Breaking Down Quadruple Witching Fridays

Quadruple witching happens every March, June, September, and December

Managing Editor
Jun 14, 2018 at 4:46 PM
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Another quadruple witching Friday is among us -- the second of four this year -- and this one comes on a particularly exciting week, just after a U.S.-North Korea summit and a big Fed meeting. So, with the simultaneous expiration of several options and futures contracts on deck, here's what you might expect on Wall Street.

As alluded to above, quadruple witching Fridays happen just four times per calendar year, on the third Friday of every March, June, September, and December. The "quadruple" represents the simultaneous expiration of the following: index futures, index options, stock futures, and stock options.

The "hype" around these Fridays usually centers on trading volume and intraday volatility. Ahead of the expiration of so many contracts, the stock market tends to see more action than usual, as traders roll or close positions in the eleventh hour. As such, it's thought that the elevated volume could exacerbate underlying stock market trends, but quadruple witching doesn't necessarily result in more close-to-close volatility than usual.

As for the levels to watch tomorrow, as Schaeffer's Senior V.P. of Research Todd Salamone noted earlier this week, heavy call open interest at the overhead SPDR S&P 500 ETF Trust (SPY) 280 strike could essentially act as a magnet. "The volume at this strike has been a mix of buy-to-open and sell-to-open activity, so there is a possibility that there will be a lot of dancing above and below the strike."


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