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: [list type=square_list]

• 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.[/list]