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.