SPY Monthly Close vs. Option Expiration Price Distribution

By Lawrence

A simple comparison of the month end closing price based on the range of the month to the option expiration closing price based on the range of the option cycle. Data going back to 1993.

SPY_closepositiondistributions

Notice the abnormally of the option expiration closing at the bottom 5%, midpoint 50% and the top 5%.

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Comments
  • MidKnight July 1, 2013 at 10:45 pm

    Hi Lawrence,

    Can you explain what the “range of the option cycle” means?

    With thanks in advance,
    MK

    • Lawrence Chan July 2, 2013 at 11:00 am

      Instead of High / Low of a month, it is the range established from one option cycle to the next.

      i.e. every 3rd Friday of each month being the cutoff date instead of month end

  • dandy June 16, 2017 at 1:45 am

    Is the vertical axis the % of where the closing price is in the high-low ranges based on option cycle vs month cutoffs? Not sure how to read the chart. Thank you.

    • Lawrence June 17, 2017 at 12:15 pm

      yes. the first line stated something like that. it is kind of cryptic to read though.

    • Lawrence June 17, 2017 at 12:17 pm

      This is another example of recurring patterns happening right in front of us yet not many notice its existence.

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