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Strategies & Market Trends : Technical analysis for shorts & longs -- Ignore unavailable to you. Want to Upgrade?

To: mattie who wrote (36179)	2/15/2002 2:00:25 PM
From: Johnny Canuck	Respond to of 70309

Today is options expiration for the February series. There has been much discussion in the press concerning the behavior of the markets on expiration day. Jerry Wang of our Quantitative Analysis Department has studied the impact of options expiration and came up with the following conclusion: "Expiration Fridays, for whatever reason, have a blatant downside bias. The entire day's return distribution is lower by roughly 0.2 percent or 0.3 percent than the at-any-day distribution. This means that average return is lower, average drawdowns are larger, and average drawups are smaller." Jerry tested S&P 100 Index (OEX – 567.13) data from 1990 to 2001 in slices of two years at a time. He found that this expiration tendency was not present in any two-year patch before 1997 and has been present in every two-year patch since 1997. Picking up only slightly, equity option activity on the CBOE yesterday had 338,964 put contracts trade compared to 504,071 call contracts. The resultant 0.672 put/call ratio has moved the 21-day moving average up slightly to 0.691. The 21-day moving average has held above 0.690 for the past four sessions. optionsource.com