Seasonality Studies — bpleone / trade

🗓 Today —

DoW Avg Return

+0.18%

Best DoW historically

Month Avg Return

+1.42%

Mid-tier month (rank 7/12)

Cal Day Hit-Rate

62.4%

Up days on this date

Election Year

+8.4%

Cycle yr 4 May avg

Year × Month Heatmap — SPY

Lower

Higher Values = % monthly return

Day-of-Week Average Return

Avg daily % return by trading day, last 10 yrs

Month Average + Hit Rate

📅 OPEX Week Patterns

Day	Avg Return	Hit Rate	Notable
OPEX Monday	-0.18%	42%	Gamma unwind begins
OPEX Tuesday	+0.04%	51%	Quiet
OPEX Wednesday	+0.08%	54%	Pre-Fed if FOMC week
OPEX Thursday	-0.12%	44%	Last full-gamma day
OPEX Friday	-0.21%	38%	Pin risk & gamma flip
Mon after OPEX	+0.32%	68%	Reset rally — best DoW of the year

🪜 Intra-Month Effect (1st vs end)

Cumulative % return through the month, averaged across 120 months.

🇺🇸 Presidential Cycle — SPY Annual Return

Year of Cycle	Avg Return	Hit Rate	Notes
Year 1 — post-election	+6.8%	72%	Honeymoon
Year 2 — midterm	+3.4%	54%	Weakest — midterm chop
Year 3 — pre-election	+13.4%	88%	Strongest — Fed pivot bias
Year 4 — election ← current	+9.8%	68%	Bias up, vol elevated Sep-Oct

🎅 The Santa Claus Rally

Last 5 trading days of December + first 2 of January. 79.4% hit rate, +1.3% avg return since 1950.

The Stock Trader's Almanac rule: "If Santa Claus should fail to call, bears may come to Broad & Wall." A negative Santa window has preceded ~75% of recession years since 1950.

Other notable windows the desk tracks:
• Turn of the Month (last 4 + first 3 days) → +0.85% avg, 70% hit
• Tax Day Rally (April 15 ± 3) → -0.22% avg (refund spending myth busted)
• Sell-in-May (May-Oct vs Nov-Apr) → 1.8% vs 7.2% historical