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Though I do not have the data, the idea of stocks rallying during
expiration week makes sense AS LONG AS THERE ARE CALL IMBALANCES OVER
PUTS AT NEARBY STRIKES. Those short calls are delta hedgers, and it is
cheaper to buy back stocks or futures than it is to buy back the
options, so if there are more calls than puts above the market, prices
can more easily be pressured that way. If the opposite is true, prices
will tend lower.
--
Steven W. Poser, President
Poser Global Market Strategies Inc.
http://www.poserglobal.com
"Norman E. Phair" wrote:
>
> Dan:
>
> I have taken a cursory look at other weeks in the month
> and can say that
> option expiration week (OEW) is significant in its
> bias to the upside. I am working on what happened the
> week before and the week after. Also if OEW was up
> significantly does that increase the odds that the next
> week will be down.
> Ira mentioned about what happens the Monday after the
> Friday. That is another study in itself. The 2 days at
> the end of the month and the 4 or 5 days of the new
> month is another study I plan to look at. All of this
> takes time and a lot of work. You get kind of punch
> drunk after working with figures for so long. If you
> do not get an answer to your question
> and I hope you do, I will not tell anyone if you want
> to do the study and report back to the group. I am
> sufficiently convinced that the information on OEW is
> an important statistic.
>
> I plan to go back to 1980 to further validate the
> information and if any one is interested in the results
> e-mail me privately and I will send you the
> information.
>
> Norman E.
>
> TheGonch at MediaKat wrote:
> >
> > Since we've been in a long bull market, with pullbacks of short duration,
> > these numbers mean nothing by themselves. Anyone have the statistics for an
> > average week during the same periods?
> >
> > DanG
> >
> > "Norman E. Phair" wrote:
> >
> > > STOCKS; OPTION EXPIRATION WEEK.
> > >
> > > I read an article some time ago that stated option
> > > expiration week tends to have an upward bias.
> > > Tradehard made the following statement on June 17th:
> > >
> > > > Tomorrow is the quarterly expiration of options on stocks, stock indexes
> > > > and stock index futures. Stocks over the past five years have generally
> > > > moved higher in the week of the triple-witching options expiration.
> > > >
> > > > http://www.tradehard.com/index2.cfm
> > >
> > > the results for the last 5 years for All months and
> > > the last 12 years through this month are below.
> > >
> > > Last 5 years.
> > >
> > > Up 35 weeks or 56%
> > > Down 13 weeks or 21%
> > > Unch. 14 weeks or 23% ( Unchanged is a net change of
> > > less that .05%
> > >
> > > >From 1988 to date.
> > >
> > > Up 75 weeks or 54%
> > > Down 35 weeks or 26%
> > > Unch. 28 weeks or 20%
> > >
> > > The best 3 months: Jan, Apr and Dec.
> > > The worst 3 months: June, July and Aug.
> > >
> > > Triple witching only:
> > >
> > > Last 5 1/2 years
> > >
> > > Up 15 weeks or 68%
> > > Down 2 weeks or 9%
> > > Unch. 5 weeks or 23%
> > >
> > > >From 1988 to date:
> > >
> > > Up 25 weeks or 54%
> > > Down 10 weeks or 22%
> > > Unch. 11 weeks or 24%
> > >
> > > A week to watch in the future. There is an old saying:
> > > If you p--- into an east wind you will get wet. Why
> > > did I do the study. I got wet. Fair warning. Mark your
> > > calendar.
> > >
> > > Norman E.
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