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
