%. Note the performance for Wednesdays, Thursdays and Fridays thereafter. Do you see a pattern?





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