Monday, October 15, 2012

A Seasonal Look At October Op-Ex Monday

Opex week during October has typically been a strong week for the market.  This can be seen in our op-ex week breakdown by month from March.  And much of the upside edge has been thanks to the strong op-ex Monday returns.  But op-ex Monday in 2008 was SO unusually strong (11.5% 1-day gain) that I decided to run the numbers excluding it.  So here is a look at October op-ex Mondays since 1984 not including 2008.

As you can see the numbers are still very favorable.  There appears to be a bit of a bullish seasonal edge today.


Highgamma said...

My Stock Trader's Almanac says that the Monday before October expiration has been up 25 out of the last 31 years, so I think the effect goes back even further than 1984. It may go back to the beginning of the trading of listed options in 1973.

Unknown said...

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