06/19/2009临时灌水: Today is Quadruple Witching Day

SAR

Quadruple Witching - Definition
The third Friday of March, June, September and December when Index Futures, Options on Index Futures, Single Stock Futures and Stock Options expire together.


Quadruple Witching - Introduction
Quadruple Witching days, also known as Quad Witch, are the four days in a year where the combined effects of derivative traders exercising their in the money options and taking delivery on their futures contracts as well as traders practising arbitrage made Quadruple Witching one of the most turbulent and heavily traded days of the year. Quadruple witching is one of the most important days to take note of in options trading and this tutorial will discuss why it happens and how it affects your options trading.



How Does Quadruple Witching Occur?
Quadruple Witching occurs as 4 different types of derivative instruments expire on a single day. In the US market, stock options expire every third Friday of the month while single stock futures, options on index futures and certain index futures expire every third Friday of the quarter. The combined expiration of these four derivative instruments creates the Quadruple Witching day. Quadruple Witching only begun after 2001. Prior to the trading of Single Stock Futures in 2001, there was only Triple Witching where stock options, index futures and options on index futures expire on the third Friday of every quarterly month.



What Effects Does Quadruple Witching Have?
Due to the combined effects of exercise, delivery, hedging, arbitrage as well as speculative options trading and futures trading activity during Quadruple Witching days, the most obvious effect is a dramatic increase in trading volume. In fact, it has been documented that in 2007, both stock and options trading volume during Quadruple Witching days rose by about 55% to 60% more than the daily average for the year. Even though there might be increased amount of volatility in certain stocks during Quadruple Witching, the overall stock market action does not look significantly different from a normal non Quadruple Witching day. Extrinsic value of further month options may be slightly higher than usual on the Thursday prior to Quadruple witching and on Quadruple witching Friday itself due to the increased amount of trading. Due to the increased intraday volatility, options traders holding longer term options positions using trailing stop loss or contingent orders may also experience unnecessary stop outs.

SAR

it's zt

xiaobailong

Thanks SAR

fufu

sell on rally?

bucks

first page?

guelder_rose

今天的水都灌在这里？

xiaobailong

老蛇还没来，可能身体仍然不适。把SAR这个贴子作为今天的临时灌水贴了哈，今天的主题其实就是四重魔力日。

flash

first page

xiaobailong

跳高开盘，如果是平常日子呢，就是老蛇的老规矩，如果１０点半以后有新高，就是强趋势，涨。但是今天是四重魔力日，普通的统计规律和FA，TA，PA等等有可能都会暂时失效。所以不知道今天老蛇的老规矩是不是还有效哈。

理论上讲，今天收盘比昨天高的概率很大。既然现在已经跳高开盘了，这个概率就更大了，我就不用讲费话了。呵呵。

Cooker

Thanks. SAR and Xiaobailong

COS

yoy_158

也顶一个

长叶草

Nancy168

Thanks.

ziteng_rhein

ultimate

动感

龙斑竹， 蓉儿怎么办呀？真急人！！！！！
另93.2附近看空，还是完成昨天的升势，感觉在93.2区域很快就做滑梯。

xiaozhu

龙斑竹， 蓉儿怎么办呀？真急人！！！！！
另93.2附近看空，还是完成昨天的升势，感觉在93.2区域很快就做滑梯。
动感 发表于 2009-6-19 09:46

She is in 'xizang'??

bbbuyi

谢LZ及龙版大.

开小差

thx. ding