The basics of quad and triple witching.

“Witching” occurs when contracts expire.  The contracts that expire include: futures, single stock futures, stock index options, and single stock futures. Witching occurs on the 3rd Friday (non holiday) of March, June, September, and December.

These times of year bring in extra participants and can alter the dynamics of the market (I can only speak from the futures side).  Volume is being spread across front and back months and creates an arbitrage opportunity.  Volume can be misleading (for the record I think volume has been misleading for a few years) during these times of year. The market tends to find the right strike prices.

For more information see below.

http://www.onechicago.com/?page_id=22
http://www.888options.com/help/faq/expiration.jsp
http://www.cmegroup.com/

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The services and materials provided should not to be interpreted as investment advice, an endorsement of any security, commodity, future, or personal investment advice, or an offer to buy, sell, hold or trade futures, options or commodity interests or a recommendation to buy, sell, hold or trade futures, options or commodity interests. You assume the entire cost and risk of investing and are solely responsible for any and all gains and losses, financial, emotional, or otherwise, experienced, suffered, or incurred by you.

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