OPEX Analysis — SPY

Shows the annualised volatility (cross-section std of all events) per day in the event window. 1d Vol = dispersion on exactly that day, 5d Vol = smoothed dispersion over ±2 days. A drop around t=0 signals vol compression before expiry.

Each chart shows the cumulative path around the 3rd Friday of the respective month.

Avg. daily return per month and offset day (t−N to t+N). Red = negative, Green = positive.

Strategie: Buy t-3 (Close) · Sell t+3 (Close)

Next 8 dates

All dates in the analysis period

SeasonAlpha's OPEX analysis examines how markets behave around options expiration (OPEX). The major monthly expiration falls on the 3rd Friday of every month — when a large number of equity and index options expire. For any ticker you choose, the tool shows how prices have historically moved in the window around this expiration day: as a cumulative path, as a heatmap across all twelve months, and as a volatility and backtest breakdown. At a glance you can tell whether a recurring seasonal pattern emerges around the expiration.

The focus is the path around t=0 (the expiration day). The charts align every expiration date on this zero point and average the daily returns across the window from t−N to t+N (number of trading days freely adjustable). A rising curve before t=0 points to typical strength in the days ahead of expiration, a kink afterwards to weakness or calming. The volatility view displays the dispersion of returns per day — swings often widen toward expiration because hedges are adjusted in bulk. Particular attention goes to Triple Witching in March, June, September and December, when index futures, index options and single-stock futures expire simultaneously.

Methodologically, the tool computes the expiration as the 3rd Friday of the month via the calendar and adjusts it in an exchange-specific, holiday-aware way: if the 3rd Friday is an exchange holiday, expiration moves to the previous trading day — in the US this mainly affects Good Friday and Juneteenth (since 2022). Each expiration forms an event window; for every offset day the daily returns of all dates are averaged arithmetically. Returns follow the normalized methodology (daily return = Close[t] / Close[t−1] − 1), not absolute price differences. The data source is Yahoo Finance via Supabase, updated daily; a significance test and a backtest buying at t−N and selling at t+N round out the analysis.

The OPEX analysis is a statistical tool for context, not investment advice and not a forecast. A historically notable pattern around expiration is no guarantee it will repeat — markets change, and individual expiration dates can deviate strongly from the average. The analysis looks solely at past price data and ignores news, fundamentals and transaction costs. Use the patterns as additional context for your own research, not as a sole basis for decisions. Past results are not a reliable indicator of future performance.

Frequently Asked Questions

What is OPEX and the major expiration? OPEX (options expiration) is the monthly expiry of options. The major expiration falls on the 3rd Friday of every month — when many equity and index options expire. In March, June, September and December, index futures and single-stock futures expire at the same time: this is called Triple or Quadruple Witching.

Why is the 3rd Friday around OPEX often more volatile? Toward expiration, market makers and institutional investors must adjust or roll their hedges on expiring options. This bundled unwinding can raise trading volume and price swings around the 3rd Friday — especially during Triple Witching, when several expiration types coincide. The OPEX tool shows how pronounced these patterns were historically for the chosen ticker.

What happens when the 3rd Friday falls on a holiday? If the 3rd Friday is an exchange holiday, expiration moves to the previous trading day — in the US this mainly affects Good Friday and Juneteenth. The OPEX tool computes the expiration date in an exchange-specific, holiday-aware way via the relevant trading calendar, so the event window lands on the actual trading day.