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Quadruple Witch - Not so Scary

Friday, 18 Sep 2009 | 8:46 AM ET
Witch
AP
Witch

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 27 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.

Dowon quadruple-witching days:

  • Avg gain of 0.3%
  • Up 62% of the time
  • Biggest gain on 9/19/08 - up + 3.3%
  • Biggest loss on 6/20/08 - down - 1.8%

S&P 500 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%

NASDAQon quadruple-witching days:

  • Avg gain of 0.2%
  • Up 58% of the time
  • Biggest gain on 9/19/08 - up + 3.4%
  • Biggest loss on 6/20/08 - down - 2.3%

VIX on quadruple-witching days:

  • Avg fall of -1.4%
  • 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 Chevron, Bank of America , General Electric , Du Pont , and Proctor & Gamble.

Comments? Send them to bythenumbers@cnbc.com

bythenumbers.cnbc.com

  Price   Change %Change
DJIA
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S&P 500
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BAC
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NASDAQ
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CVX
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DD
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GE
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PG
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VIX
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