Options expiration by the month

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:

change from prior week close

and this one, not much different, just going from start of week open through close:

option week - open to 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).


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