reading 25 years of daily bars…

opexality — does the market behave differently around options expiry?

Listed US options settle on the third Friday of every month. This page cuts the last twenty-five years into those expiry cycles and measures each part of one against the others — the week after an expiry, the middle of the cycle, the week before, the run-up, and expiry day itself. The measure is log basis points (100 bp = 1 per cent) and every figure is gross of commission, spread and tax. Quarterly witching — March, June, September and December, when four kinds of contract expire at once — is offered on its own rather than blended into an average. The page opens with expiry day in the middle of every chart, drawing the ten sessions either side of it. Each tick states the session offset and, under it, how many calendar days that offset really is — measured off this instrument's own tape, because a session is not a day: the fifth session before an expiry is seven calendar days back, and the first one after is three or four, since it is a Monday. The bottom pane asks how big the move is at each point, as a multiple of an ordinary session, against two named baselines. The expiry dates are read from a real US equity session calendar, so the seven that moved to a Thursday are moved here too, and listed. The number of readings and the number chance alone puts past the line are printed beside every answer. You pick the stretch of history; this page reports its arithmetic and never ranks one window against another. Every ticker on the /robot board is here, grouped by the hours it trades — futures, US shares, foreign listings, currencies and crypto each state their own day boundary, because an "open", a "close" and a "day" are different things in each.

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Instrument Cut Cycles Counted Measure Compared with Window
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Which part of the options-expiry cycle goes up, and which goes down? each offset’s average · below it the same offsets split into open-hours and between-sessions · below that the running total across the cycle · below that how BIG the move is, against an ordinary session
Drawn
Which instruments ran hot in which part of the expiry cycle? one row an instrument, one column a part of the cycle · red is hot for that row, blue is cold · click a cell to jump to that instrument, double-click to sort by the picked column
Every part of the expiry cycle — and what doing the obvious thing paid over the same stretch … …
Effects that already have a name … These are published calendar patterns with known mechanics. The third Friday is the anchor this whole page is built on; the turn of the month drifts against it from cycle to cycle, so it is scored separately here — a period that lands on one is read as that effect rather than as a discovery.
Every instrument on the board — its own best and worst part of the expiry cycle … Grouped by the hours each instrument trades, because an "open", a "close" and a "day" mean different things in each group — every group states its own day boundary in its header. Depth runs from about 25 years to a few months, so a deep row and a shallow row are never comparable in one column and every row prints its own dates and count. A ticker that is on the board but has no daily tape in the house stores yet is listed with every figure absent, never zero. Sort any column.
Machine-readable text dump — every number on this page, as plain fixed-width text 
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