S&P Up on Triple Witching Expiration

An interesting pattern related to the quarterly ‘triple witching’ expiration has emerged in recent years. When the S&P has closed higher on triple witching, the following Monday is typically a weak session that sees the S&P close flat to down. The last 30 occurrences are listed in the table below…

S&P500 Up on Triple Witching Expiration
06/19/09… S&P -3.1% next day
12/19/08… S&P -1.8% next day
09/19/08… S&P -3.8% next day
03/20/08… S&P +1.5% next day
12/21/07… S&P +0.8% next day
09/21/07… S&P -0.5% next day
06/15/07… S&P -0.1% next day
12/15/06… S&P -0.3% next day
09/15/06… S&P +0.1% next day
03/17/06… S&P -0.2% next day
09/16/05… S&P -0.6% next day
06/17/05… S&P -0.1% next day
09/17/04… S&P -0.6% next day
06/18/04… S&P -0.4% next day
06/20/03… S&P -1.4% next day
03/21/03… S&P -3.5% next day
12/20/02… S&P +0.2% next day
09/20/02… S&P -1.4% next day
03/15/02… S&P -0.1% next day
12/21/01… S&P -0.0% next day
03/17/00… S&P -0.5% next day
12/17/99… S&P -0.2% next day
09/17/99… S&P +0.0% next day
06/18/99… S&P +0.5% next day
12/18/98… S&P +1.3% next day
09/18/98… S&P +0.4% next day
03/20/98… S&P -0.3% next day
09/19/97… S&P +0.5% next day
06/20/97… S&P -2.2% next day
03/21/97… S&P +0.9% next day

Note that in 20 out of the last 30 occurrences, or 67% of the time, the S&P closed lower the next day, significantly above the 47% at-any-time odds for a lower S&P close one session later in the same time frame. I’d also note that from 1990 through 1997, this tendency remains in effect, with only 6 out of 20 occurrences leading to a higher S&P on the Monday post-expiration.

Categories : Archived Intraday Commentary, Intraday Commentary

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