The week after September expiration (i.e., the week after the third Friday of September) is historically a very negative week for the market. In fact, last year, that week saw a 180 point decline in $SPX, the largest point decline that we have seen in the 33 years that we have been using this indicator. It was not the largest percentage drop in a week for this system (that occurred in 2011).
On average over those 33 years, $SPX has dropped by 1% over the week in question. For most of the past three years, a 1% move in a week has not been unusual, although it was prior to that. In any case, in those 33 years, $SPX has dropped 26 times and risen 7 times in the week. There are also other studies that show the seasonally negative pattern often extends into October, but...
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