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Expiration Study for June 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 June: 
Average % Changes For S&P 500 Cash 
Total Months Tested For Daily Stats: 29 
Study Expiration Date Range  :  6/15/1984 - 6/15/2012 
Overall Expiration Date Range:  1/20/1984 - 5/17/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 

    --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.14379    0.14719    0.16748       16       12       28 
Monday           -0.14643   -0.14104    0.02783       16       13       29 
Tuesday           0.21724    0.22109    0.11639       18       11       29 

Wednesday        -0.12755   -0.12359   -0.03942       12       17       29 
Thursday         -0.04258   -0.03873    0.12117       18       11       29 
Exp. Friday       0.05348    0.05675    0.26235       20        9       29 
PrevFri-Mon       0.00782    0.01480   -0.00917       14       15       29 
Day AfterExp     -0.25252   -0.24694   -0.07067       13       16       29 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
    --------------   --------   --------   --------   ------   ------   ------ 
Study Exp Week   -0.04629   -0.02918    0.14868       16       13       29 
All Exp Week      0.29453    0.32327    0.55624      211      142      353 
NonExpire         0.10726    0.13400    0.24105      657      521     1178 
All Weeks         0.15040    0.17764    0.30701      868      663     1531 
---------------------------------------------------------------------- 
"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 
"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 June 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 June: 
Average % Changes For NASDAQ Composite 
Total Months Tested For Daily Stats: 29 
Study Expiration Date Range  :  6/15/1984 - 6/15/2012 
Overall Expiration Date Range:  1/20/1984 - 5/17/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
    --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.08476    0.08974    0.33981       16       12       28 
Monday           -0.34663   -0.33812   -0.15149       11       18       29 
Tuesday           0.22598    0.23178    0.13354       17       12       29 
Wednesday        -0.16520   -0.15668    0.00217       15       14       29 
Thursday         -0.10053   -0.09358   -0.04452       13       16       29 
Exp. Friday       0.02488    0.02788    0.04595       18       11       29 
PrevFri-Mon      -0.24911   -0.23447    0.15683       15       14       29 
Day AfterExp     -0.18525   -0.17537   -0.12326       11       18       29 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
    --------------   --------   --------   --------   ------   ------   ------ 
Study Exp Week   -0.36189   -0.33062   -0.36853       13       16       29 
All Exp Week      0.14377    0.18648    0.28894      195      158      353 
NonExpire         0.16942    0.21656    0.32350      671      507     1178 
All Weeks         0.16351    0.20963    0.32003      866      665     1531 
---------------------------------------------------------------------- 
"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 
"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 June 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: 347 
Study Expiration Date Range  :  1/20/1984 - 5/17/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.03640    0.04293    0.18140      192      145      337 
Monday            0.12810    0.13513    0.11338      202      126      328 
Tuesday           0.14564    0.15124    0.11287      188      159      347 
Wednesday        -0.02073   -0.01425    0.05873      189      158      347 
Thursday          0.03243    0.03925    0.08843      199      148      347 
Exp. Friday      -0.01656   -0.01094    0.09289      196      151      347 
PrevFri-Mon       0.18498    0.19852    0.28751      193      135      328 
Day AfterExp     -0.17274   -0.15805   -0.09942      149      198      347 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
All Exp Week      0.29453    0.32327    0.55624      211      142      353 
NonExpire         0.10726    0.13400    0.24105      657      521     1178 
All Weeks         0.15040    0.17764    0.30701      868      663     1531 
---------------------------------------------------------------------- 
"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: 347 
Study Expiration Date Range  :  1/20/1984 - 5/17/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.08786    0.09694    0.23345      203      134      337 
Monday           -0.00186    0.00810    0.01782      171      157      328 
Tuesday           0.12453    0.13304    0.10548      187      160      347 
Wednesday         0.00890    0.01947    0.12201      201      146      347 
Thursday          0.07718    0.08685    0.10714      193      154      347 
Exp. Friday      -0.10644   -0.09997    0.02564      182      165      347 
PrevFri-Mon       0.11257    0.13552    0.29147      196      132      328 
Day AfterExp     -0.24516   -0.23126   -0.22114      141      206      347 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
All Exp Week      0.14377    0.18648    0.28894      195      158      353 
NonExpire         0.16942    0.21656    0.32350      671      507     1178 
All Weeks         0.16351    0.20963    0.32003      866      665     1531 
---------------------------------------------------------------------- 
"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: 250 
Expiration Dates:  5/15/7/1992 - 5/17/7/2013 
Day        H       Geo   Geo Day       Ari   Ari Day  Num Up   Num Dn  Total 
  ---------  -  --------  --------  --------  --------  ------  ------  ------ 
Friday     1: -0.07989  -0.07989  -0.07771  -0.07771     120     122     242 
Friday     2:  0.01527  -0.06461   0.01616  -0.06155     134     108     242 
Friday     3: -0.02871  -0.09332  -0.02808  -0.08963     128     114     242 
Friday     4:  0.01666  -0.07666   0.01709  -0.07254     127     115     242 
Friday     5:  0.00132  -0.07535   0.00172  -0.07081     129     113     242 
Friday     6:  0.03843  -0.03691   0.03911  -0.03171     136     106     242 
Friday     7:  0.07974   0.04282   0.08125   0.04955     164      77     241 
Monday     1: -0.04260  -0.04260  -0.04011  -0.04011     117     119     236 
Monday     2:  0.06340   0.02081   0.06413   0.02403     141      95     236 
Monday     3:  0.01642   0.03722   0.01687   0.04090     125     111     236 
Monday     4:  0.00583   0.04306   0.00609   0.04699     120     116     236 
Monday     5: -0.00031   0.04274  -0.00003   0.04696     124     112     236 
Monday     6:  0.00038   0.04312   0.00078   0.04774     117     119     236 
Monday     7:  0.04361   0.08673   0.04490   0.09264     128     108     236 
Tuesday    1:  0.06054   0.06054   0.06260   0.06260     140     110     250 
Tuesday    2:  0.01798   0.07852   0.01857   0.08117     127     123     250 
Tuesday    3:  0.01667   0.09519   0.01703   0.09820     137     113     250 
Tuesday    4: -0.02630   0.06889  -0.02595   0.07225     127     123     250 
Tuesday    5: -0.00896   0.05992  -0.00866   0.06359     122     128     250 
Tuesday    6:  0.04951   0.10943   0.05035   0.11394     133     117     250 
Tuesday    7:  0.06749   0.17692   0.06868   0.18263     142     108     250 
Wednesday  1: -0.03652  -0.03652  -0.03468  -0.03468     128     122     250 
Wednesday  2: -0.02720  -0.06373  -0.02624  -0.06092     122     128     250 
Wednesday  3:  0.01222  -0.05151   0.01274  -0.04819     133     117     250 
Wednesday  4:  0.01176  -0.03975   0.01206  -0.03612     137     113     250 
Wednesday  5:  0.00162  -0.03813   0.00216  -0.03397     135     115     250 
Wednesday  6:  0.01028  -0.02785   0.01102  -0.02295     120     130     250 
Wednesday  7: -0.03411  -0.06196  -0.03274  -0.05569     128     122     250 
Thursday   1:  0.01907   0.01907   0.02091   0.02091     126     124     250 
Thursday   2: -0.04460  -0.02553  -0.04348  -0.02258     118     132     250 
Thursday   3:  0.01245  -0.01308   0.01287  -0.00970     139     111     250 
Thursday   4: -0.00086  -0.01394  -0.00036  -0.01006     135     115     250 
Thursday   5:  0.03689   0.02294   0.03752   0.02746     138     112     250 
Thursday   6: -0.01250   0.01044  -0.01198   0.01548     137     113     250 
Thursday   7:  0.04050   0.05094   0.04202   0.05750     141     109     250 
ExpFriday  1: -0.03523  -0.03523  -0.03318  -0.03318     121     129     250 
ExpFriday  2: -0.01369  -0.04893  -0.01305  -0.04624     121     129     250 
ExpFriday  3: -0.06268  -0.11160  -0.06212  -0.10836     107     143     250 
ExpFriday  4:  0.02663  -0.08497   0.02702  -0.08134     123     127     250 
ExpFriday  5: -0.00320  -0.08817  -0.00284  -0.08418     142     108     250 
ExpFriday  6: -0.01077  -0.09894  -0.01036  -0.09454     124     126     250 
ExpFriday  7:  0.04567  -0.05327   0.04711  -0.04743     133     117     250 



Average Hourly % Changes For S&P 500 Perpetual Futures Data 
From The Friday Prior Through Expiration Friday 
Total Months Tested: 293 
Expiration Dates:  9/16/7/1988 - 5/17/7/2013 
Day        H       Geo   Geo Day       Ari   Ari Day  Num Up   Num Dn  Total 
  ---------  -  --------  --------  --------  --------  ------  ------  ------ 
Friday     1: -0.04042  -0.04042  -0.03812  -0.03812     136     148     284 
Friday     2: -0.01018  -0.05060  -0.00938  -0.04750     144     140     284 
Friday     3: -0.03315  -0.08375  -0.03249  -0.07999     146     138     284 
Friday     4:  0.01924  -0.06451   0.01971  -0.06027     149     135     284 
Friday     5:  0.00070  -0.06381   0.00115  -0.05913     155     129     284 
Friday     6:  0.02362  -0.04019   0.02431  -0.03482     158     126     284 
Friday     7:  0.04667   0.00648   0.04917   0.01435     180     103     283 
Monday     1: -0.02267  -0.02267  -0.01953  -0.01953     149     129     278 
Monday     2:  0.07450   0.05184   0.07536   0.05582     160     118     278 
Monday     3:  0.02493   0.07676   0.02542   0.08124     151     127     278 
Monday     4:  0.02635   0.10311   0.02664   0.10789     142     136     278 
Monday     5:  0.00018   0.10329   0.00043   0.10832     146     132     278 
Monday     6:  0.00283   0.10612   0.00322   0.11154     139     139     278 
Monday     7:  0.05573   0.16185   0.05719   0.16873     157     121     278 
Tuesday    1:  0.02963   0.02963   0.03131   0.03131     153     140     293 
Tuesday    2:  0.01642   0.04605   0.01706   0.04837     154     139     293 
Tuesday    3:  0.01790   0.06395   0.01824   0.06661     161     132     293 
Tuesday    4: -0.01760   0.04635  -0.01718   0.04943     148     145     293 
Tuesday    5: -0.00287   0.04348  -0.00259   0.04685     147     146     293 
Tuesday    6:  0.05061   0.09409   0.05142   0.09827     164     129     293 
Tuesday    7:  0.07523   0.16931   0.07661   0.17488     162     131     293 
Wednesday  1: -0.05738  -0.05738  -0.05571  -0.05571     150     143     293 
Wednesday  2: -0.00601  -0.06338  -0.00507  -0.06078     143     150     293 
Wednesday  3:  0.00404  -0.05935   0.00452  -0.05626     156     137     293 
Wednesday  4:  0.01497  -0.04437   0.01524  -0.04101     158     135     293 
Wednesday  5:  0.00011  -0.04427   0.00058  -0.04044     161     132     293 
Wednesday  6:  0.01430  -0.02997   0.01488  -0.02555     142     151     293 
Wednesday  7: -0.04017  -0.07013  -0.03877  -0.06432     143     150     293 
Thursday   1:  0.03361   0.03361   0.03554   0.03554     151     142     293 
Thursday   2: -0.03292   0.00070  -0.03193   0.00361     152     141     293 
Thursday   3:  0.00035   0.00105   0.00075   0.00436     144     149     293 
Thursday   4:  0.00330   0.00435   0.00375   0.00811     160     133     293 
Thursday   5:  0.03710   0.04145   0.03772   0.04583     162     131     293 
Thursday   6: -0.00480   0.03665  -0.00431   0.04151     157     136     293 
Thursday   7:  0.00797   0.04462   0.00959   0.05111     158     135     293 
ExpFriday  1: -0.01571  -0.01571  -0.01384  -0.01384     159     134     293 
ExpFriday  2: -0.02636  -0.04207  -0.02572  -0.03956     141     152     293 
ExpFriday  3: -0.04053  -0.08259  -0.03999  -0.07955     141     152     293 
ExpFriday  4:  0.01331  -0.06929   0.01366  -0.06589     152     141     293 
ExpFriday  5: -0.01295  -0.08224  -0.01261  -0.07849     157     136     293 
ExpFriday  6:  0.00142  -0.08082   0.00180  -0.07669     159     134     293 
ExpFriday  7:  0.01605  -0.06477   0.01739  -0.05930     163     130     293 



S&P 500 Cash Expiration Prior Week Test 
Total Months Tested: 353 
Period covered: 1/20/1984 - 5/17/2013 
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%        44       28       16     3.813     0.411 
>= +2.00%        53       33       20     3.525     0.309 
>= +1.75%        62       34       28     3.289     0.199 
>= +1.50%        75       42       33     3.000     0.270 
>= +1.25%        92       50       42     2.700     0.180 
>= +1.00%       111       63       48     2.436     0.270 
>= +0.75%       134       81       53     2.164     0.337 
>= +0.50%       152       92       60     1.981     0.304 
>= +0.25%       175      106       69     1.766     0.261 
>= +0.00%       196      118       78     1.590     0.288 
------------------------------------------------------------ 
"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: 353 
Period covered: 1/20/1984 - 5/17/2013 
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%        45       26       19     4.980     0.253 
>= +2.50%        55       33       22     4.552     0.382 
>= +2.25%        67       40       27     4.162     0.431 
>= +2.00%        77       46       31     3.898     0.437 
>= +1.75%        93       58       35     3.546     0.477 
>= +1.50%       112       66       46     3.217     0.406 
>= +1.25%       130       79       51     2.957     0.433 
>= +1.00%       142       85       57     2.801     0.406 
>= +0.75%       153       91       62     2.662     0.367 
>= +0.50%       168      100       68     2.479     0.301 
>= +0.25%       183      108       75     2.309     0.217 
>= +0.00%       198      119       79     2.141     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". 



S&P 500 Expiration Prior Week Range Test 
Total Months Tested: 353
Period covered: 1/20/1984 - 5/17/2013 
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        19       13        6     1.159     0.709 
+ 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         6        2        4     2.364    -0.129 
+ 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". 



Expiration Study for Triple-Expiration Months: 
Average % Changes For S&P 500 Cash 
Total Months Tested For Daily Stats: 116 
Study Expiration Date Range  :  3/16/1984 - 3/15/2013 
Overall Expiration Date Range:  1/20/1984 - 5/17/2013 
DAILY STATS 
Day (Period)      Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
PreviousFriday    0.12724    0.13134    0.21238       69       45      114 
Monday           -0.00920   -0.00200    0.07891       69       47      116 
Tuesday           0.23000    0.23575    0.11286       63       53      116 
Wednesday        -0.06686   -0.06229   -0.01074       57       59      116 
Thursday          0.06860    0.07454    0.14358       69       47      116 
Exp. Friday       0.12022    0.12467    0.15284       73       43      116 
PrevFri-Mon       0.12511    0.13629    0.35074       70       46      116 
Day AfterExp     -0.09173   -0.08356   -0.14872       48       68      116 
WEEKLY STATS 
Period            Geo Avg    Ari Avg     Median   Num Up   Num Dn    Total 
 --------------   --------   --------   --------   ------   ------   ------ 
Study Exp Week    0.36715    0.39454    0.63127       76       41      117 
All Exp Week      0.29453    0.32327    0.55624      211      142      353 
NonExpire         0.10726    0.13400    0.24105      657      521     1178 
All Weeks         0.15040    0.17764    0.30701      868      663     1531 
---------------------------------------------------------------------- 
"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 
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. 
"Study Exp Week" uses all triple-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
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