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’ve heard this line mentioned several times by some well respected traders that I thought I should take the time to find out for sure. Bottom line is that there is no statistical significance to how the S&P performs the week following the Thursday before option expiration. Here’s a few bullet points:
- Since January of 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.
- There was no significance with respect to whether or not 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 of 2006 to February of 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.
What’s the deal with Thursdays before opex?
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’ve heard this line mentioned several times by some well respected traders that I thought I should take the time to find out for sure. Bottom line is that there is no statistical significance to how the S&P performs the week following the Thursday before option expiration. Here’s a few bullet points:
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.