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

    PEAK ASSET: AFTERNOON WRAP 15 JANUARY: | ASX down 0.6pc over the week | Lithium sector springs back to life amid acquisition deals and price rises | China stocks fall as consumer, liquor firms retreat |

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

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

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

    PEAK ASSET: AFTERNOON WRAP 12 JANUARY: | ASX falls 0.3pc | iCandy Interactive offers sneak peek into first of four new mobile games | China stocks rebound, Hong Kong hovers near 1-year high |

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

    PEAK ASSET: MORNING WRAP 12 JANUARY: | ASX to edge up, Wall St retreats | Airbnb breaks into top 10 US stocks for Australian investors |

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    The Cotton Row Journal, week of 11-15 Jan

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Expiration Study for March 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 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
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