Back in June of 2010 the CBOE started listing weekly options on the SPY. Here’s some interesting data about the weekly options since that date:
- Since June 1st, 2010 the average daily range has been 1.61
- The average two day range (Thursday-Friday) is 3.21
- The average range from Thursday’s open to Friday’s close is .11
Many think that option expiration week (opex) is a rigged game. Perhaps it is. Here’s some stats for the same time period mentioned above:
- The average two day range (Thursday-Friday) for opex week is 2.96
- The average range from Thursday’s open to Friday’s close during opex week is .39
What about the volatile non-farm payrolls you ask? Here you go:
- The average two day range (Thursday-Friday) is 3.43
- The average range from Thursday’s open to Friday’s close during NFP week is .16
I chose the Thursday-Friday range because new weekly options print on Thursdays. It doesn’t take a rocket scientist to see an edge in this data. However, keep in mind it is an average and I haven’t back-tested any trades based off this yet.
SPY Weekly Options Data
Back in June of 2010 the CBOE started listing weekly options on the SPY. Here’s some interesting data about the weekly options since that date:
Many think that option expiration week (opex) is a rigged game. Perhaps it is. Here’s some stats for the same time period mentioned above:
What about the volatile non-farm payrolls you ask? Here you go:
I chose the Thursday-Friday range because new weekly options print on Thursdays. It doesn’t take a rocket scientist to see an edge in this data. However, keep in mind it is an average and I haven’t back-tested any trades based off this yet.