Expiration Study for June

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 Expiration Study for June 
Average % Changes For S&P 500 Cash
Total Months Tested For Daily Stats: 29
Study Expiration Date Range : 6/15/1984 - 6/15/2012
Overall Expiration Date Range: 1/20/1984 - 5/17/2013

DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.14379 0.14719 0.16748 16 12 28
Monday -0.14643 -0.14104 0.02783 16 13 29
Tuesday 0.21724 0.22109 0.11639 18 11 29
Wednesday -0.12755 -0.12359 -0.03942 12 17 29
Thursday -0.04258 -0.03873 0.12117 18 11 29
Exp. Friday 0.05348 0.05675 0.26235 20 9 29
PrevFri-Mon 0.00782 0.01480 -0.00917 14 15 29
Day AfterExp -0.25252 -0.24694 -0.07067 13 16 29

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week -0.04629 -0.02918 0.14868 16 13 29
All Exp Week 0.29453 0.32327 0.55624 211 142 353
NonExpire 0.10726 0.13400 0.24105 657 521 1178
All Weeks 0.15040 0.17764 0.30701 868 663 1531
----------------------------------------------------------------------
"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 June 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



Expiration Study for June:
Average % Changes For NASDAQ Composite
Total Months Tested For Daily Stats: 29
Study Expiration Date Range : 6/15/1984 - 6/15/2012
Overall Expiration Date Range: 1/20/1984 - 5/17/2013
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.08476 0.08974 0.33981 16 12 28
Monday -0.34663 -0.33812 -0.15149 11 18 29
Tuesday 0.22598 0.23178 0.13354 17 12 29
Wednesday -0.16520 -0.15668 0.00217 15 14 29
Thursday -0.10053 -0.09358 -0.04452 13 16 29
Exp. Friday 0.02488 0.02788 0.04595 18 11 29
PrevFri-Mon -0.24911 -0.23447 0.15683 15 14 29
Day AfterExp -0.18525 -0.17537 -0.12326 11 18 29

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week -0.36189 -0.33062 -0.36853 13 16 29
All Exp Week 0.14377 0.18648 0.28894 195 158 353
NonExpire 0.16942 0.21656 0.32350 671 507 1178
All Weeks 0.16351 0.20963 0.32003 866 665 1531
----------------------------------------------------------------------
"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 June 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



Expiration Study for All Months:
Average % Changes For S&P 500 Cash
Total Months Tested For Daily Stats: 347
Study Expiration Date Range : 1/20/1984 - 5/17/2013
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.03640 0.04293 0.18140 192 145 337
Monday 0.12810 0.13513 0.11338 202 126 328
Tuesday 0.14564 0.15124 0.11287 188 159 347
Wednesday -0.02073 -0.01425 0.05873 189 158 347
Thursday 0.03243 0.03925 0.08843 199 148 347
Exp. Friday -0.01656 -0.01094 0.09289 196 151 347
PrevFri-Mon 0.18498 0.19852 0.28751 193 135 328
Day AfterExp -0.17274 -0.15805 -0.09942 149 198 347

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
All Exp Week 0.29453 0.32327 0.55624 211 142 353
NonExpire 0.10726 0.13400 0.24105 657 521 1178
All Weeks 0.15040 0.17764 0.30701 868 663 1531
----------------------------------------------------------------------
"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
4/19/1984 eliminated in daily calculations due to expiration day not on Friday
4/16/1987 eliminated in daily calculations due to expiration day not on Friday
4/16/1992 eliminated in daily calculations due to expiration day not on Friday
4/20/2000 eliminated in daily calculations due to expiration day not on Friday
4/17/2003 eliminated in daily calculations due to expiration day not on Friday
3/20/2008 eliminated in daily calculations due to expiration day not on Friday
"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.
"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



Expiration Study for All Months:
Average % Changes For NASDAQ Composite
Total Months Tested For Daily Stats: 347
Study Expiration Date Range : 1/20/1984 - 5/17/2013
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.08786 0.09694 0.23345 203 134 337
Monday -0.00186 0.00810 0.01782 171 157 328
Tuesday 0.12453 0.13304 0.10548 187 160 347
Wednesday 0.00890 0.01947 0.12201 201 146 347
Thursday 0.07718 0.08685 0.10714 193 154 347
Exp. Friday -0.10644 -0.09997 0.02564 182 165 347
PrevFri-Mon 0.11257 0.13552 0.29147 196 132 328
Day AfterExp -0.24516 -0.23126 -0.22114 141 206 347

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
All Exp Week 0.14377 0.18648 0.28894 195 158 353
NonExpire 0.16942 0.21656 0.32350 671 507 1178
All Weeks 0.16351 0.20963 0.32003 866 665 1531
----------------------------------------------------------------------
"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
4/19/1984 eliminated in daily calculations due to expiration day not on Friday
4/16/1987 eliminated in daily calculations due to expiration day not on Friday
4/16/1992 eliminated in daily calculations due to expiration day not on Friday
4/20/2000 eliminated in daily calculations due to expiration day not on Friday
4/17/2003 eliminated in daily calculations due to expiration day not on Friday
3/20/2008 eliminated in daily calculations due to expiration day not on Friday
"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.
"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



Average Hourly % Changes For S&P 500 Cash Data
From The Friday Prior Through Expiration Friday
Total Months Tested: 250
Expiration Dates: 5/15/7/1992 - 5/17/7/2013
Day H Geo Geo Day Ari Ari Day Num Up Num Dn Total
--------- - -------- -------- -------- -------- ------ ------ ------
Friday 1: -0.07989 -0.07989 -0.07771 -0.07771 120 122 242
Friday 2: 0.01527 -0.06461 0.01616 -0.06155 134 108 242
Friday 3: -0.02871 -0.09332 -0.02808 -0.08963 128 114 242
Friday 4: 0.01666 -0.07666 0.01709 -0.07254 127 115 242
Friday 5: 0.00132 -0.07535 0.00172 -0.07081 129 113 242
Friday 6: 0.03843 -0.03691 0.03911 -0.03171 136 106 242
Friday 7: 0.07974 0.04282 0.08125 0.04955 164 77 241
Monday 1: -0.04260 -0.04260 -0.04011 -0.04011 117 119 236
Monday 2: 0.06340 0.02081 0.06413 0.02403 141 95 236
Monday 3: 0.01642 0.03722 0.01687 0.04090 125 111 236
Monday 4: 0.00583 0.04306 0.00609 0.04699 120 116 236
Monday 5: -0.00031 0.04274 -0.00003 0.04696 124 112 236
Monday 6: 0.00038 0.04312 0.00078 0.04774 117 119 236
Monday 7: 0.04361 0.08673 0.04490 0.09264 128 108 236
Tuesday 1: 0.06054 0.06054 0.06260 0.06260 140 110 250
Tuesday 2: 0.01798 0.07852 0.01857 0.08117 127 123 250
Tuesday 3: 0.01667 0.09519 0.01703 0.09820 137 113 250
Tuesday 4: -0.02630 0.06889 -0.02595 0.07225 127 123 250
Tuesday 5: -0.00896 0.05992 -0.00866 0.06359 122 128 250
Tuesday 6: 0.04951 0.10943 0.05035 0.11394 133 117 250
Tuesday 7: 0.06749 0.17692 0.06868 0.18263 142 108 250
Wednesday 1: -0.03652 -0.03652 -0.03468 -0.03468 128 122 250
Wednesday 2: -0.02720 -0.06373 -0.02624 -0.06092 122 128 250
Wednesday 3: 0.01222 -0.05151 0.01274 -0.04819 133 117 250
Wednesday 4: 0.01176 -0.03975 0.01206 -0.03612 137 113 250
Wednesday 5: 0.00162 -0.03813 0.00216 -0.03397 135 115 250
Wednesday 6: 0.01028 -0.02785 0.01102 -0.02295 120 130 250
Wednesday 7: -0.03411 -0.06196 -0.03274 -0.05569 128 122 250
Thursday 1: 0.01907 0.01907 0.02091 0.02091 126 124 250
Thursday 2: -0.04460 -0.02553 -0.04348 -0.02258 118 132 250
Thursday 3: 0.01245 -0.01308 0.01287 -0.00970 139 111 250
Thursday 4: -0.00086 -0.01394 -0.00036 -0.01006 135 115 250
Thursday 5: 0.03689 0.02294 0.03752 0.02746 138 112 250
Thursday 6: -0.01250 0.01044 -0.01198 0.01548 137 113 250
Thursday 7: 0.04050 0.05094 0.04202 0.05750 141 109 250
ExpFriday 1: -0.03523 -0.03523 -0.03318 -0.03318 121 129 250
ExpFriday 2: -0.01369 -0.04893 -0.01305 -0.04624 121 129 250
ExpFriday 3: -0.06268 -0.11160 -0.06212 -0.10836 107 143 250
ExpFriday 4: 0.02663 -0.08497 0.02702 -0.08134 123 127 250
ExpFriday 5: -0.00320 -0.08817 -0.00284 -0.08418 142 108 250
ExpFriday 6: -0.01077 -0.09894 -0.01036 -0.09454 124 126 250
ExpFriday 7: 0.04567 -0.05327 0.04711 -0.04743 133 117 250




Average Hourly % Changes For S&P 500 Perpetual Futures Data
From The Friday Prior Through Expiration Friday
Total Months Tested: 293
Expiration Dates: 9/16/7/1988 - 5/17/7/2013
Day H Geo Geo Day Ari Ari Day Num Up Num Dn Total
--------- - -------- -------- -------- -------- ------ ------ ------
Friday 1: -0.04042 -0.04042 -0.03812 -0.03812 136 148 284
Friday 2: -0.01018 -0.05060 -0.00938 -0.04750 144 140 284
Friday 3: -0.03315 -0.08375 -0.03249 -0.07999 146 138 284
Friday 4: 0.01924 -0.06451 0.01971 -0.06027 149 135 284
Friday 5: 0.00070 -0.06381 0.00115 -0.05913 155 129 284
Friday 6: 0.02362 -0.04019 0.02431 -0.03482 158 126 284
Friday 7: 0.04667 0.00648 0.04917 0.01435 180 103 283
Monday 1: -0.02267 -0.02267 -0.01953 -0.01953 149 129 278
Monday 2: 0.07450 0.05184 0.07536 0.05582 160 118 278
Monday 3: 0.02493 0.07676 0.02542 0.08124 151 127 278
Monday 4: 0.02635 0.10311 0.02664 0.10789 142 136 278
Monday 5: 0.00018 0.10329 0.00043 0.10832 146 132 278
Monday 6: 0.00283 0.10612 0.00322 0.11154 139 139 278
Monday 7: 0.05573 0.16185 0.05719 0.16873 157 121 278
Tuesday 1: 0.02963 0.02963 0.03131 0.03131 153 140 293
Tuesday 2: 0.01642 0.04605 0.01706 0.04837 154 139 293
Tuesday 3: 0.01790 0.06395 0.01824 0.06661 161 132 293
Tuesday 4: -0.01760 0.04635 -0.01718 0.04943 148 145 293
Tuesday 5: -0.00287 0.04348 -0.00259 0.04685 147 146 293
Tuesday 6: 0.05061 0.09409 0.05142 0.09827 164 129 293
Tuesday 7: 0.07523 0.16931 0.07661 0.17488 162 131 293
Wednesday 1: -0.05738 -0.05738 -0.05571 -0.05571 150 143 293
Wednesday 2: -0.00601 -0.06338 -0.00507 -0.06078 143 150 293
Wednesday 3: 0.00404 -0.05935 0.00452 -0.05626 156 137 293
Wednesday 4: 0.01497 -0.04437 0.01524 -0.04101 158 135 293
Wednesday 5: 0.00011 -0.04427 0.00058 -0.04044 161 132 293
Wednesday 6: 0.01430 -0.02997 0.01488 -0.02555 142 151 293
Wednesday 7: -0.04017 -0.07013 -0.03877 -0.06432 143 150 293
Thursday 1: 0.03361 0.03361 0.03554 0.03554 151 142 293
Thursday 2: -0.03292 0.00070 -0.03193 0.00361 152 141 293
Thursday 3: 0.00035 0.00105 0.00075 0.00436 144 149 293
Thursday 4: 0.00330 0.00435 0.00375 0.00811 160 133 293
Thursday 5: 0.03710 0.04145 0.03772 0.04583 162 131 293
Thursday 6: -0.00480 0.03665 -0.00431 0.04151 157 136 293
Thursday 7: 0.00797 0.04462 0.00959 0.05111 158 135 293
ExpFriday 1: -0.01571 -0.01571 -0.01384 -0.01384 159 134 293
ExpFriday 2: -0.02636 -0.04207 -0.02572 -0.03956 141 152 293
ExpFriday 3: -0.04053 -0.08259 -0.03999 -0.07955 141 152 293
ExpFriday 4: 0.01331 -0.06929 0.01366 -0.06589 152 141 293
ExpFriday 5: -0.01295 -0.08224 -0.01261 -0.07849 157 136 293
ExpFriday 6: 0.00142 -0.08082 0.00180 -0.07669 159 134 293
ExpFriday 7: 0.01605 -0.06477 0.01739 -0.05930 163 130 293




S&P 500 Cash Expiration Prior Week Test
Total Months Tested: 353
Period covered: 1/20/1984 - 5/17/2013
Down Weeks Prior To Expiration Week
Prior Prior Expire Expire Average Average
Week Limit Count Up Down Prior Expire
---------- ----- ------ ------ ------- -------
= +3.00% 29 19 10 4.460 0.380
>= +2.75% 32 22 10 4.308 0.409
>= +2.50% 38 26 12 4.041 0.497
>= +2.25% 44 28 16 3.813 0.411
>= +2.00% 53 33 20 3.525 0.309
>= +1.75% 62 34 28 3.289 0.199
>= +1.50% 75 42 33 3.000 0.270
>= +1.25% 92 50 42 2.700 0.180
>= +1.00% 111 63 48 2.436 0.270
>= +0.75% 134 81 53 2.164 0.337
>= +0.50% 152 92 60 1.981 0.304
>= +0.25% 175 106 69 1.766 0.261
>= +0.00% 196 118 78 1.590 0.288
"Prior Week Limit" : range of % changes of the prior week.
"Prior Count" : # of months that met the criteria under "Prior Week Limit".
"Average Expire" : avg % change for exp. week for all months of "Prior Count".




NASDAQ Composite Expiration Prior Week Test
Total Months Tested: 353
Period covered: 1/20/1984 - 5/17/2013
Down Weeks Prior To Expiration Week
Prior Prior Expire Expire Average Average
Week Limit Count Up Down Prior Expire
---------- ----- ------ ------ ------- -------
= +3.00% 41 24 17 5.188 0.296
>= +2.75% 45 26 19 4.980 0.253
>= +2.50% 55 33 22 4.552 0.382
>= +2.25% 67 40 27 4.162 0.431
>= +2.00% 77 46 31 3.898 0.437
>= +1.75% 93 58 35 3.546 0.477
>= +1.50% 112 66 46 3.217 0.406
>= +1.25% 130 79 51 2.957 0.433
>= +1.00% 142 85 57 2.801 0.406
>= +0.75% 153 91 62 2.662 0.367
>= +0.50% 168 100 68 2.479 0.301
>= +0.25% 183 108 75 2.309 0.217
>= +0.00% 198 119 79 2.141 0.291
"Prior Week Limit" : range of % changes of the prior week.
"Prior Count" : # of months that met the criteria under "Prior Week Limit".
"Average Expire" : avg % change for exp. week for all months of "Prior Count".




S&P 500 Expiration Prior Week Range Test
Total Months Tested: 353Period covered: 1/20/1984 - 5/17/2013
Down Weeks Prior To Expiration Week
Prior Prior Expire Expire Average Average
Week Range Count Up Down Prior Expire
-------------------- ----- ------ ------ ------- -------
-10.50


Expiration Study for Triple-Expiration Months:
Average % Changes For S&P 500 Cash
Total Months Tested For Daily Stats: 116
Study Expiration Date Range : 3/16/1984 - 3/15/2013
Overall Expiration Date Range: 1/20/1984 - 5/17/2013
DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.12724 0.13134 0.21238 69 45 114
Monday -0.00920 -0.00200 0.07891 69 47 116
Tuesday 0.23000 0.23575 0.11286 63 53 116
Wednesday -0.06686 -0.06229 -0.01074 57 59 116
Thursday 0.06860 0.07454 0.14358 69 47 116
Exp. Friday 0.12022 0.12467 0.15284 73 43 116
PrevFri-Mon 0.12511 0.13629 0.35074 70 46 116
Day AfterExp -0.09173 -0.08356 -0.14872 48 68 116
WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week 0.36715 0.39454 0.63127 76 41 117
All Exp Week 0.29453 0.32327 0.55624 211 142 353
NonExpire 0.10726 0.13400 0.24105 657 521 1178
All Weeks 0.15040 0.17764 0.30701 868 663 1531
----------------------------------------------------------------------
"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
3/20/2008 eliminated in daily calculations due to expiration day not on Friday
"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 triple-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

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