Expiration Study for June

Ned Davis Research
June 13, 2013

{jathumbnailoff}

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% 23 11 12 -5.297 -0.584 <= -2.75% 27 12 15 -4.935 -0.482 <= -2.50% 35 15 20 -4.410 -0.316 <= -2.25% 46 23 23 -3.925 -0.138 <= -2.00% 50 26 24 -3.785 -0.154 <= -1.75% 62 34 28 -3.417 0.232 <= -1.50% 73 41 32 -3.152 0.344 <= -1.25% 88 50 38 -2.853 0.394 <= -1.00% 99 59 40 -2.659 0.426 <= -0.75% 113 66 47 -2.438 0.402 <= -0.50% 126 77 49 -2.251 0.455 <= -0.25% 144 87 57 -2.012 0.433 <= -0.00% 157 93 64 -1.856 0.368 Up 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% 40 17 23 -5.668 -0.338 <= -2.75% 42 17 25 -5.537 -0.526 <= -2.50% 47 19 28 -5.226 -0.570 <= -2.25% 54 22 32 -4.853 -0.438 <= -2.00% 61 25 36 -4.540 -0.409 <= -1.75% 69 28 41 -4.226 -0.368 <= -1.50% 73 30 43 -4.081 -0.339 <= -1.25% 85 35 50 -3.700 -0.213 <= -1.00% 94 41 53 -3.455 -0.069 <= -0.75% 106 48 58 -3.165 -0.078 <= -0.50% 119 56 63 -2.890 -0.033 <= -0.25% 134 64 70 -2.608 0.041 <= -0.00% 156 77 79 -2.257 0.065 Up 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 < % <= -10.75 1 1 0 -10.538 5.748 -7.75 < % <= -8.00 1 1 0 -7.905 0.668 -7.00 < % <= -7.25 1 1 0 -7.013 4.059 -6.75 < % <= -7.00 1 0 1 -6.839 -7.991 -6.00 < % <= -6.25 1 0 1 -6.198 -8.389 -5.00 < % <= -5.25 1 0 1 -5.182 -9.120 -4.75 < % <= -5.00 2 1 1 -4.832 -1.611 -4.50 < % <= -4.75 1 1 0 -4.596 1.405 -4.25 < % <= -4.50 2 1 1 -4.352 -2.196 -3.75 < % <= -4.00 2 0 2 -3.790 -1.560 -3.50 < % <= -3.75 2 2 0 -3.694 2.248 -3.25 < % <= -3.50 1 0 1 -3.484 -0.229 -3.00 < % <= -3.25 6 2 4 -3.091 0.342 -2.75 < % <= -3.00 4 1 3 -2.851 0.106 -2.50 < % <= -2.75 8 3 5 -2.640 0.246 -2.25 < % <= -2.50 11 8 3 -2.383 0.427 -2.00 < % <= -2.25 4 3 1 -2.166 -0.333 -1.75 < % <= -2.00 12 8 4 -1.887 1.839 -1.50 < % <= -1.75 11 7 4 -1.660 0.977 -1.25 < % <= -1.50 15 9 6 -1.396 0.636 -1.00 < % <= -1.25 11 9 2 -1.110 0.680 -0.75 < % <= -1.00 14 7 7 -0.872 0.237 -0.50 < % <= -0.75 13 11 2 -0.624 0.913 -0.25 < % <= -0.50 18 10 8 -0.342 0.279 -0.00 < % <= -0.25 13 6 7 -0.121 -0.356 Up Weeks Prior To Expiration Week Prior Prior Expire Expire Average Average Week Range Count Up Down Prior Expire -------------------- ----- ------ ------ ------- ------- + 0.00 < % <= + 0.25 21 12 9 0.118 0.510 + 0.25 < % <= + 0.50 23 14 9 0.351 -0.022 + 0.50 < % <= + 0.75 18 11 7 0.618 0.058 + 0.75 < % <= + 1.00 23 18 5 0.849 0.659 + 1.00 < % <= + 1.25 19 13 6 1.159 0.709 + 1.25 < % <= + 1.50 17 8 9 1.374 -0.221 + 1.50 < % <= + 1.75 13 8 5 1.623 0.612 + 1.75 < % <= + 2.00 9 1 8 1.900 -0.453 + 2.00 < % <= + 2.25 9 5 4 2.120 -0.190 + 2.25 < % <= + 2.50 6 2 4 2.364 -0.129 + 2.50 < % <= + 2.75 6 4 2 2.617 0.963 + 2.75 < % <= + 3.00 3 3 0 2.839 0.693 + 3.00 < % <= + 3.25 4 2 2 3.133 0.544 + 3.25 < % <= + 3.50 2 2 0 3.413 0.524 + 3.50 < % <= + 3.75 3 2 1 3.689 -0.036 + 3.75 < % <= + 4.00 2 2 0 3.818 0.942 + 4.00 < % <= + 4.25 6 2 4 4.122 -2.542 + 4.25 < % <= + 4.50 1 1 0 4.339 5.874 + 4.50 < % <= + 4.75 1 1 0 4.514 1.511 + 4.75 < % <= + 5.00 4 3 1 4.871 2.322 + 5.00 < % <= + 5.25 2 2 0 5.114 4.048 + 5.25 < % <= + 5.50 1 0 1 5.416 -1.213 + 5.75 < % <= + 6.00 2 1 1 5.937 -1.936 +10.50 < % <= +10.75 1 1 0 10.707 1.585 "Prior Week Range" : range of % changes of the prior week. "Prior Count" : # of months that met the criteria under "Prior Week Range". "Expire Up/Down" : # of months that exp. week closed up/down out of the "Prior Count" months. "Average Prior/Expire" : avg % change for the week prior and expiration week for all months of "Prior Count".


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