I have been very into options lately and today being such a crap day I was debating whether I should be getting out of some of my calls.

It occurred to me that we have two full weeks left until expiration and I decided to look into any trends in this regard.  What I basically found is that, going back the last 4 periods (April, May, June, July) the 2-weeks-before-op-ex Friday is a terrible time to sell.  And an opportune time to buy.

Here are my numbers, they are not very scientific but they should basically work.  All prices refer to the S&P and to the day's close price.

April 2 (1178) - April 16 (1192):  The peak was on Apr 15 at a high of 1213 just 1 day before expiration.  April 2 represented the lowest close from that point until expiration.

May 7 (1110)  - May 21 (1087): Kind of a weird period because it included the Flash Crash (just 1 day before the Friday I speak of) and the Euro bailout package the following Monday.  It also included an echo of the Flash Crash two weeks later, one day before op-ex.  So in this period it ended lower than the Friday in question, but most of the rest of the period was higher. The peak was May 13 at 1173, only 2.97% higher than the Friday close.

June 4 (1064) - June 18 (1117): Peak is actually on op-ex day and is a 4.9% gain from the Friday in question, which was the lowest close from that point until expiration.

July 2 (1022) - July 16 (1064): Peak is July 14 just 2 days before expiration at 1099 (a 7.5% gain from the Friday close).  And again the Friday in question was the lowest close.

So why is this?  I don't know. And will it hold up?  The past is not always predictive, but in this case I believe it will be.  I'm not saying I know when we will peak, but I don't think today is a good day to be selling, but a decent one to be buying.   For my target I took the average of the gains mentioned above.