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S&P 500 down 25 of 31 during week after September quarterly options expiration, average loss 0.94%

The week after September options expiration week, next week, has a dreadful history of declines most notably since 1990. The week after September quarterly options expiration week has been a nearly constant source of pain with only a few meaningful exceptions over the past 31 years. Substantial and across the board gains have occurred just four times: 1998, 2001, 2010 and 2016 while many more weeks were hit with sizable losses.

Full stats are in the above sea-of-red table. Average losses since 1990 are even worse; DJIA –1.03%, S&P 500 –0.94%, NASDAQ –0.88% and a sizable –1.50% for Russell 2000. End-of-Q3 portfolio restructuring is the most likely explanation for this trend as managers trim summer holdings and position for the fourth quarter.

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