From a seasonal standpoint option expiration week is often a pretty good week for the market. October is one of those months where it has been especially good over the years. The study below examines performance during October op-ex week.
I decided to exclude 2008 because action that week was such an incredible outlier that it greatly skewed all the stats. (The week started with an 11.5% gain on Monday of 2008.) Results 1-4 days out look pretty solid. So the bulls appear to have some seasonal forces on their side this week.
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Rob Hanna is the founder of Quantifiable Edges, a quantitative market research service he has run since 2008. His research focuses on statistical analysis of U.S. equity markets, including studies on FOMC patterns, VIX dynamics, seasonal effects, gap behavior, market breadth, and other quantitative edges. In 2009 he published "The Quantifiable Edges Guide to Fed Days," available on Amazon. He was named the 2024 recipient of the National Association of Active Investment Managers (NAAIM) Founders Award and currently serves on the NAAIM Board of Directors. His articles have appeared in several trading and investment publications, and he has been a guest on numerous trading podcasts. Rob has been a featured speaker at annual conferences for the CMT Association (formerly Market Technicians Association), the American Association of Professional Technical Analysts (AAPTA), and NAAIM. He ran a private investment partnership from 2001 through 2019 before joining Capital Advisors 360 as an investment advisor representative, where he trades quantitative and volatility-based models for clients.. Follow him on Twitter / Facebook.
