6 replies to this topic

[esther231]

I think Chief has mentioned in the past that the Monday after options tends to be down if options week was up. Anyone done any backtesting on it? Any difference when it's a quarterly close?

[hiker]

Darris may have some data on this...he has posted here before on the subject.

[Rogerdodger]

Just Google it! Those 2 Google guys aren't the fifth richest Americans for nothing!

Google Search Link

Between 1970 and 2006, there have been 444 options expiration days. We're ignoring the one in October of 1987 because as we all know on that Monday the market fell a whopping -20.47% and we don't want that to skew our results.

Of the 443 remaining days, 58.47% were followed by a down Monday with an average return of -0.15%. Randy was right - that's a pretty consistent observation.

But in performing our test, we also found this little nugget - there was a strong correlation between the return on the day of expiration (Friday) and the return on the day after (Monday). When Friday was down, Monday tended to also be down, and vice-versa.





Day-after Expiration when Expiration Day Up: Average Return:+0.04% Percent of Up days; 46.98%

So if we close up today, Monday may be up a bit.

Edited by Rogerdodger, 21 September 2007 - 01:57 PM.

[Drano]

Just Google it! Those 2 Google guys aren't the fifth richest Americans for nothing!

Google Search Link

Between 1970 and 2006, there have been 444 options expiration days. We're ignoring the one in October of 1987 because as we all know on that Monday the market fell a whopping -20.47% and we don't want that to skew our results.

Of the 443 remaining days, 58.47% were followed by a down Monday with an average return of -0.15%. Randy was right - that's a pretty consistent observation.

But in performing our test, we also found this little nugget - there was a strong correlation between the return on the day of expiration (Friday) and the return on the day after (Monday). When Friday was down, Monday tended to also be down, and vice-versa.





Day-after Expiration when Expiration Day Up: Average Return:+0.04% Percent of Up days; 46.98%

So if we close up today, Monday may be up a bit.

Unless it's like that one exception.

Edited by Drano, 21 September 2007 - 02:19 PM.

[esther231]

Duh. lol I didn't even think to google it. Great information and greatly appreciated. Thanks, Roger.

[n83]

[quote name='Rogerdodger' date='Sep 21 2007, 02:56 PM' post='316581']
Just Google it! Those 2 Google guys aren't the fifth richest Americans for nothing!

....

you may have just made them a little richer a little more dominant in searches by using them--DUH !

[Rogerdodger]

If you go to the main menu, you'll see Google.com is here all the time.
They read every post and place ads accordingly.
Those 2 guys must be really busy!
But too busy to find "Greek hookers".

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Edited by Rogerdodger, 22 September 2007 - 12:55 PM.