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    PEAK MORNING WRAP 28 September: Tech Event… Who is the standout? | US Stocks Rally

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Expiration Study for April 2013

MrTopStep by MrTopStep
Friday, August 9, 2013
in S&P 500
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Expiration Study for January 2013
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S&P 500 Cash | NASDAQ Composite

Expiration Study for April: 
Average % Changes For S&P 500 Cash 
Total Months Tested For Daily Stats: 24 
Study Expiration Date Range  :  4/19/1985 - 4/20/2012 
Overall Expiration Date Range:  1/20/1984 - 3/15/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday   -0.10509   -0.09837    0.25969        9        7       16 
Monday            0.22155    0.22297    0.19217       16        8       24 
Tuesday           0.36844    0.37347    0.29782       17        7       24 
Wednesday         0.32431    0.33092    0.07151       14       10       24 
Thursday         -0.25886   -0.25346   -0.08908       11       13       24 
Exp. Friday       0.06961    0.07311    0.11868       15        9       24 
PrevFri-Mon       0.44094    0.44969    0.56963       15        9       24 
Day AfterExp     -0.57499   -0.56901   -0.26945        7       17       24 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
Study Exp Week    0.94263    0.96915    1.08493       19       10       29 
All Exp Week      0.29647    0.32525    0.55624      210      141      351 
NonExpire         0.10216    0.12900    0.23843      652      519     1171 
All Weeks         0.14694    0.17426    0.30211      862      660     1522 
---------------------------------------------------------------------- 
"Previous Friday" uses all Friday dates prior to expiration week 
"Monday" - "Thursday" uses the specified days during expiration week 
"Exp Friday" uses all Friday expiration days only 
4/19/1984 eliminated in daily calculations due to expiration day not on Friday 
4/16/1987 eliminated in daily calculations due to expiration day not on Friday 
4/16/1992 eliminated in daily calculations due to expiration day not on Friday 
4/20/2000 eliminated in daily calculations due to expiration day not on Friday 
4/17/2003 eliminated in daily calculations due to expiration day not on Friday 
"Prev Fri-Mon" uses the combined % change for the Monday of expiration 
          week and the last trading day in the previous week. 
Weekly stats use the complete expiration week regardless of the number 
          of days in the week or what day of the week is expiration day. 
"Study Exp Week" uses all April expiration weeks in the date range 
"All Exp Week" uses all expiration weeks in the overall date range 
"NonExpire" uses all non-expiration weeks in the overall date range 
"All Weeks" uses all weeks in the overall date range 

Expiration Study for April: 
Average % Changes For NASDAQ Composite 
Total Months Tested For Daily Stats: 24 
Study Expiration Date Range  :  4/19/1985 - 4/20/2012 
Overall Expiration Date Range:  1/20/1984 - 3/15/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday   -0.12524   -0.11809    0.40384       10        6       16 
Monday           -0.00150    0.00125    0.06799       14       10       24 
Tuesday           0.29819    0.30499    0.27940       15        9       24 
Wednesday         0.31936    0.33857    0.01207       13       11       24 
Thursday          0.07149    0.08089   -0.14997        8       16       24 
Exp. Friday      -0.16879   -0.16469   -0.13576       11       13       24 
PrevFri-Mon       0.29692    0.30702    0.68255       17        7       24 
Day AfterExp     -0.84753   -0.83216   -0.37735        8       16       24 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
Study Exp Week    0.88730    0.94414    0.77682       18       11       29 
All Exp Week      0.14726    0.19006    0.28894      194      157      351 
NonExpire         0.16330    0.21061    0.32003      666      505     1171 
All Weeks         0.15960    0.20587    0.31639      860      662     1522 
---------------------------------------------------------------------- 
"Previous Friday" uses all Friday dates prior to expiration week 
"Monday" - "Thursday" uses the specified days during expiration week 
"Exp Friday" uses all Friday expiration days only 
4/19/1984 eliminated in daily calculations due to expiration day not on Friday 
4/16/1987 eliminated in daily calculations due to expiration day not on Friday 
4/16/1992 eliminated in daily calculations due to expiration day not on Friday 
4/20/2000 eliminated in daily calculations due to expiration day not on Friday 
4/17/2003 eliminated in daily calculations due to expiration day not on Friday 
"Prev Fri-Mon" uses the combined % change for the Monday of expiration 
          week and the last trading day in the previous week. 
Weekly stats use the complete expiration week regardless of the number 
          of days in the week or what day of the week is expiration day. 
"Study Exp Week" uses all April expiration weeks in the date range 
"All Exp Week" uses all expiration weeks in the overall date range 
"NonExpire" uses all non-expiration weeks in the overall date range 
"All Weeks" uses all weeks in the overall date range 


Expiration Study for All Months: 
Average % Changes For S&P 500 Cash 
Total Months Tested For Daily Stats: 345 
Study Expiration Date Range  :  1/20/1984 - 3/15/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.03618    0.04275    0.18140      191      144      335 
Monday            0.13601    0.14299    0.11593      201      125      326 
Tuesday           0.13943    0.14503    0.10933      186      159      345 
Wednesday        -0.01814   -0.01166    0.05873      188      157      345 
Thursday          0.03603    0.04287    0.09026      199      146      345 
Exp. Friday      -0.02217   -0.01655    0.08738      194      151      345 
PrevFri-Mon       0.19279    0.20629    0.28751      192      134      326 
Day AfterExp     -0.17488   -0.16012   -0.10459      148      197      345 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
All Exp Week      0.29647    0.32525    0.55624      210      141      351 
NonExpire         0.10216    0.12900    0.23843      652      519     1171 
All Weeks         0.14694    0.17426    0.30211      862      660     1522 
---------------------------------------------------------------------- 
"Previous Friday" uses all Friday dates prior to expiration week 
"Monday" - "Thursday" uses the specified days during expiration week 
"Exp Friday" uses all Friday expiration days only 
4/19/1984 eliminated in daily calculations due to expiration day not on Friday 
4/16/1987 eliminated in daily calculations due to expiration day not on Friday 
4/16/1992 eliminated in daily calculations due to expiration day not on Friday 
4/20/2000 eliminated in daily calculations due to expiration day not on Friday 
4/17/2003 eliminated in daily calculations due to expiration day not on Friday 
3/20/2008 eliminated in daily calculations due to expiration day not on Friday 
"Prev Fri-Mon" uses the combined % change for the Monday of expiration 
          week and the last trading day in the previous week. 
Weekly stats use the complete expiration week regardless of the number 
          of days in the week or what day of the week is expiration day. 
"All Exp Week" uses all expiration weeks in the overall date range 
"NonExpire" uses all non-expiration weeks in the overall date range 
"All Weeks" uses all weeks in the overall date range 


Expiration Study for All Months: 
Average % Changes For NASDAQ Composite 
Total Months Tested For Daily Stats: 345 
Study Expiration Date Range  :  1/20/1984 - 3/15/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.08647    0.09559    0.23345      202      133      335 
Monday            0.00533    0.01526    0.01782      170      156      326 
Tuesday           0.11893    0.12747    0.09082      185      160      345 
Wednesday         0.01357    0.02415    0.12201      200      145      345 
Thursday          0.08165    0.09135    0.12370      193      152      345 
Exp. Friday      -0.11347   -0.10701    0.02564      180      165      345 
PrevFri-Mon       0.11849    0.14146    0.29147      195      131      326 
Day AfterExp     -0.24883   -0.23487   -0.22886      140      205      345 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
All Exp Week      0.14726    0.19006    0.28894      194      157      351 
NonExpire         0.16330    0.21061    0.32003      666      505     1171 
All Weeks         0.15960    0.20587    0.31639      860      662     1522 
---------------------------------------------------------------------- 
"Previous Friday" uses all Friday dates prior to expiration week 
"Monday" - "Thursday" uses the specified days during expiration week 
"Exp Friday" uses all Friday expiration days only 
4/19/1984 eliminated in daily calculations due to expiration day not on Friday 
4/16/1987 eliminated in daily calculations due to expiration day not on Friday 
4/16/1992 eliminated in daily calculations due to expiration day not on Friday 
4/20/2000 eliminated in daily calculations due to expiration day not on Friday 
4/17/2003 eliminated in daily calculations due to expiration day not on Friday 
3/20/2008 eliminated in daily calculations due to expiration day not on Friday 
"Prev Fri-Mon" uses the combined % change for the Monday of expiration 
          week and the last trading day in the previous week. 
Weekly stats use the complete expiration week regardless of the number 
          of days in the week or what day of the week is expiration day. 
"All Exp Week" uses all expiration weeks in the overall date range 
"NonExpire" uses all non-expiration weeks in the overall date range 
"All Weeks" uses all weeks in the overall date range 


Average Hourly % Changes For S&P 500 Cash Data 
From The Friday Prior Through Expiration Friday 
Total Months Tested: 248 
Expiration Dates:  5/15/7/1992 - 3/15/7/2013 
Day        H       Geo   Geo Day       Ari   Ari Day  Num Up   Num Dn  Total 
  ---------  -  --------  --------  --------  --------  ------  ------  ------ 
Friday     1: -0.08003  -0.08003  -0.07784  -0.07784     119     121     240 
Friday     2:  0.01762  -0.06241   0.01851  -0.05933     134     106     240 
Friday     3: -0.02911  -0.09152  -0.02848  -0.08781     127     113     240 
Friday     4:  0.01614  -0.07538   0.01657  -0.07123     125     115     240 
Friday     5:  0.00109  -0.07429   0.00151  -0.06973     128     112     240 
Friday     6:  0.03854  -0.03575   0.03922  -0.03051     135     105     240 
Friday     7:  0.07831   0.04256   0.07983   0.04933     162      77     239 
Monday     1: -0.03903  -0.03903  -0.03653  -0.03653     117     117     234 
Monday     2:  0.06305   0.02401   0.06379   0.02725     140      94     234 
Monday     3:  0.01782   0.04184   0.01828   0.04553     124     110     234 
Monday     4:  0.00753   0.04937   0.00779   0.05332     120     114     234 
Monday     5:  0.00039   0.04976   0.00068   0.05400     124     110     234 
Monday     6:  0.00117   0.05093   0.00157   0.05557     116     118     234 
Monday     7:  0.04645   0.09738   0.04775   0.10332     128     106     234 
Tuesday    1:  0.05619   0.05619   0.05825   0.05825     138     110     248 
Tuesday    2:  0.01706   0.07324   0.01765   0.07590     126     122     248 
Tuesday    3:  0.01489   0.08813   0.01525   0.09115     135     113     248 
Tuesday    4: -0.02713   0.06100  -0.02678   0.06436     126     122     248 
Tuesday    5: -0.00851   0.05249  -0.00820   0.05617     122     126     248 
Tuesday    6:  0.05097   0.10347   0.05182   0.10799     133     115     248 
Tuesday    7:  0.06508   0.16855   0.06628   0.17427     140     108     248 
Wednesday  1: -0.03267  -0.03267  -0.03083  -0.03083     128     120     248 
Wednesday  2: -0.02494  -0.05761  -0.02398  -0.05481     121     127     248 
Wednesday  3:  0.01041  -0.04720   0.01093  -0.04388     131     117     248 
Wednesday  4:  0.01160  -0.03561   0.01190  -0.03198     136     112     248 
Wednesday  5:  0.00200  -0.03361   0.00254  -0.02944     134     114     248 
Wednesday  6:  0.01097  -0.02264   0.01172  -0.01772     120     128     248 
Wednesday  7: -0.03606  -0.05870  -0.03469  -0.05241     126     122     248 
Thursday   1:  0.02056   0.02056   0.02241   0.02241     125     123     248 
Thursday   2: -0.04554  -0.02497  -0.04442  -0.02200     117     131     248 
Thursday   3:  0.01348  -0.01150   0.01390  -0.00810     138     110     248 
Thursday   4: -0.00109  -0.01259  -0.00058  -0.00868     134     114     248 
Thursday   5:  0.03800   0.02541   0.03863   0.02995     138     110     248 
Thursday   6: -0.01019   0.01521  -0.00967   0.02028     137     111     248 
Thursday   7:  0.04088   0.05609   0.04240   0.06268     140     108     248 
ExpFriday  1: -0.03845  -0.03845  -0.03639  -0.03639     119     129     248 
ExpFriday  2: -0.01450  -0.05295  -0.01386  -0.05025     120     128     248 
ExpFriday  3: -0.06459  -0.11754  -0.06403  -0.11428     105     143     248 
ExpFriday  4:  0.02777  -0.08977   0.02816  -0.08613     123     125     248 
ExpFriday  5: -0.00365  -0.09342  -0.00328  -0.08941     140     108     248 
ExpFriday  6: -0.01236  -0.10578  -0.01195  -0.10136     122     126     248 
ExpFriday  7:  0.04472  -0.06106   0.04618  -0.05518     131     117     248 



Average Hourly % Changes For S&P 500 Perpetual Futures Data 
From The Friday Prior Through Expiration Friday 
Total Months Tested: 291 
Expiration Dates:  9/16/7/1988 - 3/15/7/2013 
Day        H       Geo   Geo Day       Ari   Ari Day  Num Up   Num Dn  Total 
  ---------  -  --------  --------  --------  --------  ------  ------  ------ 
Friday     1: -0.04019  -0.04019  -0.03788  -0.03788     135     147     282 
Friday     2: -0.00832  -0.04851  -0.00752  -0.04540     144     138     282 
Friday     3: -0.03350  -0.08201  -0.03283  -0.07822     145     137     282 
Friday     4:  0.01875  -0.06326   0.01922  -0.05900     147     135     282 
Friday     5:  0.00049  -0.06277   0.00094  -0.05806     154     128     282 
Friday     6:  0.02373  -0.03903   0.02442  -0.03363     157     125     282 
Friday     7:  0.04582   0.00678   0.04834   0.01470     178     103     281 
Monday     1: -0.01992  -0.01992  -0.01677  -0.01677     149     127     276 
Monday     2:  0.07416   0.05424   0.07502   0.05825     159     117     276 
Monday     3:  0.02607   0.08031   0.02656   0.08481     150     126     276 
Monday     4:  0.02799   0.10830   0.02828   0.11309     142     134     276 
Monday     5:  0.00082   0.10912   0.00108   0.11417     146     130     276 
Monday     6:  0.00354   0.11265   0.00393   0.11810     138     138     276 
Monday     7:  0.05919   0.17185   0.06064   0.17874     157     119     276 
Tuesday    1:  0.02483   0.02483   0.02650   0.02650     151     140     291 
Tuesday    2:  0.01559   0.04042   0.01623   0.04274     153     138     291 
Tuesday    3:  0.01632   0.05673   0.01665   0.05939     159     132     291 
Tuesday    4: -0.01827   0.03846  -0.01785   0.04154     147     144     291 
Tuesday    5: -0.00238   0.03608  -0.00209   0.03945     147     144     291 
Tuesday    6:  0.05192   0.08800   0.05273   0.09218     164     127     291 
Tuesday    7:  0.07331   0.16131   0.07470   0.16688     160     131     291 
Wednesday  1: -0.05449  -0.05449  -0.05282  -0.05282     150     141     291 
Wednesday  2: -0.00378  -0.05827  -0.00284  -0.05567     142     149     291 
Wednesday  3:  0.00236  -0.05591   0.00284  -0.05283     154     137     291 
Wednesday  4:  0.01480  -0.04111   0.01507  -0.03776     157     134     291 
Wednesday  5:  0.00038  -0.04073   0.00085  -0.03690     160     131     291 
Wednesday  6:  0.01503  -0.02570   0.01562  -0.02128     142     149     291 
Wednesday  7: -0.04121  -0.06691  -0.03980  -0.06109     141     150     291 
Thursday   1:  0.03453   0.03453   0.03647   0.03647     150     141     291 
Thursday   2: -0.03389   0.00064  -0.03290   0.00357     151     140     291 
Thursday   3:  0.00120   0.00184   0.00159   0.00516     143     148     291 
Thursday   4:  0.00311   0.00495   0.00356   0.00872     159     132     291 
Thursday   5:  0.03800   0.04295   0.03862   0.04734     162     129     291 
Thursday   6: -0.00277   0.04018  -0.00228   0.04507     157     134     291 
Thursday   7:  0.00840   0.04858   0.01003   0.05510     157     134     291 
ExpFriday  1: -0.01852  -0.01852  -0.01664  -0.01664     157     134     291 
ExpFriday  2: -0.02725  -0.04577  -0.02662  -0.04326     140     151     291 
ExpFriday  3: -0.04209  -0.08787  -0.04155  -0.08481     139     152     291 
ExpFriday  4:  0.01436  -0.07351   0.01471  -0.07010     152     139     291 
ExpFriday  5: -0.01350  -0.08701  -0.01315  -0.08325     155     136     291 
ExpFriday  6:  0.00018  -0.08683   0.00056  -0.08269     157     134     291 
ExpFriday  7:  0.01568  -0.07116   0.01703  -0.06566     161     130     291 



S&P 500 Cash Expiration Prior Week Test 
Total Months Tested: 351 
Period covered: 1/20/1984 - 3/15/2013 
Down Weeks Prior To Expiration Week 
Prior       Prior   Expire   Expire   Average   Average 
Week Limit    Count       Up     Down     Prior    Expire 
  ----------    -----   ------   ------   -------   ------- 
<= -3.00%        23       11       12    -5.297    -0.584 
<= -2.75%        27       12       15    -4.935    -0.482 
<= -2.50%        35       15       20    -4.410    -0.316 
<= -2.25%        46       23       23    -3.925    -0.138 
<= -2.00%        50       26       24    -3.785    -0.154 
<= -1.75%        62       34       28    -3.417     0.232 
<= -1.50%        73       41       32    -3.152     0.344 
<= -1.25%        88       50       38    -2.853     0.394 
<= -1.00%        99       59       40    -2.659     0.426 
<= -0.75%       113       66       47    -2.438     0.402 
<= -0.50%       126       77       49    -2.251     0.455 
<= -0.25%       144       87       57    -2.012     0.433 
<= -0.00%       157       93       64    -1.856     0.368  
Up Weeks Prior To Expiration Week  
Prior       Prior   Expire   Expire   Average   Average  
Week Limit    Count       Up     Down     Prior    Expire    
----------    -----   ------   ------   -------   -------  
>= +3.00%        29       19       10     4.460     0.380 
>= +2.75%        32       22       10     4.308     0.409 
>= +2.50%        38       26       12     4.041     0.497 
>= +2.25%        43       28       15     3.848     0.470 
>= +2.00%        52       33       19     3.549     0.356 
>= +1.75%        61       34       27     3.306     0.236 
>= +1.50%        74       42       32     3.010     0.303 
>= +1.25%        91       50       41     2.704     0.205 
>= +1.00%       109       62       47     2.449     0.276 
>= +0.75%       132       80       52     2.170     0.342 
>= +0.50%       150       91       59     1.984     0.308 
>= +0.25%       173      105       68     1.767     0.264 
>= +0.00%       194      117       77     1.588     0.291 
------------------------------------------------------------ 
"Prior Week Limit" : range of % changes of the prior week. 
"Prior Count" : # of months that met the criteria under "Prior Week Limit". 
"Average Expire" : avg % change for exp. week for all months of "Prior Count". 



NASDAQ Composite Expiration Prior Week Test 
Total Months Tested: 351 
Period covered: 1/20/1984 - 3/15/2013 
Down Weeks Prior To Expiration Week 
Prior       Prior   Expire   Expire   Average   Average 
Week Limit    Count       Up     Down     Prior    Expire 
  ----------    -----   ------   ------   -------   ------- 
<= -3.00%        40       17       23    -5.668    -0.338 
<= -2.75%        42       17       25    -5.537    -0.526 
<= -2.50%        47       19       28    -5.226    -0.570 
<= -2.25%        54       22       32    -4.853    -0.438 
<= -2.00%        61       25       36    -4.540    -0.409 
<= -1.75%        69       28       41    -4.226    -0.368 
<= -1.50%        73       30       43    -4.081    -0.339 
<= -1.25%        85       35       50    -3.700    -0.213 
<= -1.00%        94       41       53    -3.455    -0.069 
<= -0.75%       106       48       58    -3.165    -0.078 
<= -0.50%       119       56       63    -2.890    -0.033 
<= -0.25%       134       64       70    -2.608     0.041 
<= -0.00%       156       77       79    -2.257     0.065  
Up Weeks Prior To Expiration Week  
Prior       Prior   Expire   Expire   Average   Average  
Week Limit    Count       Up     Down     Prior    Expire    
----------    -----   ------   ------   -------   -------  
>= +3.00%        41       24       17     5.188     0.296 
>= +2.75%        44       26       18     5.029     0.320 
>= +2.50%        54       33       21     4.584     0.439 
>= +2.25%        66       40       26     4.182     0.478 
>= +2.00%        76       46       30     3.912     0.478 
>= +1.75%        92       58       34     3.554     0.512 
>= +1.50%       110       65       45     3.234     0.422 
>= +1.25%       128       78       50     2.968     0.447 
>= +1.00%       140       84       56     2.809     0.418 
>= +0.75%       151       90       61     2.667     0.378 
>= +0.50%       166       99       67     2.482     0.310 
>= +0.25%       181      107       74     2.310     0.224 
>= +0.00%       196      118       78     2.140     0.299 
------------------------------------------------------------ 
"Prior Week Limit" : range of % changes of the prior week. 
"Prior Count" : # of months that met the criteria under "Prior Week Limit". 
"Average Expire" : avg % change for exp. week for all months of "Prior Count". 



S&P 500 Expiration Prior Week Range Test 
Total Months Tested: 351
Period covered: 1/20/1984 - 3/15/2013 
Down Weeks Prior To Expiration Week 
Prior             Prior   Expire   Expire   Average   Average 
Week Range         Count       Up     Down     Prior    Expire 
--------------------    -----   ------   ------   -------   ------- 
-10.50 < % <= -10.75        1        1        0   -10.538     5.748 
-7.75 < % <=  -8.00        1        1        0    -7.905     0.668 
-7.00 < % <=  -7.25        1        1        0    -7.013     4.059 
-6.75 < % <=  -7.00        1        0        1    -6.839    -7.991 
-6.00 < % <=  -6.25        1        0        1    -6.198    -8.389 
-5.00 < % <=  -5.25        1        0        1    -5.182    -9.120 
-4.75 < % <=  -5.00        2        1        1    -4.832    -1.611 
-4.50 < % <=  -4.75        1        1        0    -4.596     1.405 
-4.25 < % <=  -4.50        2        1        1    -4.352    -2.196 
-3.75 < % <=  -4.00        2        0        2    -3.790    -1.560 
-3.50 < % <=  -3.75        2        2        0    -3.694     2.248 
-3.25 < % <=  -3.50        1        0        1    -3.484    -0.229 
-3.00 < % <=  -3.25        6        2        4    -3.091     0.342 
-2.75 < % <=  -3.00        4        1        3    -2.851     0.106 
-2.50 < % <=  -2.75        8        3        5    -2.640     0.246 
-2.25 < % <=  -2.50       11        8        3    -2.383     0.427 
-2.00 < % <=  -2.25        4        3        1    -2.166    -0.333 
-1.75 < % <=  -2.00       12        8        4    -1.887     1.839 
-1.50 < % <=  -1.75       11        7        4    -1.660     0.977 
-1.25 < % <=  -1.50       15        9        6    -1.396     0.636 
-1.00 < % <=  -1.25       11        9        2    -1.110     0.680 
-0.75 < % <=  -1.00       14        7        7    -0.872     0.237 
-0.50 < % <=  -0.75       13       11        2    -0.624     0.913 
-0.25 < % <=  -0.50       18       10        8    -0.342     0.279 
-0.00 < % <=  -0.25       13        6        7    -0.121    -0.356 
Up Weeks Prior To Expiration Week 
Prior             Prior   Expire   Expire   Average   Average 
Week Range          Count       Up     Down     Prior    Expire 
--------------------     -----   ------   ------   -------   ------- 
+ 0.00 < % <= + 0.25        21       12        9     0.118     0.510 
+ 0.25 < % <= + 0.50        23       14        9     0.351    -0.022 
+ 0.50 < % <= + 0.75        18       11        7     0.618     0.058 
+ 0.75 < % <= + 1.00        23       18        5     0.849     0.659 
+ 1.00 < % <= + 1.25        18       12        6     1.157     0.634 
+ 1.25 < % <= + 1.50        17        8        9     1.374    -0.221 
+ 1.50 < % <= + 1.75        13        8        5     1.623     0.612 
+ 1.75 < % <= + 2.00         9        1        8     1.900    -0.453 
+ 2.00 < % <= + 2.25         9        5        4     2.120    -0.190 
+ 2.25 < % <= + 2.50         5        2        3     2.379     0.268 
+ 2.50 < % <= + 2.75         6        4        2     2.617     0.963 
+ 2.75 < % <= + 3.00         3        3        0     2.839     0.693 
+ 3.00 < % <= + 3.25         4        2        2     3.133     0.544 
+ 3.25 < % <= + 3.50         2        2        0     3.413     0.524 
+ 3.50 < % <= + 3.75         3        2        1     3.689    -0.036 
+ 3.75 < % <= + 4.00         2        2        0     3.818     0.942 
+ 4.00 < % <= + 4.25         6        2        4     4.122    -2.542 
+ 4.25 < % <= + 4.50         1        1        0     4.339     5.874 
+ 4.50 < % <= + 4.75         1        1        0     4.514     1.511 
+ 4.75 < % <= + 5.00         4        3        1     4.871     2.322 
+ 5.00 < % <= + 5.25         2        2        0     5.114     4.048 
+ 5.25 < % <= + 5.50         1        0        1     5.416    -1.213 
+ 5.75 < % <= + 6.00         2        1        1     5.937    -1.936 
+10.50 < % <= +10.75         1        1        0    10.707     1.585 
"Prior Week Range" : range of % changes of the prior week. 
"Prior Count" : # of months that met the criteria under "Prior Week Range". 
"Expire Up/Down" : # of months that exp. week closed 
          up/down out of the "Prior Count" months. 
"Average Prior/Expire" : avg % change for the week prior 
          and expiration week for all months of "Prior Count".
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