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.
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 see no edge here with how the S&P performs the week following the Thursday before option expiration. Here’s a few insights:
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.