Post-Fed anxiety has the SPX down 1.2% at last check
It's
quadruple-witching Friday, when stock index futures, stock index options, stock options, and individual stock futures all expire. While standard options expiration occurs on the third Friday of every month, quadruple witching happens just four times a year -- in March, June, September, and December. Today,
the U.S. equities markets are getting walloped on
post-Fed anxiety, so Schaeffer's Senior Quantitative Analyst Rocky White ran the numbers to see if this negative price action on a historically volatile trading day could mean anything going forward.
Since 2009, there have been 26 other quadruple-witching expirations. Below is a chart summarizing the
S&P 500 Index (SPX) returns on those days, as well as the broad-market barometer's returns over five subsequent time frames. On average, the SPX posts modest gains in the wake of a quadruple-witching expiration, with the greatest return of 1.9% coming one month out.
Drilling down, there have been five other instances when the S&P 500 fell significantly on quadruple-witching Friday. Today's drop could be a short-term bullish indicator, considering in the five other times this has occurred, the SPX has gone on to average a one-month gain of 4.3%.
