SP500 - Systematic Post Quarterly Expiry Weakness since Mar 2012

FX:SPX500   S&P 500 index of US listed shares
451 4 8
That is striking.

Since 2012 every expiry is followed by a period of 4 weeks within which there is weakness of between 2 and 10%

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2 years ago
Fascinating correlation. I'd love to hear if someone has a theory about this?
+1 Reply
2 years ago
And this time there is no PERMANENT OPEN MARKET OPERATION by the Fed.
BobbyBlueShoes nmreich1
2 years ago
I've learnt to expect, that means nothing. Their words and market's exuberance seems to compensate sufficiently. But at some point someone will call a top and there will not be sufficient liquidity to support real selling. But that could be 500 pints away, who knows.
YaKa PRO BobbyBlueShoes
2 years ago
The theory behind could be:
- As the trend is settled (up here), players buy put to hedge...
- The bi-a-tch... does not give them any value on on expiry.. frustrate them by giving them a correction just after the expiry and so on...
- BTW: the unwind of the hedges by the dealers who were short the puts and needed to protect against a move down... is a buy order in the market which might help the market up around the expi... Speculation.
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