Monday, September 22, 2014

Triple & Quadruple witching and the next Monday Trading Statistics

I noticed a pattern on Monday's following Triple/Quad witching Fridays where ES drops. It turns out there is a statistical edge in going short on witching days and holding to Monday close. Here is a link to the study and chart from the study.


Market Owl on 1:09 AM said...

I have noticed this Triple witching effect for quite a while. The expiration of S&P futures at the Friday open seems to inflate the price of the S&P 500 index, which then subsequently leads to weaker returns on that day and the following Monday.

By the way, your analysis is spot on, but it does go counter to how you traded back in 2008. I remember the blowups back then, you were quite the emotional trader. Hope things are better for you now.

HPT on 11:04 AM said...

Hi Market Owl,
Yes my trading was pretty out of control in 2008. I've been trading for a prop firm for about 4 years now and my trading style has changed a lot. An alternative to naked shorting ES on quad witching Friday close is to do a pair trade short on vix/es in a 1/1 ratio. Thanks for stopping by the blog.

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