Monday, December 15, 2008

Option Claus

No doubt traders will hear about a possible “Santa Claus Rally” many times in the next few weeks. When looking at the S&P 500, though, I found the best week in December to be option expirations week. The edge has been especially pronounced over the last 24 years. During that period the market has closed the week higher about 81% of the time.


Anonymous said...

Excelent article and blog.

I have one question. I dont understand the rule to calculate the day that you have to invest in S&P.

Is the Friday before expiration date? what is the exact date for this year?

Thanks in advance

Trader Joe said...

I'm curious what happens in those rare 19% instances when we don't get an Dec. opex rally ? What happens a week, month, year later ?

nummy said...

past opex weeks have been bullish .. bound to have a bearish opex week sooner or later