By the Numbers

What to Expect on Quadruple Witching Day

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Historically, quadruple witching day in September has been positive for the markets, with the S&P 500 closing in the black 75 percent of the time.

Quadruple witchingoccurs when the contracts for stock index futures, stock index options, stock options and single stock futures (SSF) all expire on the same day.

This event takes place 4 times a year on the third Friday of March, June, September and December.

In the last 12 years in September, there have been 6 instances (this Friday will be the 7th) in which the volatility index traded below 20 on triple witching day.

And according to Morningstar Commodity Data, there is a significant positive bias from expiration day to the end of the year when both coincide.

Indeed, in 4 of the last 6 times it happened, U.S. indexes finished the year with positive averages of +5.4 percent, +5.8 percent and +7.3 percent for the Dow , S&P 500 and NASDAQ respectively.

Clarification: The average mentioned above includes the 4 instances the market was positive \(2003, 2004, 2005 and 2006\).

The following analysis looks at the performance a week prior, the day of and the week after September expirations since 2000.


  • The Day of expiration has been historically positive with average returns of 0.30%, 0.33% and 0.13% for the Dow, S&P 500 and NASDAQ respectively
  • On the week after, the indexes have historically seen declines with average losses of -1.03%, -1.10% and -1.24% for the Dow, S&P 500 and NASDAQ respectively