Multiple Comparisons of Multiple Expiry, from Kim Zussman
Over the past 24 months (through Dec 2011), checked SPY returns for options expiry Fridays ("0"), as well as the individual day's returns counting from 5 days prior to expiry to expiry +5. Here are daily (close-close) returns compared to zero:
One-Sample T: -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5
Test of mu = 0 vs not = 0
Var N Mean StDev SE Mean 95% CI T
-5 24 0.00120 0.0111 0.0022 (-0.0034, 0.0058) 0.53
-4 24 -0.00106 0.0086 0.0017 (-0.0047, 0.0026) -0.60
-3 24 0.00179 0.0108 0.0022 (-0.0027, 0.0063) 0.81
-2 24 -0.00075 0.0092 0.0018 (-0.0046, 0.0031) -0.40
-1 24 -0.00201 0.0141 0.0028 (-0.0079, 0.0039) -0.69
0 24 -0.00090 0.0099 0.0020 (-0.0050, 0.0032) -0.45
1 24 -0.00089 0.0102 0.0020 (-0.0052, 0.0034) -0.43
2 24 0.00064 0.0137 0.0028 (-0.0051, 0.0064) 0.23
3 24 -0.00087 0.0113 0.0023 (-0.0056, 0.0039) -0.38
4 24 0.00120 0.0156 0.0031 (-0.0054, 0.0078) 0.38
5 24 0.00396 0.0099 0.0020 (-0.0002, 0.0081) 1.95
By chance alone you might expect 1/20 to test significantly; in this case 1/11 did: only day +5 approached (+0.4%, T=1.95)