Page 1 of 2
Expiration Study for January:
Average % Changes For S&P 500 Cash
Total Months Tested For Daily Stats: 38
Study Expiration Date Range : 1/20/1984 - 1/15/2021
Overall Expiration Date Range: 1/20/1984 - 12/17/2021
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday -0.38637 -0.37658 -0.00969 17 21 38
Monday -0.02061 -0.01700 0.00132 15 14 29
Tuesday 0.13977 0.14327 0.14019 24 14 38
Wednesday -0.11399 -0.10950 0.06536 22 16 38
Thursday 0.08402 0.08919 0.13102 21 17 38
Exp. Friday 0.11394 0.11873 0.25946 22 16 38
PrevFri-Mon -0.61971 -0.60818 -0.33980 10 19 29
Day AfterExp -0.25878 -0.25040 -0.06918 18 20 38
WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week 0.20795 0.23282 -0.02804 18 20 38
All Exp Week 0.26727 0.29555 0.52583 272 184 456
NonExpire 0.13818 0.16418 0.27029 864 659 1523
All Weeks 0.16791 0.19445 0.32199 1136 843 1979
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"Previous Friday" uses all Friday dates prior to expiration week
"Monday" - "Thursday" uses the specified days during expiration week
"Exp Friday" uses all Friday expiration days only
"Prev Fri-Mon" uses the combined % change for the Monday of expiration
week and the last trading day in the previous week.
Weekly stats use the complete expiration week regardless of the number
of days in the week or what day of the week is expiration day.
"Study Exp Week" uses all January expiration weeks in the date range
"All Exp Week" uses all expiration weeks in the overall date range
"NonExpire" uses all non-expiration weeks in the overall date range
"All Weeks" uses all weeks in the overall date range
Page 2 of 2
Expiration Study for January:
Average % Changes For NASDAQ Composite
Total Months Tested For Daily Stats: 38
Study Expiration Date Range : 1/20/1984 - 1/15/2021
Overall Expiration Date Range: 1/20/1984 - 12/17/2021
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday -0.17262 -0.16521 0.01789 20 18 38
Monday -0.13725 -0.13172 -0.11604 12 17 29
Tuesday 0.18345 0.18880 0.26001 23 15 38
Wednesday -0.04612 -0.03728 0.21559 24 14 38
Thursday 0.27968 0.28629 0.42447 22 16 38
Exp. Friday -0.00168 0.00657 0.18365 22 16 38
PrevFri-Mon -0.53738 -0.52196 -0.23761 13 16 29
Day AfterExp -0.26412 -0.25216 -0.06691 18 20 38
WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week 0.31044 0.34500 0.39195 23 15 38
All Exp Week 0.19248 0.23244 0.35294 258 198 456
NonExpire 0.20318 0.24626 0.34500 874 649 1523
All Weeks 0.20071 0.24308 0.34684 1132 847 1979
----------------------------------------------------------------------
"Previous Friday" uses all Friday dates prior to expiration week
"Monday" - "Thursday" uses the specified days during expiration week
"Exp Friday" uses all Friday expiration days only
"Prev Fri-Mon" uses the combined % change for the Monday of expiration
week and the last trading day in the previous week.
Weekly stats use the complete expiration week regardless of the number
of days in the week or what day of the week is expiration day.
"Study Exp Week" uses all January expiration weeks in the date range
"All Exp Week" uses all expiration weeks in the overall date range
"NonExpire" uses all non-expiration weeks in the overall date range
"All Weeks" uses all weeks in the overall date range