The SPY (S&P 500 SPDR) left an unfilled opening gap up (a low above the previous session's close) on Friday's option expiration, and defied all historical probabilities and odds and gained another+0.57% on today's session. But leaving an unfilled opening gap up on option expiration and closing higher on the then following session didn't bode well for the markets performance over the course of the then following five sessions in the past.
Table I below shows all occurrences (since 1990) and the SPY's performance over the course of the then following 1 to 5 sessions, assumed one went long of a session where the SPY had closed higher on a session immediately following option expiration where the SPY had left an unfilled opening gap up on option expiration in the past.
+ no close below trigger day's close during period under review
- no close above trigger day's close during period under review
The market regularly closed slightly lower on the then following session (in this event on Tuesday, January 25) - but never up or down greater than +/- 1.0% - , but closed lower -1.0% three and four sessions later on 6 and 9 out of 20 occurrences (almost 50% of the time), but was never up 1.0%+ . Maximum gain one week later was +1.13%, with three occurrences posting a gain 1.0%+, but 8 occurrences with a loss of -1.0%+ .
Although the trend is up, at least historical probabilities and odds are tilt in favor of a short-term consolidation of recent gains over the course of the remainder of the week.