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Statistiche › Opzioni, short e posizionamento › Expiration week

The option expiration week effect is real, modest, and partly funded by the week after

Expiration week third Friday: 0.45+0.45Expiration weekthird FridayAll other weeks: 0.12+0.12All other weeksNon-expiration weeks comparison set: 0.18+0.18Non-expiration weekscomparison setWeek after expiration: -0.03-0.03Week after expiration

Average weekly returns in percent, 28 large-capitalisation stocks with actively traded options, 1996 to 2008. The figures come from a published review of the March 2010 working paper. The published journal version is paywalled and reports no figures publicly, though its abstract confirms the direction and adds that fourth Friday weeks underperform modestly.

Twenty eight large caps with active options averaged 0.45% in expiration weeks against 0.12% otherwise, with weekly Sharpe ratios of 0.57 and 0.07. The week after expiration averaged minus 0.03%, so part of the gain is funded by a bad adjacent week.

0.45%Average weekly return in option expiration weeks
0.12%Average weekly return in other weeks
0.57 against 0.07Weekly Sharpe ratio, expiration week against other weeks
-0.03%Average return in the week after expiration

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