Here are a couple of charts comparing SPY behavior during options expiration week by month. Each bar is a different month (month 13 is the summary). The range is the middle 50% of the weekly movements with the mark being the median value. First, the change from prior week end close to options expiration close:
and this one, not much different, just going from start of week open through close:
It appears that January is one of only two months where the week change is typically down.
The daily cumulative performance for option expiration week for January looks like:
The number is the trading day of the week. When the week only has 4 trading days (like this year), day 4 is the second to last trading day and day 5 is the last trading day (that is day 3 is repeated as day 4 also).
