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YaKa

SP500 - Systematic Post Quarterly Expiry Weakness since Mar 2012

S&P 500 Index (FX:SPX500)  
YaKa  
FX:SPX500   S&P 500 Index
8
4
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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YaKa
Nasdaq - Mar00 - Mar15 - Hello
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