OPEX Analysis — SPY

Seasonal patterns around the monthly options expiration (3rd Friday) & Triple Witching

Methodology

Data Basis

  • Data source: Supabase (Yahoo Finance), updated daily
  • OPEX date: 3rd Friday of the month (calculated via Gauss calendar, holiday-adjusted)
  • Triple Witching: March, June, September, December (simultaneous expiry of stock options + index futures + index options)

Event Window

  • t=0: OPEX Friday (or next trading day if holiday)
  • Return: daily return (Close[t] / Close[t−1] − 1) × 100
  • Window: t−N to t+N (adjustable), N = number of trading days
  • Aggregation: arithmetic mean of all events per offset

Backtest

  • Buy at close of day t−N, sell at close of day t+N
  • Return = cumulative return over the window (not annualised)
  • Equity curve = cumulative sum of all trade returns

VIXpiration

VIXpiration dates are shown in the OPEX calendar for reference. Detailed VIXpiration analysis with dedicated charts, backtest and significance test: VIXpiration page →