Index vol & positioning intelligenceSPX on the first session after each monthly expiration, Sep 18, 2024 to Sep 18, 2026: the quarterly months against the serial months, both against the average Monday, and what the rest of each week did.
SPX monthly options settle on the morning of the third Friday. This is the close-to-close return of the first session after each one, Sep 2024 through Aug 2026. Quarterly months (March, June, September, December) are in blue, the serial months in orange. Two of the sessions are Tuesdays because the Monday was a market holiday, and two expirations settled on a Thursday because the Friday was a holiday. The dashed line is the average Monday over the same window, excluding these 24.
| Expiration | Type | Settled | Next session | Expiration day | Next session | Tue to Fri after | Full week after | Sessions since FOMC |
|---|---|---|---|---|---|---|---|---|
| Sep 2024 | quarterly | 2024-09-20 | 2024-09-23 | -0.19% | +0.28% | +0.34% | +0.62% | 3 |
| Oct 2024 | serial | 2024-10-18 | 2024-10-21 | +0.40% | -0.18% | -0.78% | -0.96% | 23 |
| Nov 2024 | serial | 2024-11-15 | 2024-11-18 | -1.32% | +0.39% | +1.28% | +1.68% | 7 |
| Dec 2024 | quarterly | 2024-12-20 | 2024-12-23 | +1.09% | +0.73% | -1.12% | -0.40% | 3 |
| Jan 2025 | serial | 2025-01-17 | 2025-01-21 Tue | +1.00% | +0.88% | -0.61% | +0.26% | 20 |
| Feb 2025 | serial | 2025-02-21 | 2025-02-24 | -1.71% | -0.50% | -0.48% | -0.98% | 17 |
| Mar 2025 | quarterly | 2025-03-21 | 2025-03-24 | +0.08% | +1.76% | -3.24% | -1.53% | 3 |
| Apr 2025 | serial | 2025-04-17 Thu | 2025-04-21 | +0.13% | -2.36% | +7.12% | +4.59% | 22 |
| May 2025 | serial | 2025-05-16 | 2025-05-19 | +0.70% | +0.09% | -2.70% | -2.61% | 8 |
| Jun 2025 | quarterly | 2025-06-20 | 2025-06-23 | -0.22% | +0.96% | +2.45% | +3.44% | 2 |
| Jul 2025 | serial | 2025-07-18 | 2025-07-21 | -0.01% | +0.14% | +1.32% | +1.46% | 21 |
| Aug 2025 | serial | 2025-08-15 | 2025-08-18 | -0.29% | -0.01% | +0.28% | +0.27% | 13 |
| Sep 2025 | quarterly | 2025-09-19 | 2025-09-22 | +0.49% | +0.44% | -0.75% | -0.31% | 3 |
| Oct 2025 | serial | 2025-10-17 | 2025-10-20 | +0.53% | +1.07% | +0.84% | +1.92% | 23 |
| Nov 2025 | serial | 2025-11-21 | 2025-11-24 | +0.98% | +1.55% | +1.60% | +3.17% | 18 |
| Dec 2025 | quarterly | 2025-12-19 | 2025-12-22 | +0.88% | +0.64% | +0.40% | +1.04% | 8 |
| Jan 2026 | serial | 2026-01-16 | 2026-01-20 Tue | -0.06% | -2.06% | +2.26% | +0.15% | 26 |
| Feb 2026 | serial | 2026-02-20 | 2026-02-23 | +0.69% | -1.04% | +0.60% | -0.44% | 17 |
| Mar 2026 | quarterly | 2026-03-20 | 2026-03-23 | -1.51% | +1.15% | -3.22% | -2.12% | 3 |
| Apr 2026 | serial | 2026-04-17 | 2026-04-20 | +1.20% | -0.24% | +0.79% | +0.55% | 22 |
| May 2026 | serial | 2026-05-15 | 2026-05-18 | -1.24% | -0.07% | +0.95% | +0.88% | 13 |
| Jun 2026 | quarterly | 2026-06-18 Thu | 2026-06-22 | +1.08% | -0.37% | -1.59% | -1.95% | 2 |
| Jul 2026 | serial | 2026-07-17 | 2026-07-20 | -1.01% | -0.19% | -0.42% | -0.61% | 21 |
| Aug 2026 | serial | 2026-08-21 | 2026-08-24 | +0.43% | -0.28% | +0.77% | +0.49% | 18 |
The average session in this window returned +0.07% and was up 55% of the time. The average Monday, excluding the 24 post-expiration sessions, returned +0.17% and was up 66% of the time. The session after a quarterly expiration averaged +0.70% with 7 of 8 up. The session after a serial expiration averaged -0.18% with 6 of 16 up, below the average Monday and below the average session.
| Group | Sessions | Mean | Median | Up | Std devpct pts | Best | Worst |
|---|---|---|---|---|---|---|---|
| All sessions | 502 | +0.07% | +0.09% | 55% | 1.01 | +9.52% | -5.97% |
| All Mondays | 96 | +0.18% | +0.18% | 64% | 0.85 | +3.26% | -2.70% |
| Mondays not after an expiration | 74 | +0.17% | +0.20% | 66% | 0.85 | +3.26% | -2.70% |
| After any monthly expiration | 24 | +0.12% | +0.11% | 54% | 0.96 | +1.76% | -2.36% |
| After a serial expiration | 16 | -0.18% | -0.13% | 38% | 0.98 | +1.55% | -2.36% |
| After a quarterly expiration | 8 | +0.70% | +0.69% | 88% | 0.59 | +1.76% | -0.37% |
| Weekday, all sessions | Sessions | Mean | Median | Up |
|---|---|---|---|---|
| Monday | 96 | +0.18% | +0.18% | 64% |
| Tuesday | 104 | +0.03% | -0.06% | 49% |
| Wednesday | 103 | +0.20% | +0.15% | 58% |
| Thursday | 99 | -0.07% | +0.01% | 52% |
| Friday | 100 | +0.00% | +0.10% | 55% |
For each of the 8 quarterly expirations, the Monday's return sits next to the return from that Monday's close to the Friday close. The four sessions after the Monday averaged -0.84% and were up 3 of 8 times. In 5 of the 8 weeks the Tuesday-to-Friday loss exceeded the Monday gain. Measured from the expiration close to the following Friday close, the week after a quarterly expiration averaged -0.15% and was up 3 of 8 times; the week after a serial expiration averaged +0.61% and was up 11 of 16.
7 of the 8 quarterly Mondays came two or three sessions after an FOMC decision. The March, June, September and December meetings sit in expiration week. Post-FOMC drift and post-expiration drift cannot be separated in this sample.
The quarterly expiration close is also the S&P, Nasdaq and Russell rebalance close and the start of quarter-end week. Same Monday, three explanations.
Eight observations. A bootstrap on the mean against any benchmark clears at about 3%; the 7-of-8 hit rate does not clear against a Monday base rate of 66%. The quarterly-versus-serial split is one of three month-of-quarter cuts, and adjusting for that choice moves the mean's p-value to about 9%.
The window is a bull market, +35.8% over two years, with 55% of sessions up. Most cuts of it are positive. The serial result depends on its holiday cases: excluding the two Tuesday sessions the serial mean is -0.12%, and excluding the Thursday-settled April 2025 event as well it turns slightly positive.
S&P 500 cash index daily closes, Sep 18, 2024 to Sep 18, 2026 (502 sessions), from public index data and cross-checked against our own intraday record on the most recent sessions. Sessions after Sep 18, 2026 are not in the sample.
Third Friday of each calendar month. When that Friday is a market holiday the expiration settles on the prior trading day. The post-expiration session is the first trading session after the third Friday; when the Monday is a market holiday it is the Tuesday, and the table marks those.
Index vol & positioning intelligence · built Sep 21, 2026 · volsignals.com · @VolSignals