Since 1950, Holy Thursday has seen the S&P 500 up on 36 out of 55 occasions for an average return of 0.25 vs. an average daily return during this period of 0.04%. The worst day before Good Friday was a -2% in 1997 but the second worst was only a - 0.52% in 1989. Interestingly, Easter Monday gives it all back: There have only been 21 up "day afters" out of 55 with an average return of -0.23%