Day of Week Seasonality in S&P 500

Last Updated on November 22, 2020 by Oddmund Groette

Previously there has been a certain day-of-week seasonality in the S&P 500. Here is a summary of the average gain since 1. January 2010 until the 1st of July based on weekdays:

	Close to	Close to	Open to	Close %	Close %	Open %	Open %
	close	open	close	to low	to high	to low	to high
Mondays	0.05	0.08	-0.03	0.64	-0.63	0.68	-0.59
Tuesdays	0.14	-0.03	0.18	0.82	-0.59	0.65	-0.76
Wednesdays	0.05	0.04	0.01	0.71	-0.63	0.70	-0.64
Thursdays	0.04	0.06	-0.02	0.83	-0.64	0.85	-0.61
Fridays	-0.06	-0.01	-0.05	0.66	-0.65	0.71	-0.59

Explanation:

Close to close: Mondays are from close on Friday until close on Monday

Close to open: Mondays are today’s open based on close on Friday

Open to close: Mondays are average gain from open until Monday’s close

Close % to low: how far close is above today’s low

Close % to high: how far close is below today’s high

Open % to low: how far open is above today’s low

Open % to high: how far open is below today’s high

During this period the S&P has risen about 24%. And as you can see, the best days seem to be early in the week.

I’m just posting these numbers now so the readers can have a look at it. Later I’ll try to make some profitable strategies based on these numbers.