Option-expiration week

Option-expiration week is the calendar around listed equity and index option expirations, when hedges are rolled and positions are closed. Some studies look for a repeatable return or volume pattern in that week. A careful rule treats it as a known liquidity event: adjust size, expect pin risk near popular strikes, and do not assume a directional edge without a prewritten test.

Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.

Rules

Mark standard monthly expiration on the exchange calendar. A directional version, if tested, is long or short the index only during a precommitted part of expiration week and flat otherwise. A risk version reduces position size into expiration and avoids new short-option risk that expires inside the week. Do not add a strike 'because of pinning' after the move.

Where AI fits

AI can tag expiration weeks, including the shift when monthly expiration dates changed, and can keep a directional test separate from a risk-reduction rule. It can list strikes where open interest is large without turning that list into a trade. Date errors around the calendar change will fake a pattern.

Markets

Equity indexes and stocks with listed options. Futures expiration is a different calendar.

Timeframes

The week of monthly option expiration.

Risks

Expiration effects are crowded, small, and unstable. Pin stories are easy to see after the close and hard to trade at the open. Short-dated options add gamma risk. A backtest that ignores the 2015 date-rule change, or later weekly expirations, mixes different markets.

← Back to all strategies