Almanac Trader — September Quarterly Options Expiration Week Mixed,…

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September’s quarterly option expiration week has been up 55.8% of the time for S&P 500 since 1982. DJIA and NASDAQ have slightly weaker track records with gains 53.5% of the time and 53.5% respectively. Average weekly performance has been basically flat with only S&P 500 eking out a tiny 0.004% gain while DJIA and NASDAQ have averaged declines of 0.13% and 0.03% respectively.

The week has suffered several sizable losses. The worst loss followed the September 11 terrorist attacks in 2001. Other sizable losses occurred in 2002 and 2022. In the last twenty-one years, S&P 500 and NASDAQ are tied for best record during September’s quarterly option expiration week, up thirteen times, but NASDAQ has been down the six of the last seven. Friday had been firm with all three indices advancing every year 2004 to 2011, but S&P 500 has been down 12 of the last 13 and NASDAQ has been down 11 of the last 12 since.

S&P 500 Down 27 of 35 Weeks After September Quarterly Options Expiration, Average Loss 1.01%

The week after September options quarterly expiration week, has a dreadful history of declines most notably since 1990. The week after September quarterly options expiration week has been a nearly constant source of pain with only a few meaningful exceptions over the past 35 years. Substantial and across the board gains have occurred just four times: 1998, 2001, 2010 and 2016 while many more weeks were hit with sizable losses. In 2022 DJIA and S&P 500 declined over 4% while NASDAQ fell 5.07%.

Full stats are the sea-of-red in the tables here. Average losses since 1990 are even worse; DJIA –1.05%, S&P 500 –1.01%, NASDAQ –1.00%. End-of-Q3 portfolio restructuring is the most likely explanation for this trend as managers trim summer holdings and position for the fourth quarter.

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