S&P 500 Cash | NASDAQ Composite
Expiration Study for March: Average % Changes For S&P 500 Cash Total Months Tested For Daily Stats: 28 Study Expiration Date Range : 3/16/1984 - 3/16/2012 Overall Expiration Date Range: 1/20/1984 - 2/15/2013 DAILY STATS Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ PreviousFriday -0.04912 -0.04429 0.02337 14 14 28 Monday 0.07709 0.08465 0.20132 19 9 28 Tuesday 0.15456 0.16027 0.04802 14 14 28 Wednesday 0.10274 0.10816 0.16758 15 13 28 Thursday 0.47588 0.48060 0.36585 21 7 28 Exp. Friday -0.08540 -0.07984 0.02904 16 12 28 PrevFri-Mon 0.02793 0.04183 0.39941 18 10 28 Day AfterExp 0.22604 0.23985 -0.10915 13 15 28 WEEKLY STATS Period Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ Study Exp Week 0.81082 0.84182 0.99048 19 10 29 All Exp Week 0.29556 0.32442 0.54217 209 141 350 NonExpire 0.10067 0.12757 0.23964 650 518 1168 All Weeks 0.14557 0.17295 0.30211 859 659 1518 ---------------------------------------------------------------------- "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 March 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 March: Average % Changes For NASDAQ Composite Total Months Tested For Daily Stats: 28 Study Expiration Date Range : 3/16/1984 - 3/16/2012 Overall Expiration Date Range: 1/20/1984 - 2/15/2013 DAILY STATS Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ PreviousFriday -0.10699 -0.09763 0.00320 14 14 28 Monday -0.26234 -0.24718 -0.02756 13 15 28 Tuesday 0.11366 0.12736 0.08453 16 12 28 Wednesday -0.10748 -0.10058 0.06543 16 12 28 Thursday 0.26896 0.27185 0.28394 21 7 28 Exp. Friday -0.17272 -0.16797 -0.08056 12 16 28 PrevFri-Mon -0.36905 -0.33744 0.00595 14 14 28 Day AfterExp -0.00709 0.01067 -0.15627 12 16 28 WEEKLY STATS Period Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ Study Exp Week -0.08494 -0.04760 0.76164 17 12 29 All Exp Week 0.14726 0.19019 0.28972 193 157 350 NonExpire 0.16232 0.20973 0.32140 664 504 1168 All Weeks 0.15885 0.20522 0.31828 857 661 1518 ---------------------------------------------------------------------- "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 March 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: 344 Study Expiration Date Range : 1/20/1984 - 2/15/2013 DAILY STATS Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ PreviousFriday 0.03495 0.04153 0.18130 190 144 334 Monday 0.13543 0.14243 0.11582 200 125 325 Tuesday 0.14054 0.14615 0.11110 186 158 344 Wednesday -0.01858 -0.01208 0.05794 187 157 344 Thursday 0.03451 0.04137 0.08935 198 146 344 Exp. Friday -0.02177 -0.01613 0.09014 194 150 344 PrevFri-Mon 0.19100 0.20454 0.27906 191 134 325 Day AfterExp -0.17378 -0.15898 -0.10200 148 196 344 WEEKLY STATS Period Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ All Exp Week 0.29556 0.32442 0.54217 209 141 350 NonExpire 0.10067 0.12757 0.23964 650 518 1168 All Weeks 0.14557 0.17295 0.30211 859 659 1518 ---------------------------------------------------------------------- "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: 344 Study Expiration Date Range : 1/20/1984 - 2/15/2013 DAILY STATS Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ PreviousFriday 0.08559 0.09474 0.22947 201 133 334 Monday 0.00454 0.01450 0.01749 169 156 325 Tuesday 0.12022 0.12878 0.09815 185 159 344 Wednesday 0.01336 0.02397 0.12374 199 145 344 Thursday 0.08065 0.09038 0.11542 192 152 344 Exp. Friday -0.11292 -0.10644 0.02564 180 164 344 PrevFri-Mon 0.11688 0.13992 0.28317 194 131 325 Day AfterExp -0.24853 -0.23453 -0.22500 140 204 344 WEEKLY STATS Period Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ All Exp Week 0.14726 0.19019 0.28972 193 157 350 NonExpire 0.16232 0.20973 0.32140 664 504 1168 All Weeks 0.15885 0.20522 0.31828 857 661 1518 ---------------------------------------------------------------------- "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: 247 Expiration Dates: 5/15/7/1992 - 2/15/7/2013 Day H Geo Geo Day Ari Ari Day Num Up Num Dn Total --------- - -------- -------- -------- -------- ------ ------ ------ Friday 1: -0.08096 -0.08096 -0.07876 -0.07876 118 121 239 Friday 2: 0.01770 -0.06326 0.01859 -0.06017 133 106 239 Friday 3: -0.02986 -0.09313 -0.02923 -0.08940 126 113 239 Friday 4: 0.01649 -0.07663 0.01693 -0.07247 125 114 239 Friday 5: 0.00073 -0.07590 0.00114 -0.07133 127 112 239 Friday 6: 0.03859 -0.03732 0.03927 -0.03206 134 105 239 Friday 7: 0.07818 0.04087 0.07972 0.04766 161 77 238 Monday 1: -0.03876 -0.03876 -0.03625 -0.03625 117 116 233 Monday 2: 0.06330 0.02454 0.06404 0.02779 139 94 233 Monday 3: 0.01728 0.04182 0.01774 0.04553 123 110 233 Monday 4: 0.00705 0.04887 0.00731 0.05283 119 114 233 Monday 5: 0.00019 0.04906 0.00048 0.05331 123 110 233 Monday 6: 0.00085 0.04991 0.00126 0.05457 115 118 233 Monday 7: 0.04650 0.09641 0.04780 0.10237 127 106 233 Tuesday 1: 0.05668 0.05668 0.05876 0.05876 138 109 247 Tuesday 2: 0.01727 0.07395 0.01786 0.07662 126 121 247 Tuesday 3: 0.01539 0.08934 0.01575 0.09236 135 112 247 Tuesday 4: -0.02716 0.06218 -0.02680 0.06556 126 121 247 Tuesday 5: -0.00786 0.05433 -0.00755 0.05801 122 125 247 Tuesday 6: 0.05118 0.10551 0.05204 0.11005 133 114 247 Tuesday 7: 0.06470 0.17020 0.06590 0.17595 139 108 247 Wednesday 1: -0.03233 -0.03233 -0.03048 -0.03048 128 119 247 Wednesday 2: -0.02555 -0.05787 -0.02458 -0.05506 120 127 247 Wednesday 3: 0.01077 -0.04710 0.01129 -0.04377 131 116 247 Wednesday 4: 0.01076 -0.03634 0.01106 -0.03270 135 112 247 Wednesday 5: 0.00171 -0.03464 0.00225 -0.03045 133 114 247 Wednesday 6: 0.01141 -0.02322 0.01216 -0.01829 120 127 247 Wednesday 7: -0.03624 -0.05947 -0.03487 -0.05316 125 122 247 Thursday 1: 0.01894 0.01894 0.02079 0.02079 124 123 247 Thursday 2: -0.04539 -0.02646 -0.04427 -0.02348 117 130 247 Thursday 3: 0.01337 -0.01309 0.01380 -0.00968 137 110 247 Thursday 4: -0.00119 -0.01428 -0.00068 -0.01036 133 114 247 Thursday 5: 0.03855 0.02427 0.03919 0.02883 138 109 247 Thursday 6: -0.01067 0.01361 -0.01014 0.01869 136 111 247 Thursday 7: 0.04045 0.05405 0.04198 0.06067 139 108 247 ExpFriday 1: -0.03687 -0.03687 -0.03481 -0.03481 119 128 247 ExpFriday 2: -0.01536 -0.05222 -0.01471 -0.04952 119 128 247 ExpFriday 3: -0.06531 -0.11753 -0.06475 -0.11427 104 143 247 ExpFriday 4: 0.02786 -0.08967 0.02825 -0.08601 122 125 247 ExpFriday 5: -0.00346 -0.09313 -0.00309 -0.08911 140 107 247 ExpFriday 6: -0.01181 -0.10494 -0.01140 -0.10051 122 125 247 ExpFriday 7: 0.04429 -0.06065 0.04575 -0.05476 130 117 247 Average Hourly % Changes For S&P 500 Perpetual Futures Data From The Friday Prior Through Expiration Friday Total Months Tested: 290 Expiration Dates: 9/16/7/1988 - 2/15/7/2013 Day H Geo Geo Day Ari Ari Day Num Up Num Dn Total --------- - -------- -------- -------- -------- ------ ------ ------ Friday 1: -0.04095 -0.04095 -0.03863 -0.03863 134 147 281 Friday 2: -0.00841 -0.04936 -0.00760 -0.04623 143 138 281 Friday 3: -0.03414 -0.08350 -0.03347 -0.07970 144 137 281 Friday 4: 0.01911 -0.06439 0.01958 -0.06012 147 134 281 Friday 5: 0.00015 -0.06424 0.00060 -0.05952 153 128 281 Friday 6: 0.02381 -0.04043 0.02451 -0.03501 156 125 281 Friday 7: 0.04575 0.00532 0.04828 0.01327 177 103 280 Monday 1: -0.01978 -0.01978 -0.01662 -0.01662 149 126 275 Monday 2: 0.07443 0.05465 0.07529 0.05867 158 117 275 Monday 3: 0.02564 0.08028 0.02613 0.08480 149 126 275 Monday 4: 0.02762 0.10790 0.02792 0.11272 141 134 275 Monday 5: 0.00070 0.10861 0.00096 0.11368 145 130 275 Monday 6: 0.00326 0.11186 0.00365 0.11733 137 138 275 Monday 7: 0.05935 0.17121 0.06081 0.17814 156 119 275 Tuesday 1: 0.02519 0.02519 0.02687 0.02687 151 139 290 Tuesday 2: 0.01576 0.04095 0.01640 0.04327 153 137 290 Tuesday 3: 0.01676 0.05771 0.01710 0.06037 159 131 290 Tuesday 4: -0.01822 0.03949 -0.01780 0.04257 147 143 290 Tuesday 5: -0.00189 0.03760 -0.00160 0.04098 147 143 290 Tuesday 6: 0.05215 0.08975 0.05297 0.09395 164 126 290 Tuesday 7: 0.07283 0.16259 0.07423 0.16818 159 131 290 Wednesday 1: -0.05429 -0.05429 -0.05262 -0.05262 150 140 290 Wednesday 2: -0.00424 -0.05852 -0.00330 -0.05592 141 149 290 Wednesday 3: 0.00270 -0.05582 0.00319 -0.05273 154 136 290 Wednesday 4: 0.01407 -0.04176 0.01434 -0.03839 156 134 290 Wednesday 5: 0.00016 -0.04160 0.00063 -0.03776 159 131 290 Wednesday 6: 0.01548 -0.02612 0.01606 -0.02169 142 148 290 Wednesday 7: -0.04174 -0.06786 -0.04033 -0.06202 140 150 290 Thursday 1: 0.03348 0.03348 0.03542 0.03542 149 141 290 Thursday 2: -0.03367 -0.00019 -0.03268 0.00275 151 139 290 Thursday 3: 0.00103 0.00085 0.00143 0.00418 142 148 290 Thursday 4: 0.00306 0.00391 0.00352 0.00770 158 132 290 Thursday 5: 0.03846 0.04237 0.03908 0.04678 162 128 290 Thursday 6: -0.00317 0.03920 -0.00267 0.04411 156 134 290 Thursday 7: 0.00826 0.04747 0.00990 0.05401 156 134 290 ExpFriday 1: -0.01714 -0.01714 -0.01526 -0.01526 157 133 290 ExpFriday 2: -0.02818 -0.04532 -0.02754 -0.04280 139 151 290 ExpFriday 3: -0.04257 -0.08789 -0.04203 -0.08483 138 152 290 ExpFriday 4: 0.01435 -0.07354 0.01471 -0.07012 151 139 290 ExpFriday 5: -0.01338 -0.08692 -0.01303 -0.08316 155 135 290 ExpFriday 6: 0.00068 -0.08625 0.00106 -0.08209 157 133 290 ExpFriday 7: 0.01540 -0.07085 0.01675 -0.06534 160 130 290 S&P 500 Cash Expiration Prior Week Test Total Months Tested: 350 Period covered: 1/20/1984 - 2/15/2013 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% 51 32 19 3.576 0.351 >= +1.75% 60 33 27 3.325 0.230 >= +1.50% 73 41 32 3.022 0.298 >= +1.25% 90 49 41 2.710 0.200 >= +1.00% 108 61 47 2.451 0.272 >= +0.75% 131 79 52 2.170 0.340 >= +0.50% 149 90 59 1.982 0.306 >= +0.25% 172 104 68 1.764 0.262 >= +0.00% 193 116 77 1.585 0.289 ------------------------------------------------------------ "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: 350 Period covered: 1/20/1984 - 2/15/2013 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% 65 39 26 4.210 0.483 >= +2.00% 75 45 30 3.933 0.483 >= +1.75% 91 57 34 3.567 0.516 >= +1.50% 109 64 45 3.242 0.424 >= +1.25% 127 77 50 2.973 0.449 >= +1.00% 139 83 56 2.812 0.420 >= +0.75% 150 89 61 2.669 0.380 >= +0.50% 165 98 67 2.482 0.311 >= +0.25% 180 106 74 2.309 0.224 >= +0.00% 195 117 78 2.139 0.300 ------------------------------------------------------------ "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: 350Period covered: 1/20/1984 - 2/15/2013 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 8 4 4 2.113 -0.291 + 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". Expiration Study for Triple-Expiration Months: Average % Changes For S&P 500 Cash Total Months Tested For Daily Stats: 115 Study Expiration Date Range : 3/16/1984 - 12/21/2012 Overall Expiration Date Range: 1/20/1984 - 2/15/2013 DAILY STATS Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ PreviousFriday 0.12441 0.12854 0.21215 68 45 113 Monday -0.01210 -0.00485 0.07364 68 47 115 Tuesday 0.23410 0.23989 0.11639 63 52 115 Wednesday -0.06858 -0.06398 -0.01510 56 59 115 Thursday 0.06434 0.07032 0.12830 68 47 115 Exp. Friday 0.12268 0.12716 0.15859 73 42 115 PrevFri-Mon 0.11948 0.13074 0.33597 69 46 115 Day AfterExp -0.08772 -0.07950 -0.13143 48 67 115 WEEKLY STATS Period Geo Avg Ari Avg Median Num Up Num Dn Total -------------- -------- -------- -------- ------ ------ ------ Study Exp Week 0.36503 0.39265 0.63709 75 41 116 All Exp Week 0.29556 0.32442 0.54217 209 141 350 NonExpire 0.10067 0.12757 0.23964 650 518 1168 All Weeks 0.14557 0.17295 0.30211 859 659 1518 ---------------------------------------------------------------------- "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