Options Expiration effect (OE)

The options expiration day and the preceding days are important dates for each market as option sellers and buyers strive to push the price in their favor when options expire, which often causes specific price moves.

As options do not expire on the same day each month, regular seasonal charts cannot measure this effect, as they do not consider the different days in which occur a holiday (for example Thanksgiving) which occur at different day each year.

In ForecastCycles there two types of OE strategies:

• OPT_WE: Options, Week of Expiration. In the week of the options expiration, it opens the position at Monday opening price and close it at the next Friday closing price.
• OPT_WAE: Options, Week After Expiration. In the week following the options expiration, it opens the position at Monday opening price and close it at the next Friday closing price.

Each stratetegy has two tactics:

• US_Stocks: US stocks options, that expire the 3rd Friday of each month.
• US_Stock_indices: US stock indices options expire the 3rd Friday of each quarter (Mar, Jun, Sep, Dec).