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