I found the following interesting article: http://www.cxoadvisory.com/calendar-effects/option-expiration-week-stock-return-drill-down/ Summary: The average weekly return of 28 large-cap stocks with actively traded options during option expiration week (other weeks) is 0.45% (0.12%) over the period 1996-2008. I know that there are some advisory services that use this statistics to their advantage: they buy calls on some indexes or widely traded stocks on Friday before the expiration week and hold them 1-3 days. What do you think? Can this strategy work? It seems that statistically it has better probability of success than just buying options at random times.