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Current DateTime: 02:30:33 24 Nov 2009
LinksList Documentid: 30111251
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Quadruple Witch - Not so Scary
Published: Friday, 19 Jun 2009 | 8:49 AM ET
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By: Ariel Nelson
Director of Market Data & Content Services

Witch
AP

Today is a quadruple-witch day. Quadruple-witching occurs on the 3rd Friday of every quarter when index futures, index options, stock options and stock futures expire on the same day. Since single stock futures were launched in December 2002 there have been 26 quadruple witches.

Here are the historical averages for the markets and volatility on those days.  More often than not, quad-witching days have been slightly positive for the markets.  They are, however, more volatile. 

Dow [.DJIA  Loading...      ()   ] on quadruple-witching days:

  • Avg gain of 0.4%
  • Up 65% of the time
  • Biggest gain on 9/19/08 - up + 3.3%
  • Biggest loss on 6/20/08 - down - 1.8%

S&P 500 [.SPX  Loading...      ()   ] on quadruple-witching days:

  • Avg gain of 0.3%
  • Up 62% of the time
  • Biggest gain on 9/19/08 - up + 4.0%
  • Biggest loss on 3/20/09 - down - 2.0%

NASDAQ [COMP  Loading...      ()   ] on quadruple-witching days:

  • Avg gain of 0.22%
  • Up 58% of the time
  • Biggest gain on 9/19/08 - up + 3.4%
  • Biggest loss on 6/20/08 - down - 2.3%

VIX [VIX  Loading...      ()   ] on quadruple-witching days:

  • Avg fall of -1.5%
  • Up 42% of the time
  • Biggest gain on 6/16/06 - up + 8.5%
  • Biggest loss on 12/20/02 - down - 11.6%

In fact, futures are pointing up this morning.  Leading the Dow in the premarket are Alcoa [AA  Loading...      ()   ], Bank of America [BAC  Loading...      ()   ], General Electric [GE  Loading...      ()   ], JP Morgan Chase [JPM  Loading...      ()   ], and Pfizer [PFE  Loading...      ()   ].

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