September is usually a down month for the U.S. indices. The later part of the month is more so, especially, the week after the September options expiry on the third Friday, which is a triple-witch-day (or quadruple including single stock futures).

The odds for first half of the week following expiry Friday to be down are high. Since 2000, S&P 500 has been down on Monday following the expiry Friday, 80% of time with average loss being -1.0%. The odds for a down Tuesday and Wednesday are 73%.

Trade Possibilities

This seasonal tendency of S&P 500 can be traded profitably. Since 2000, the trade shorting the S&P 500 at the market close price on option expiry Friday and covering it on next Thursday would have worked 13 out of 15 years with net average gains of +1.6% per trade. The trade using SPY, the Select Sector SPDR ETF, would have been successful 12 out of 15 years (due to the vagaries of ETFs). The average return on SPY would have been +1.4%

Below are the entry and exit date and prices for the two (the index and SPY).

			S&P 500				SPY
Entry Date	Exit Date		Entry	Exit	Net		Entry	Exit	Net
15-Sep-00	21-Sep-00		1465.81	1449.05	+1.1%		146.09	145.19	+0.6%
20-Sep-02	26-Sep-02		845.39	854.95	-1.1%		84.35	85.73	-1.6%
19-Sep-03	25-Sep-03		1036.3	1003.27	+3.2%		103.67	100.28	+3.3%
17-Sep-04	23-Sep-04		1128.55	1108.36	+1.8%		113.15	110.95	+1.9%
16-Sep-05	22-Sep-05		1237.91	1214.62	+1.9%		123.50	121.34	+1.7%
15-Sep-06	21-Sep-06		1319.87	1318.03	+0.1%		131.96	131.87	+0.1%
21-Sep-07	27-Sep-07		1525.75	1531.38	-0.4%		151.97	153.09	-0.7%
19-Sep-08	25-Sep-08		1255.08	1209.18	+3.7%		124.12	120.79	+2.7%
18-Sep-09	24-Sep-09		1068.3	1050.78	+1.6%		106.72	105.01	+1.6%
17-Sep-10	23-Sep-10		1125.59	1124.83	+0.1%		112.49	112.50	-0.0%
16-Sep-11	22-Sep-11		1216.01	1129.56	+7.1%		121.52	112.86	+7.1%
21-Sep-12	27-Sep-12		1460.15	1447.15	+0.9%		145.87	144.64	+0.8%
20-Sep-13	26-Sep-13		1709.91	1698.67	+0.7%		170.72	169.69	+0.6%
19-Sep-14	25-Sep-14		2010.4	1965.99	+2.2%		200.70	196.34	+2.2%
18-Sep-15	24-Sep-15		1958.03	1932.24	+1.3%		195.45	192.90	+1.3%