This Week’s Playbook

• Posted by Adam Warner
• on October 12th, 2009

Hats off to the Padres Broncos for that 5-0 start.

So I’m reading through my book, I noticed I have a bunch of stats on expiration week.

If you promise to still buy it, I can generalize a few things for you.

One is to lose that whole “Thursday Rule” which states the market will go the opposite direction on Expiraiton Day from which it moved the Thursday from the week before. There’s a modest negative correlation, so it’s a very small odds winner trade to go short on this Thursday’s close.

The flip side is that Expiraiton Week tends to go trendy. So if we’re up early in the week, it’s not very likely you see that end later in the week (most likely it ends after expiration, like next Tuesday). I show Thuraday and Friday of expiraiton week as the most likely back-to-back day combo to keep moving in the direction it entered that two day period. And it makes sense in that IF we start moving one-way, it’s likely options shorts in that direction will have to chase and add more fuel to the move on the margins.

So blah blah blah, this is all very early to mention this week. But given we grind up virtually every day and everybody wants to call the turn, I’m just saying calling for it on a low volatility Expiraiton week is not likely to get you future CNBC gigs.

The information in this blog post represents my own opinions and does not contain a recommendation for any particular security or investment. I or my affiliates may hold positions or other interests in securities mentioned in the Blog, please see my Disclaimer page for my full disclaimer.

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