The Best & Worst Performing Weekdays in the Currency Markets, Indices & Implied Volatility Indices

Ever wondered which weekdays are the best days and worst days for the daily returns of exchange rates of currencies, indices and implied volatilities in the financial markets historically? In this post we conducted a detailed analysis of Developed market currencies exchange rates performance such as USD exchange rate to Euro, Pound Sterling, Japanese Yen, Swiss Franc, Australian Dollar, New Zealand Kiwi, Canadian Dollar, Norwegian Krone, Danish Krone and Swedish Krona and Emerging market currencies exchange rates performances including USD exchange rate to Brazilian Real, Mexican Peso, South African Rand, Turkish Lira, Chinese Renminbi, Indian Rupee, Russian Ruble, Polish Zloty, Korean Won and Taiwan Dollar to determine the best and worst weekday of USD performance historically for the period of the beginning of 2008 to 2020 calendar year end. We also analyzed the daily returns for market indices such as S&P 500, NASDAQ 100, Dow Jones Industrial Average, Russell 2000, SPDR Gold Shares and United States Oil Fund as well as Implied Volatility Indices such as CBOE Market Volatility Index, NASDAQ-100 Volatility Index, CBOE DJIA Volatility Index, CBOE Russell 2000 Volatility Index, CBOE Gold Volatility Index, CBOE Crude Oil ETF Volatility Index, VIX Volatility Index and CBOE Skew Index to determine on which days of the week these markets advance the most and on which days they retreat the most.


To perform this analysis, we collected the daily returns of all these indices and exchange rates (with USD as the base currency) and determined the average of the daily returns on each day of the week on an annual basis since 2008 to 2020 calendar year end. Hence, we averaged the return of the indicated markets on Mondays, Tuesdays, Wednesdays, Thursdays, and Fridays for each time period. Consequently, in each market, we determined the day (Mon, Tues, Wed, Thurs, Fri) on which the market advanced the most or the least to find the best and worst performing days of the week for the returns.


The following tables display the best and worst return days for each market index annually and historically since 2008 up until Feb 22nd, 2021. Overall,


- Tuesdays have been the best day of the week for SPX, NDX, DJI, RUT daily returns; and

- Fridays have been the best day for Gold daily returns; and

- Wednesdays have been the best day for USO daily returns.


On the flip side,


- Mondays are the worst days for SPX, DJI, RUT, USO daily returns; and

- Fridays are the worst days for NDX; and

- Thursdays are the worst day for GLD daily returns over a 12-year historical period.


It is worth noting that given the ebbs and flows of the market and the periods of recession and market upturn, the best and worst performing days for each year historically would be different from the overall 12-year historical period findings as displayed below.


Collectively, across these market indices, Tuesdays have been the best days and Mondays the worst days for daily returns historically.

Market Indices Best & Worst Performing Days
Market Indices Best & Worst Performing Days

The following tables display the best and worst return days for each market implied volatility index annually and historically since 2008 up until Feb 22nd, 2021. Overall,


- Fridays have been the best day of the week for VIX, VOLQ, VXD, RVX, GVZ, OVX daily returns; and

- Tuesdays have been the best day for VVIX and SKEWX daily returns.


On the flip side,


- Mondays have been the worst days for VIX, VXD, RVX, GVZ, OVX, VVIX daily returns; and

- Thursdays have been the worst day for VOLQ; and

- Fridays have been the worst day for SKEWX daily returns.


Collectively, across these implied volatility market indices, Fridays have been the best days and Mondays the worst days for daily returns historically.

Implied Volatility Indices Best & Worst Performing Days
Implied Volatility Indices Best & Worst Performing Days

Looking at the Developed Market exchange rates with USD as the base currency, the best and worst performing days for daily returns of these currencies’ exchange rates are tabulated below. Overall,


- Fridays have been the best day of the week for USD performance relative to EUR, GBP, AUD, CAD, DKK, SEK; and

- Tuesdays have been the best day for DXY, the dollar index return, USD performance relative to JPY, CHF; and

- Wednesdays have been the best day for USD performance relative to NZD; and

- Mondays have been the best days for USD performance relative to NOK.


On the flip side,


- Thursdays have been the worst day for USD performance relative to EUR, CHF, AUD, NZD, DKK; and

- Wednesdays have been the worst day for USD performance relative to GBP, CAD, NOK, and SEK; and

- Mondays have been the worst day for USD performance relative to JPY.


Collectively, across these Developed Market Currencies, Fridays have been the best days and Thursdays the worst days for USD performance relative to Developed Market Currencies historically.


Developed Market Currency Exchange Rate Best & Worst Days
Developed Market Currency Exchange Rates Best & Worst Days

Looking at the Emerging Markets exchange rates with USD as the base currency, the best and worst performing days for daily returns of these currencies’ exchange rates are tabulated below. Overall,


- Mondays have been the best day of the week for USD performance relative to BRL, MXN, ZAR, TRY, CNY, INR, RUB, PLN, TWD; and

- Thursdays have been the best day for USD performance relative to KRW.


On the flip side,


- Tuesdays have been the worst day for USD performance relative to BRL, ZAR, CNY; and

- Fridays have been the worst day for USD performance relative to MXN, INR, PLN; and

- Thursdays have been the worst day for USD performance relative to TRY; and

- Wednesdays have been the worst day for USD performance relative to RUB, KRW, TWD.


Collectively, across these Emerging Market Currencies, Mondays have been the best days and Tuesdays the worst days for USD performance relative to Emerging Market Currencies historically.


Emerging Market Currency Exchange Rates Best & Worst Days
Emerging Market Currency Exchange Rates Best & Worst Days

In conclusion, across the market indices, Tuesdays have been the best days and Mondays have been the worst days for daily returns historically over the last twelve years;


Across the implied volatility market indices, Fridays have been the best days and Mondays have been the worst days for daily returns historically over the last twelve years;


Across the Developed Market Currencies, Fridays have been the best days and Thursdays have been the worst days for USD performance relative to Developed Market Currencies historically over the last twelve years; and finally,


Across the Emerging Market Currencies, Mondays have been the best days and Tuesdays have been the worst days for USD performance relative to Emerging Market Currencies historically over the last twelve years.


Sources:

Modelyze Investments

Refinitiv

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