Rest of the month after options expiration – September

A quick relook at the previous post data to look at just September options expiration results:

option expiration month to OEX OEX to month end 5 days after options expiration
9/17/1993 -1.00% 0.29% -0.06%
9/16/1994 -0.74% -1.18% -1.73%
9/15/1995 4.14% 0.06% -0.21%
9/20/1996 5.08% -0.04% 0.07%
9/19/1997 5.55% -0.69% -0.59%
9/18/1998 6.72% -0.34% 2.11%
9/17/1999 1.55% -3.73% -4.49%
9/15/2000 -3.92% -1.63% -0.50%
9/21/2001 -14.46% 7.36% 7.36%
9/20/2002 -7.68% -3.04% -1.90%
9/19/2003 2.59% -3.58% -3.58%
9/17/2004 2.25% -1.22% -1.49%
9/16/2005 1.17% -0.37% -1.66%
9/15/2006 1.46% 1.23% -0.37%
9/21/2007 3.46% 0.40% 0.40%
9/19/2008 -3.08% -6.55% -2.63%
9/18/2009 4.66% -1.06% -2.13%

This paints a more bearish bias toward the next five days, although of the 4 positive weeks, 3 out of the 4 were positive where when the month to options expiration price change was greater than 3%. There were 3 up and 3 down for the week after options expiration when the month to options expiration price change was > 3%. The current month’s price change is around 7%, which is the better than any in the sample.

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