Monthly OpEx
June 2025 - SPX & SPX Index Options Historical Performance
Saw a great note by
that links to a paper looking at the monthly OpEx settlement window:Some charts from the paper:
The time period in the paper is from 2003 to Dec 2021, performance since:
Overnight performance has drifted lower ever since May 2022, intraday still does have bearish bias.
Updated historical performance for OpEx - SPX Options:
(All option $payoffs on $200k notional position size)
1-DTE SPX Options:
Overnight:
RTH Session:
We have the ‘TACO’ pump overnight going into morning settlement right now as risks of US participation have faded. We had polymarket odds move faster than ES futures last couple of days, so makes sense to track any sharp changes relative to futures through this link: US military action against Iran before July?
Have a great Friday!