Friday March 20 2009 is quadruple witching expiration. Traders believe that expiration days are difficult to trade and market makers and others play a variety of tricks in order to settle their positions.
I am not sure what the proper way to trade options expiration is, but thought I should assemble intraday prices of SPY (ETF tracking S&P 500) from options expiration Fridays (and some Thursdays) of the last year. Each square in the grid is the intraday SPY price for the options expiration Friday in the title, as well as the trading days preceding it. There are a few bad prints in the data, which I did not have time to correct, but I think it is still quite useful.
These are interesting to look at and maybe guide your decision making somehow, though admittedly the sample is small.
1 comment:
Hello,
I started a full blog reading of Quantitative Trading blog and just saw your message to Ernest Chan, in september 19th, 2007, about the release of your blog.
Immediately I searched your blog and was amazed at: 1) the good quality of the posts; 2) on how seldom do you post (1 a year????).
I ask why don't you post more often?
Best Regards,
Newton Linchen, from Brazil.
http://newtonlinchen.wordpress.com
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