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Monthly option expiration days: distribution of big up and big d

(2014-01-08 18:03:55) 下一个

During the past 20 years (since Feb. 1993), total 250 counts, there are 18 times SP up more than 1% on option expiration day, and 32 times SP down more than 1% on option expiration day. The following are some examples. The research is in progress in order to extract insights. (color code: green-big up, light green-mild up, orange-mild down, red-big down)

Date Open High Low Close Volume Adj Close Daily Diff % Weekly Diff%
1/21/11 128.88 129.17 128.23 128.37 151462900 121.22 0.22% -0.72% 5 1
2/18/11 134.37 134.69 134.06 134.53 130002400 127.04 0.21% 1.07% 5 2
3/18/11 128.84 128.88 127.51 127.76 230435400 121.17 0.36% -2.35% 5 3
4/15/11 131.8 132.37 131.41 132.04 170006700 125.23 0.36% -0.62% 5 4
5/20/11 134.33 134.68 133.36 133.61 182594900 126.72 -0.80% -0.32% 5 5
6/17/11 127.93 127.94 126.62 127.05 233284900 121.1 0.30% -0.43% 5 6
7/15/11 131.66 131.87 130.77 131.69 220012800 125.52 0.58% -2.02% 5 7
8/19/11 112.96 115.88 112.5 112.64 428281300 107.36 -1.63% -4.64% 5 8
9/16/11 121.29 121.97 120.32 121.52 284528300 116.42 0.59% 4.83% 5 9
10/21/11 123.09 124.12 122.72 123.97 278999400 118.77 1.90% 1.14% 5 10
11/18/11 122.5 122.75 121.47 121.98 215580400 116.87 -0.10% -3.69% 5 11
12/16/11 122.23 122.95 121.3 121.59 220481400 117.23 0.15% -3.54% 5 12
1/20/12 131.24 131.95 130.92 131.95 138230200 127.22 0.37% 2.41% 5 1
2/17/12 136.52 136.63 135.96 136.41 129869400 131.52 0.27% 1.53% 5 2
3/16/12 140.36 140.48 140 140.3 152893500 135.86 0.14% 1.98% 5 3
4/20/12 138.33 138.83 137.87 137.95 143199600 133.59 0.17% 0.59% 5 4
5/18/12 131.37 131.6 129.55 129.74 319615900 125.64 -0.85% -4.33% 5 5
6/15/12 133.38 134.26 133.1 134.14 169444500 130.57 1.02% 0.78% 5 6
7/20/12 136.95 137.16 136.32 136.47 142904500 132.84 -0.92% 0.53% 5 7
8/17/12 142.23 142.3 141.86 142.18 90813700 138.4 0.14% 0.95% 5 8
9/21/12 146.64 146.67 145.81 145.87 108737500 142.75 -0.04% -0.93% 5 9
10/19/12 145.55 145.56 143.05 143.39 185645200 140.32 -1.67% 0.35% 5 10
11/16/12 135.9 136.64 134.7 136.37 239483900 133.45 0.50% -1.30% 5 11
12/21/12 142.17 144.09 141.94 142.79 245883800 140.72 -0.91% 0.49% 5 12
1/18/13 147.97 148.49 147.43 148.33 169906000 146.18 0.22% 0.86% 5 1
2/15/13 152.43 152.59 151.55 152.11 215226500 149.91 -0.12% 0.20% 5 2
3/15/13 155.85 156.04 155.31 155.83 138601100 154.26 -0.13% 0.25% 5 3
4/19/13 154.5 155.55 154.12 155.48 149687600 153.91 0.87% -2.09% 5 4
5/17/13 165.95 167.04 165.73 166.94 129801000 165.26 0.97% 2.16% 5 5
6/21/13 159.64 159.76 157.47 159.07 271956800 158.3 0.32% -2.52% 5 6
7/19/13 168.52 169.23 168.31 169.17 103831700 168.35 0.18% 0.99% 5 7
8/16/13 166.06 166.63 165.5 165.83 130868200 165.03 -0.33% -2.06% 5 8
9/20/13 172.33 172.33 170.58 170.72 132867100 170.72 -0.70% 0.82% 5 9
10/18/13 173.86 174.51 173.51 174.39 138316000 174.39 0.68% 2.43% 5 10
11/15/13 179.56 180.12 179.33 180.05 102745200 180.05 0.44% 1.56% 5 11
               

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