A look at historical returns during option expiration weeks shows that the week is opening off according to script. Since 2006, Mondays have typically been the worst day of the week, as it is the only one with an average return that is negative (-0.08%). On Tuesdays, things get a little more dicier. While it has the best overall average return (0.33%), it is also the most volatile. On Tuesdays of expiration weeks, the S&P 500 has had a 1% move (up or down) 45% of the time. Things typically start to settle down on Wednesday. While it does not have the highest average return (0.21%), it has been the most consistently positive, with gains 69% of the time.
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