Bullish Options Expiration Week Strategy

Inspired by an article about historical bullishnesss during Options Expiration week. I did a simple test on this strategy for the past 3 years. Since options expiration is the 3rd Friday each month, so I would buy SPY on the 2nd Friday of each month, and sell SPY on the 3rd Friday of each month. The testing results are shown below, even though it would beat S&P buy and hold, it lost about 10% of initial investment of $10,000. I may further this research in the future. Stay tuned.

Investing $10000 on SPY During Option Expiration Week Each Month

Entry at 2nd Friday of Each Month	Exit at 3rd Friday of Each Month	P/L
12-Jan-2007; Buy 69 shares at $143.24	19-Jan-2007; Sell 69 shares at $142.82	-28.98
09-Feb-2007; Buy 69 shares at $143.94	16-Feb-2007; Sell 69 shares at $145.73	123.51
09-Mar-2007; Buy 71 shares at $140.78	16-Mar-2007; Sell 71 shares at $138.53	-159.75
20-Apr-2007; Buy 67 shares at $148.62	27-Apr-2007; Sell 67 shares at $149.53	60.97
11-May-2007; Buy 66 shares at $150.86	18-May-2007; Sell 66 shares at $152.62	116.16
08-Jun-2007; Buy 66 shares at $151.04	15-Jun-2007; Sell 66 shares at $153.07	133.98
13-Jul-2007; Buy 64 shares at $154.85	20-Jul-2007; Sell 64 shares at $153.5	-86.4
10-Aug-2007; Buy 69 shares at $144.71	17-Aug-2007; Sell 69 shares at $144.71	0
14-Sep-2007; Buy 67 shares at $148.9	21-Sep-2007; Sell 67 shares at $151.97	205.69
12-Oct-2007; Buy 63 shares at $156.33	19-Oct-2007; Sell 63 shares at $149.67	-419.58
09-Nov-2007; Buy 68 shares at $145.14	16-Nov-2007; Sell 68 shares at $145.79	44.2
14-Dec-2007; Buy 67 shares at $147.17	21-Dec-2007; Sell 67 shares at $148.13	64.32
11-Jan-2008; Buy 71 shares at $140.15	18-Jan-2008; Sell 71 shares at $132.06	-574.39
08-Feb-2008; Buy 75 shares at $133.07	15-Feb-2008; Sell 75 shares at $135.14	155.25
14-Mar-2008; Buy 77 shares at $129.61	28-Mar-2008; Sell 77 shares at $131.56	150.15
11-Apr-2008; Buy 74 shares at $133.38	18-Apr-2008; Sell 74 shares at $138.48	377.4
09-May-2008; Buy 71 shares at $138.9	16-May-2008; Sell 71 shares at $142.7	269.8
13-Jun-2008; Buy 73 shares at $136.15	20-Jun-2008; Sell 73 shares at $131.58	-333.61
18-Jul-2008; Buy 79 shares at $126.05	25-Jul-2008; Sell 79 shares at $125.48	-45.03
08-Aug-2008; Buy 77 shares at $129.42	15-Aug-2008; Sell 77 shares at $130.21	60.83
12-Sep-2008; Buy 79 shares at $126.09	19-Sep-2008; Sell 79 shares at $124.12	-155.63
10-Oct-2008; Buy 112 shares at $88.5	17-Oct-2008; Sell 112 shares at $93.21	527.52
14-Nov-2008; Buy 115 shares at $86.62	21-Nov-2008; Sell 115 shares at $79.52	-816.5
12-Dec-2008; Buy 112 shares at $88.99	19-Dec-2008; Sell 112 shares at $88.19	-89.6
09-Jan-2009; Buy 112 shares at $89.09	16-Jan-2009; Sell 112 shares at $85.06	-451.36
13-Feb-2009; Buy 120 shares at $82.76	20-Feb-2009; Sell 120 shares at $77.42	-640.8
13-Mar-2009; Buy 131 shares at $76.09	20-Mar-2009; Sell 131 shares at $76.71	81.22
10-Apr-2009; Buy 116 shares at $85.81	17-Apr-2009; Sell 116 shares at $87.08	147.32
08-May-2009; Buy 107 shares at $92.98	15-May-2009; Sell 107 shares at $88.71	-456.89
12-Jun-2009; Buy 105 shares at $95.08	19-Jun-2009; Sell 105 shares at $92.04	-319.2
10-Jul-2009; Buy 113 shares at $87.96	17-Jul-2009; Sell 113 shares at $94.13	697.21
14-Aug-2009; Buy 99 shares at $100.79	21-Aug-2009; Sell 99 shares at $102.97	215.82
11-Sep-2009; Buy 95 shares at $104.77	18-Sep-2009; Sell 95 shares at $106.72	185.25
09-Oct-2009; Buy 93 shares at $107.26	16-Oct-2009; Sell 93 shares at $108.89	151.59
13-Nov-2009; Buy 91 shares at $109.62	20-Nov-2009; Sell 91 shares at $109.43	-17.29
11-Dec-2009; Buy 90 shares at $111.11	18-Dec-2009; Sell 90 shares at $110.21	-81
08-Jan-2010; Buy 87 shares at $114.57	15-Jan-2010; Sell 87 shares at $113.64	-80.91
Total Profit=-$988.73; Win Percent=19/37; AverageWin=$198.32; AverageLose=$264.27;
Edge=(1+198.32/264.27)*(19/37) -1 = -0.10;
Granted, sample size is small, but Edge is neagtive, thus I will not bet on this strategy