So happend to study the SPX index on option month expiration, just to share some interesting statistics.
From Oct 2005 to Sep 2006, there is more than 50% chance that the SPX closed on high on the option expiration date. 5 months closed less 5 points from the high of the month, 2 months closed between 6-9 points from the high.
The study starts from the first day of the expiration month, for example in the month of Sep 2006, that was 21 Aug 2006, till the last day of the Sep trading day, that was 15 Sep 2006, there are 7 months from Oct 2005 to Sep 2006, that the index closed less than 10 points from the high of the month. Just to list the month in details (closing SPX price from the high of the option month):
1) Nov 2005 : 1.3 point
2) Dec 2005 : 8.5 points
3) Feb 2006 : 2.2 points
4) Mar 2006 : 3.2 points
5) Apr 2006 : 6.9 points
6) Aug 2006 : 0 point
7) Sep 2006 : 5.0 points
To me, the above the statistics is not random. Does it help us in any way ? One usage is to might help us to close out our bear call spread one week before the expiration date if the index is still trending upward since the current statistics shows that there is more than 50% that the index will close on the month range high.
From Oct 2005 to Sep 2006, there is more than 50% chance that the SPX closed on high on the option expiration date. 5 months closed less 5 points from the high of the month, 2 months closed between 6-9 points from the high.
The study starts from the first day of the expiration month, for example in the month of Sep 2006, that was 21 Aug 2006, till the last day of the Sep trading day, that was 15 Sep 2006, there are 7 months from Oct 2005 to Sep 2006, that the index closed less than 10 points from the high of the month. Just to list the month in details (closing SPX price from the high of the option month):
1) Nov 2005 : 1.3 point
2) Dec 2005 : 8.5 points
3) Feb 2006 : 2.2 points
4) Mar 2006 : 3.2 points
5) Apr 2006 : 6.9 points
6) Aug 2006 : 0 point
7) Sep 2006 : 5.0 points
To me, the above the statistics is not random. Does it help us in any way ? One usage is to might help us to close out our bear call spread one week before the expiration date if the index is still trending upward since the current statistics shows that there is more than 50% that the index will close on the month range high.
