Expiration Study for August:

Average % Changes For S&P 500 Cash

Total Months Tested For Daily Stats: 38

Study Expiration Date Range : 8/17/1984 - 8/20/2021
Overall Expiration Date Range: 1/20/1984 - 7/15/2022

DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday -0.00946 -0.00614 -0.06999 17 21 38

Monday 0.23764 0.24131 0.24741 27 11 38

Tuesday -0.01041 -0.00615 0.06490 19 19 38
Wednesday -0.06029 -0.05535 0.07284 22 16 38
Thursday -0.14625 -0.14006 0.11269 23 15 38
Exp. Friday -0.10097 -0.09545 0.02328 20 18 38

PrevFri-Mon 0.22816 0.23628 0.22661 21 17 38

Day AfterExp -0.02953 -0.02332 0.05943 20 18 38

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week -0.08071 -0.06077 0.25961 20 18 38
All Exp Week 0.23374 0.26299 0.51546 273 190 463
NonExpire 0.13335 0.15953 0.26365 874 672 1546
All Weeks 0.15648 0.18337 0.31331 1147 862 2009

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"Previous Friday" uses all Friday dates prior to expiration week
"Monday" - "Thursday" uses the specified days during expiration week
"Exp Friday" uses all Friday expiration days only

"Prev Fri-Mon" uses the combined % change for the Monday of expiration
week and the last trading day in the previous week.
Weekly stats use the complete expiration week regardless of the number
of days in the week or what day of the week is expiration day.
"Study Exp Week" uses all August expiration weeks in the date range
"All Exp Week" uses all expiration weeks in the overall date range
"NonExpire" uses all non-expiration weeks in the overall date range
"All Weeks" uses all weeks in the overall date range
Expiration Study for August:
Average % Changes For NASDAQ Composite

Total Months Tested For Daily Stats: 38

Study Expiration Date Range : 8/17/1984 - 8/20/2021
Overall Expiration Date Range: 1/20/1984 - 7/15/2022

DAILY STATS
Day (Period) Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
PreviousFriday 0.00992 0.01409 -0.00391 19 19 38

Monday 0.32157 0.32569 0.30783 27 11 38

Tuesday 0.06091 0.06669 0.02213 19 19 38
Wednesday 0.12129 0.12931 0.19987 22 16 38
Thursday -0.19478 -0.18616 0.10671 22 16 38
Exp. Friday -0.10040 -0.09331 0.04510 22 16 38

PrevFri-Mon 0.33152 0.34266 0.19387 24 14 38

Day AfterExp -0.09010 -0.08239 -0.03677 16 22 38

WEEKLY STATS
Period Geo Avg Ari Avg Median Num Up Num Dn Total
-------------- -------- -------- -------- ------ ------ ------
Study Exp Week 0.20797 0.24521 0.19686 20 18 38
All Exp Week 0.15754 0.19885 0.33505 259 204 463
NonExpire 0.19153 0.23494 0.33685 883 663 1546
All Weeks 0.18369 0.22662 0.33669 1142 867 2009

----------------------------------------------------------------------
"Previous Friday" uses all Friday dates prior to expiration week
"Monday" - "Thursday" uses the specified days during expiration week
"Exp Friday" uses all Friday expiration days only

"Prev Fri-Mon" uses the combined % change for the Monday of expiration
week and the last trading day in the previous week.
Weekly stats use the complete expiration week regardless of the number
of days in the week or what day of the week is expiration day.
"Study Exp Week" uses all August expiration weeks in the date range
"All Exp Week" uses all expiration weeks in the overall date range
"NonExpire" uses all non-expiration weeks in the overall date range
"All Weeks" uses all weeks in the overall date range