The lower pane shows the declining number of days until each Friday. We did it in Amibroker and the indicator we coded looks like this: Quad Witching
#Turtle quaqua code#
Options expiration week and quadruple witching are not the easiest strategies to backtest and need a few lines of code to count the Fridays in each month. But the backtests done in this article will shed some light on this. We believe that the opportunities are even less on the stock indices, like NQ and ES, for example.
However, the window of opportunity was slowly closing due to more computers and volume from more sophisticated institutional players. We day traded stocks for over 15 years and the options expiration Friday was the best day of the month, and our strategy was mainly to “arbitrage” between certain stocks. Moreover, market makers are forced to cover positions, and arbitrageurs come in to balance any mispricings. Options and futures are frequently used for hedging positions, among other things, and traders are forced to “roll over” contracts and others might face pin risk due to options assignments. Supposedly, the expiration of all these contracts creates volatility and high volume due to repositioning. This is in March, June, September, and December – four times per year.įinancial derivatives are used for a wide variety of reasons: some use them to speculate, some investors add leverage to their portfolios, and other investors and traders use them for hedging purposes. Quad witching is when all derivative contracts expire – all options and futures contracts expire on this particular day. But four of those months are called quadruple witching. The options expiration week is when the options expire and this happens on the third Friday every month.
Quadruple witching happens four times per year during the options expiration week. What is quadruple witching and when is it?
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