Options Expiration and Triple Witching

Triple witching refers to the third Friday of March, June, September and December, when three kinds of derivatives expire on the same day: stock options, stock index options and stock index futures. Single stock futures once made it "quadruple witching", but those contracts no longer trade in the US. The simultaneous expirations, combined with index rebalancing that often happens on the same day, create some of the highest trading volumes of the year, especially at the open and the close.

What expires#

See Option Expiration Dates and Contract Months and Expiration.

Why volume spikes#

• Futures rolls: traders roll index futures from the expiring contract to the next quarter in the days before. See Rolling Futures Contracts.
• Options expirations: in the money options are exercised, creating stock trades; hedges are unwound.
• Index rebalancing: S&P Dow Jones Indices applies quarterly rebalances effective after the close on the third Friday, so index funds trade in the closing auction. See Index Rebalancing.
• Hedge adjustments: market makers adjust delta hedges as large option positions expire. See Delta Hedging.

The opening and closing auctions#

Does triple witching move prices?#

Despite the volume, research has found little evidence that triple witching days systematically push markets up or down. Effects tend to be:

• Higher intraday volatility around the open and close.
• Temporary price distortions in individual stocks with large open interest or index flows.
• Pinning: stocks sometimes gravitate toward strike prices with large open interest into expiry. See Options Open Interest Analysis.

How traders prepare#

1. Know the dates: the third Friday of March, June, September and December.
2. Expect large closing auction volumes and plan order timing.
3. Roll futures early to avoid illiquid final days.
4. Close or roll options you do not want exercised. See Exercise and Assignment.
5. Watch imbalance data published before the close.
6. Be aware of rebalance additions and deletions announced in advance.

Monthly and daily expirations#

Monthly options expire on the third Friday of every month, and weekly and daily options on major indices now expire every trading day. Some argue this has spread expiration activity more evenly, reducing the relative importance of triple witching, though quarterly expirations remain large. See Option Expiration Dates.

Frequently asked questions#

What is triple witching?#

The third Friday of March, June, September and December, when stock options, index options and index futures expire on the same day.

Why is volume so high on triple witching?#

Because of simultaneous expirations, futures rolls, hedge adjustments and quarterly index rebalancing trades in the closing auction.

Does triple witching affect stock prices?#

It increases volume and intraday volatility, but research has found little evidence of a consistent effect on market direction.

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