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Forward look into the March Expiration

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The month of March has the potential to mark important turns in the markets. We can simply cite the March 2000 high and the March 2003 low as evidence for that statement. One of the reasons may be attributed to the expiration of the March SP futures contract. I was curious to see if there was any bias leading up to the expiration and then if there was a shift afterward. In fact, there was.

The March contract expires on the open of the third Friday of March. I looked at the SP futures performance from the close of February leading up to the open on expiration Friday and then compared that to the performance from the open on expiration Friday to the close of March. The results were bullish coming into expiry (86% resulted in gains) and bearish after expiry (67% closing lower). As with any statistic I provide, past performance is certainly no guarantee of future results. Click here to view the detailed output.

No positions in stocks mentioned.

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