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Wednesday, August 1, 2012

Options Expiration Friday Range

I was curious as to how much the SPY fluctuated every third Friday of the month (options expiration Friday). Here's a graph of SPY range (high minus low) over the opening price. The percentage is shown on the y, and the x has the month.

For reference, the average range percentage over this period is 1.3%. So it doesn't look like options expiration has recently caused that much more volatility than on other days, at least for the SPY itself. (Sorry, I didn't get July's expiration range in there, albeit ~.5%)

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