Expiration Week Performance statistics from Schaeffer's Investment Research:
"While the past few years have been pretty rough for the market, the same cannot be said for expiration week returns. In fact, since the beginning of 2006, the S&P 500 Index (SPX) has finished in positive territory during expiration weeks a majority of the time (68%), with an average return of 0.28%. Meanwhile, non-expiration weeks have been pitiful, with the SPX closing in negative territory more than half the time, with an average loss of 0.31%. .....
During the past year, there's been good news and bad news for market returns during expiration weeks. The good news is that the SPX finished positive in 9 of the 12 expiration weeks, with an average return of 0.47%. The bad news is that 3 of those weeks were not only just negative, they were alarmingly so, showing an average loss of more than 5%. That is an extremely big swing, especially for option players. In short, during the past year, expiration week has usually been good, but when it's bad, it is really bad.
....
Last week was arduous, as the SPX fell 4.8%. Is it significant when the week prior to expiration makes a big move down? Unfortunately, looking at SPX returns since 2000 when the index was off more than 3% in the week prior to expiration reveals a more bearish situation. Six of the 10 weeks are positive, but the average loss is 0.77%. Holding with the pattern indicated above, negative weeks tend to be especially unpleasant, with an average loss of 5.47%.
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"While the past few years have been pretty rough for the market, the same cannot be said for expiration week returns. In fact, since the beginning of 2006, the S&P 500 Index (SPX) has finished in positive territory during expiration weeks a majority of the time (68%), with an average return of 0.28%. Meanwhile, non-expiration weeks have been pitiful, with the SPX closing in negative territory more than half the time, with an average loss of 0.31%. .....
During the past year, there's been good news and bad news for market returns during expiration weeks. The good news is that the SPX finished positive in 9 of the 12 expiration weeks, with an average return of 0.47%. The bad news is that 3 of those weeks were not only just negative, they were alarmingly so, showing an average loss of more than 5%. That is an extremely big swing, especially for option players. In short, during the past year, expiration week has usually been good, but when it's bad, it is really bad.
....
Last week was arduous, as the SPX fell 4.8%. Is it significant when the week prior to expiration makes a big move down? Unfortunately, looking at SPX returns since 2000 when the index was off more than 3% in the week prior to expiration reveals a more bearish situation. Six of the 10 weeks are positive, but the average loss is 0.77%. Holding with the pattern indicated above, negative weeks tend to be especially unpleasant, with an average loss of 5.47%.
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