SP500 - Systematic Post Quarterly Expiry Weakness since Mar 2012

FX:SPX500   S&P 500 Index
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%
And this time there is no PERMANENT OPEN MARKET OPERATION by the Fed.
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 BobbyBlueShoes
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.
Fascinating correlation. I'd love to hear if someone has a theory about this?
+1 Reply
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