Sunday, March 23, 2014

Quadruple Witching

I wrote about the SPX Settlement Risk, not realising that it happens to be the Quadruple Witching.

The third Friday of March, June, September and December when Index Futures, Options on Index Futures, Single Stock Futures and Stock Options expired.

This often resulted in higher volatility (price will move up/down in a bigger move), as can be seen in SPX first 5 min trading on 21-Mar-14.  SPX gap up about 25 points and move down 15 points all within the 5 minutes of trading.

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