Last Updated on June 19, 2022 by Quantified Trading
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.