Rest of the month after options expiration

Given a rather large month to date gain in the SPY, I was curious what happens after options expiration for the following week and rest of the month.  For this, I used SPY closing prices adjusted for dividends from Yahoo!.  I used the last 211 months, sorted by the month to date gain (prior months close through options expiration). I then computed the gain from options expiration to the end of the month, and from options expiration to the close 5 days later. I grouped the results in 10 occurrences, ranked by gain. So in the table below, the first row were the 10 worst month to date performances, and the last row was the 10 best month to date. The current month would place it in the best 10 months. What I found is that the month to date didn’t seem to predict the rest of the month. I was surprised to find that, for the best 10 months, the next week was up 7 of the 10 times and through the end of the month it was up 5 of the 10 months. On the other hand, for the prior group of ten, 4 of the 10 were up the next week and 3 of the 10 were up at month end.

group of 10 median month to OEX median OEX to month end weeks postive max min average next week
1 -8.92% 2.67% 7 13.29% -4.50% 3.00% -0.04%
2 -4.76% -0.72% 5 1.97% -4.95% -0.97% -0.47%
3 -3.28% 0.75% 7 9.72% -6.55% 0.54% 0.59%
4 -2.64% 0.24% 5 3.15% -11.57% -0.74% -0.50%
5 -1.59% 0.45% 6 3.32% -4.44% 0.19% -0.28%
6 -1.02% 0.07% 8 2.78% -1.33% 0.50% 0.26%
7 -0.61% 0.98% 7 3.92% -3.91% 0.54% -0.26%
8 0.01% 0.16% 5 1.82% -2.36% -0.26% 0.17%
9 0.78% -0.06% 5 2.65% -3.07% -0.19% -0.46%
10 1.02% 0.15% 6 2.97% -5.05% -0.18% 0.68%
11 1.25% 0.46% 6 2.95% -3.30% 0.33% 0.22%
12 1.64% 1.27% 8 4.60% -3.73% 0.98% 0.98%
13 1.98% -0.49% 3 1.15% -5.50% -1.37% -0.54%
14 2.20% 0.16% 5 4.06% -1.55% 0.52% 0.35%
15 2.48% -0.85% 3 4.97% -7.62% -1.08% -0.83%
16 2.80% -0.09% 5 2.93% -5.08% -0.42% 0.63%
17 3.22% 1.61% 7 4.39% -4.89% 0.84% -0.25%
18 3.96% 0.14% 6 3.77% -6.39% -0.23% 0.06%
19 4.57% 0.33% 5 3.67% -5.73% 0.03% 0.46%
20 5.17% -0.43% 3 1.40% -1.83% -0.37% -0.40%
21 6.71% 0.13% 5 2.62% -5.49% 0.09% 0.89%

Graphically, the blue line is the month to date performance, and the green is the median next week performance and brown is median OEX through month end performance.

The ten best month to Options expiration performances:

month to OEX OEX to month end week after OEX OEX date OEX price Month end Price Prior Month End Price
5.67% 0.46% 0.46% 11/20/2009 108.33 108.83 102.52
5.69% 2.62% 0.75% 4/17/2003 78.56 80.62 74.33
6.02% -0.43% -0.43% 11/20/1998 97.06 96.64 91.55
6.04% -5.49% -3.29% 3/21/2003 78.65 74.33 74.17
6.70% 1.73% 1.02% 4/20/2001 106.37 108.21 99.69
6.72% -0.34% 2.11% 9/18/1998 84.97 84.68 79.62
7.19% 2.34% 4.51% 3/17/2000 124.26 127.17 115.93
8.09% -0.27% 1.37% 11/16/2001 98.35 98.08 90.99
8.38% -0.13% 1.76% 10/18/2002 77.06 76.96 71.1
9.50% 0.40% -0.48% 4/17/2009 85.31 85.65 77.91
Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: