Options Expiration Week

Below we highlight the performance of the S&P 500 during options expiration weeks since the start of 2006.  As the table below highlights, Mondays are typically the worst day of the week with an average decline of 0.03%.  The most volatile day of options expiration weeks is Tuesday, as the S&P 500 has had a 1% move (up or down) on 10 of the last 21 days.  The most positive day of options expiration weeks is Wednesday, with an average gain of 0.27% and gains 16 out of 21 times.

Comments

[Jordan]

Thanks for this info. Your daily performance calculation is based on previous day close to current day close?

[Paul Hickey]

Yes. The daily percent changes are based on the prior day's close to the current close.