Jan

22

Over the past 24 months (through Dec 2011), checked SPY returns for options expiry Fridays ("0"), as well as the individual day's returns counting from 5 days prior to expiry to expiry +5. Here are daily (close-close) returns compared to zero:

One-Sample T: -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5

Test of mu = 0 vs not = 0

Var      N      Mean    StDev  SE Mean     95% CI             T
-5        24   0.00120  0.0111  0.0022  (-0.0034, 0.0058)   0.53
-4        24  -0.00106  0.0086  0.0017  (-0.0047, 0.0026)  -0.60
-3        24   0.00179  0.0108  0.0022  (-0.0027, 0.0063)   0.81
-2        24  -0.00075  0.0092  0.0018  (-0.0046, 0.0031)  -0.40
-1        24  -0.00201  0.0141  0.0028  (-0.0079, 0.0039)  -0.69
0         24  -0.00090  0.0099  0.0020  (-0.0050, 0.0032)  -0.45
1         24  -0.00089  0.0102  0.0020  (-0.0052, 0.0034)  -0.43
2         24   0.00064  0.0137  0.0028  (-0.0051, 0.0064)   0.23
3         24  -0.00087  0.0113  0.0023  (-0.0056, 0.0039)  -0.38
4         24   0.00120  0.0156  0.0031  (-0.0054, 0.0078)   0.38
5         24   0.00396  0.0099  0.0020  (-0.0002, 0.0081)   1.95
 

By chance alone you might expect 1/20 to test significantly; in this case 1/11 did: only day +5 approached (+0.4%, T=1.95)


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