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Re: STOCKS; OPTION EXPIRATION WEEK.



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The "Normal" log normality of the market assumes(For a year
period)56%
probability to the upside and 44% to the downside.  That,
however, is not the real issue.  The real question would be
is the move large enough to benefit from after all trading
friction(b/a spreads, transaction costs and market impact).

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.