Monday, March 15, 2010

Options Expiration Week Performance By Month

Some readers may recall that I’ve previously labeled December op-ex week “The Most Wonderful Time of the Year”. Op-ex week in general is normally pretty good. And while December has been the most reliable month, both March and April have produced more profits going back to 1984. Below is a table that breaks down op-ex week performance by month. It assumes buying the close on the Friday prior to op-ex and selling the close of op-ex Friday. If there was a holiday on that Friday, then the Thursday before the weekend was bought. I excluded op-ex week of September 2001 due to the extreme (and horrific) circumstances.



This positive seasonality could provide a bit of a tailwind this week for the market.

1 comment:

tribeca4 said...

Hi, Rob. First, I find your blog an excellent resource for someone learning the biz, like myself, so thank you.

I was reading one of your earlier posts, namely,

http://quantifiableedges.blogspot.com/2009/11/vix-rises-as-spx-hits-new-high.html

and was wondering, if the vix setup happens on option-ex week, whether it's still effective? Or is that slicing it too thin, perhaps from the low # of observations?

Thanks,

Avid Amateur