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From Quantpedia: The option-expiration week is a week before...

  1. redbacka
    9,480 Posts.
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    18/01/23
    12:21
    Post #: 65750627

    From Quantpedia: The option-expiration week is a week before options expiration (Friday before each 3rd Saturday in each month). Large-cap stocks with actively traded options tend to have substantially higher average weekly returns during these weeks.

    A simple market timing strategy could be therefore constructed -> hold the largest stocks during the option-expiration weeks and stay in cash during the rest of the year.

    https://hotcopper.com.au/data/attachments/4978/4978036-f230be016f352bee6e6da2144a5baaa2.jpg
    But: Bearish Rising Wedge forming on SP500.

    We are in earnings season. GS down heavily last night - affected Dow Jones. Any more bearish surprises might negate the seasonal effect of Options Expiry Week.


    XJO Value at posting: 7,391.4
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    lightbulb Created with Sketch. 1  Great analysis
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