Is there any truth to the saying that the Thursday before option expiration is typically the low heading into the next week? In a word, no. I see no edge here with how the S&P performs the week following the Thursday before option expiration. Here’s a few insights:

• Since January 2000, 52.7% of the time the Thursday before option expiration has been the low going into option expiration week.
• February had the most occurrences (9) where the Thursday before option expiration was the low going into opex week.
• Both June and July had the least occurrences with 4 each.
• Results were indifferent regarding whether the SPX was above or below the 200-day SMA.
• The longest streak of occurrences where the Thursday before opex was indeed the low going into opex was 6 from August 2006 to February 2007.

One other item of interest was that there is a greater tendency for the Thursday before option expiration to be the low going into opex towards the beginning of the year. Specifically the months of February, March and April.