crws
TSP Pro
- Reaction score
- 20
Thoughts? Comments? Looking for feedback.
With the market heading this direction after the up to now failed bull starts, can the future be told for Friday June 18? Options rally? Tank?
Looks like Circuit Breakers on the NYSE & Nasdaq will start June 14.
http://online.wsj.com/article/SB10001424052748704080104575286993499850272.html?mod=rss_whats_news_us
Most likely another wild week.
http://www.forbes.com/2009/03/16/ci...finance-investing-ideas-force-protection.html
We all know that stock options expire on the third Friday of the month. Every March, June, September and December, option expiration coincides with the expiration of stock index futures and stock market index options. When all three of these contracts expire on the same day, it is referred to as triple-witching expiration. Since the advent of single-stock futures, which expire on the same day, triple-witching expirations are now often termed quadruple-witching. (However, for the sake of nostalgia, I will continue to call it triple-witching). Many expect a lot of volatility and increased volume during triple-witching expirations, as traders close contracts and offset their options and futures positions ahead of Friday's closing bell.
An important question to ask is whether the activity generated by the wealth of contracts expiring represents buying activity or selling activity. Since 2006, it seems the answer to the question is buying activity. Three of the past four triple-witching expiration weeks were positive. The average return for these weeks is 0.88%. Compare that to the last column, or the "any week" returns, which shows that a typical weekly return for the SPX is negative with an average loss of 0.31%.
Below is a table showing the individual triple-witching weeks since 2006. It also shows what the market did the week prior to expiration weeks. You will immediately notice the bullish returns, with six of the past seven triple-witching expiration weeks being positive. Last week was a huge week, as the SPX gained more than 10%. Since 2006, no weeks prior to these expiration weeks came close to matching the return we just witnessed. In fact, the preceding week has shown a gain of more than 1% only twice during this time frame.
Last week was a great week for the market, and history is on our side when it comes to the market maintaining this momentum. Triple-witching expiration weeks have been overwhelmingly bullish since 2006. We cannot promise the trend will continue but during the past couple of years, when the market was in turmoil, traders were still able to count on triple-witching expiration weeks for positive results.
http://www.optionsclearing.com/about/publications/expiration-calendar.jsp
2010 Expiration Calendar
As of February 12, 2010 the use of month and strike price codes in the identification of listed option contracts will be replaced by explicit data elements.
For more information, visit www.optionsclearing.com/initiatives/symbology/.
This calendar contains updated SPL to SPX conversion dates in June and December.
With the market heading this direction after the up to now failed bull starts, can the future be told for Friday June 18? Options rally? Tank?
Looks like Circuit Breakers on the NYSE & Nasdaq will start June 14.
http://online.wsj.com/article/SB10001424052748704080104575286993499850272.html?mod=rss_whats_news_us
Most likely another wild week.
http://www.forbes.com/2009/03/16/ci...finance-investing-ideas-force-protection.html
We all know that stock options expire on the third Friday of the month. Every March, June, September and December, option expiration coincides with the expiration of stock index futures and stock market index options. When all three of these contracts expire on the same day, it is referred to as triple-witching expiration. Since the advent of single-stock futures, which expire on the same day, triple-witching expirations are now often termed quadruple-witching. (However, for the sake of nostalgia, I will continue to call it triple-witching). Many expect a lot of volatility and increased volume during triple-witching expirations, as traders close contracts and offset their options and futures positions ahead of Friday's closing bell.
An important question to ask is whether the activity generated by the wealth of contracts expiring represents buying activity or selling activity. Since 2006, it seems the answer to the question is buying activity. Three of the past four triple-witching expiration weeks were positive. The average return for these weeks is 0.88%. Compare that to the last column, or the "any week" returns, which shows that a typical weekly return for the SPX is negative with an average loss of 0.31%.
Below is a table showing the individual triple-witching weeks since 2006. It also shows what the market did the week prior to expiration weeks. You will immediately notice the bullish returns, with six of the past seven triple-witching expiration weeks being positive. Last week was a huge week, as the SPX gained more than 10%. Since 2006, no weeks prior to these expiration weeks came close to matching the return we just witnessed. In fact, the preceding week has shown a gain of more than 1% only twice during this time frame.
Last week was a great week for the market, and history is on our side when it comes to the market maintaining this momentum. Triple-witching expiration weeks have been overwhelmingly bullish since 2006. We cannot promise the trend will continue but during the past couple of years, when the market was in turmoil, traders were still able to count on triple-witching expiration weeks for positive results.
http://www.optionsclearing.com/about/publications/expiration-calendar.jsp
2010 Expiration Calendar
As of February 12, 2010 the use of month and strike price codes in the identification of listed option contracts will be replaced by explicit data elements.
For more information, visit www.optionsclearing.com/initiatives/symbology/.
This calendar contains updated SPL to SPX conversion dates in June and December.
