Since this week is a Triple Witch Week here is some background going back to the start of 2010.
If you bought the S&P 500 Index over the past year and 9 months on a Witching date and sold the following market open, you made a 1% or greater profit 15% of the time. Likewise, you lost 1% or more 20% of time. And yes even though there have been positive movements 70% of the time, overall, if you bought and sold on every witching date from January of 2010 to August of 2011, you lost 0.02%. This doesn't count for those pit traders and electronic traders who produce positive Alpha's but it does count for over 90% of Jim Cramer's audience seeing as to they perform in markets by means of a hobby and hobbies cost money.
Here is a chart on the percent change in each indicator over the Thursday before, the Friday of, and the following market open after a witching date.
Here is a chart of the performance with an Index = 100 in January of 2010.
