Euro Stoxx 50 Trading Strategy | After Futures Expiration
The Euro Stoxx 50 has mixed performance the week after futures expiration.
Euro Stoxx 50 is a very popular trading vehicle. It’s one of the most traded futures contracts in the world. The contracts expire on the third Friday of the last month of each quarter: March, June. September, and December.
If you are not familiar with the Euro Stoxx 50 we recommend a primer on the index contract:
The expiration weeks in the US
We have previously covered the options expiration weeks in the USA:
Trading the week after futures expiration in Euro Stoxx 50
Let’s test the Euro Stoxx 50 and its performance in the week after expiration. We test the futures contracts – not the cash index. We use a 100% margin.
100 000 is invested in March 2000 and reinvested into the next quarterly futures expiration week. Thus, there are four trades a year. We invest at the close of the Friday when the futures contracts expire, and we hold for one week and sell at the close the next Friday. No commissions or slippage.
This is the equity chart of Euro Stoxx 50:
The average gain is a negative 0.19% and the win ratio is 48%.
If we look at the performance for each separate month, we get these results:
December and March are pretty good, while June and September are very negative. Keep in mind that the Santa Claus Rally might influence the performance in December.
FAQ:
How does the Euro Stoxx 50 perform the week after futures expiration?
The performance of Euro Stoxx 50 in the week after futures expiration is tested, using quarterly futures contracts. The strategy involves investing at the close of the Friday when contracts expire, holding for one week, and selling at the close the next Friday.
What is the investment strategy for testing Euro Stoxx 50 performance?
An investment of 100,000 EUR is made in March 2000 and reinvested in the next quarterly futures expiration week. This results in four trades a year, with investments made at the close of the expiring Friday, and holdings sold at the close the following Friday. No commissions or slippage are considered.
What factors influence Euro Stoxx 50 performance after expiration?
The performance may be influenced by factors such as the Santa Claus Rally in December. Traders should be aware of these seasonal trends when considering investments.