Quarterly Notional
$5-6.5T
Volume Increase
+44-100%

Complete Trading Reference Guide

Master the quarterly derivatives expiration event that moves trillions. Statistical edges, timing windows, and actionable strategies.

⏱️

Next Triple Witching

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📊

Key Statistics

EDGE DATA
Witching Day Return
-0.52%
Average since 2021
Witching Day Win Rate
14%
Only 2 of 14 positive
Pre-Rally (T-3 to T-1)
+0.47%
134.59% annualized
Witching Hour Win Rate
31%
3-4 PM ET worst hour
Volume Increase
+44-100%
vs normal days
Opening Auction
10x
Larger than normal
Closing Auction
5x
~$80B additional
VIX Expansion
+20.5%
18.5 → 22.3 average
Period Average Return Win Rate Bias Action
T-9 to T-3 (Mon-Tue week before) +0.35% ~60% BULLISH Establish long exposure
T-3 to T-1 (Wed-Thu witching week) +0.47% ~65% STRONG BULL Maintain/add position
Witching Week Overall -0.53% 53% BEARISH Exit before Friday
Thursday Before -0.33% 36% BEARISH Close longs by EOD
Triple Witching Friday -0.52% 14% STRONG BEAR Avoid or fade rallies
Witching Hour (3-4 PM) -0.08% 31% WORST HOUR DO NOT TRADE
Week After Witching Negative 34% BEARISH Watch for reversal setups
⚙️

How Triple Witching Works

🧙 The Three "Witches"
Triple witching occurs when stock index futures, stock index options, and single stock options all expire on the same day — the third Friday of March, June, September, and December.
📈 Stock Index Futures

Products: E-mini S&P 500 (ES), E-mini Nasdaq-100 (NQ), E-mini Russell 2000

Settlement: Cash settled at SOQ (Special Opening Quotation)

Timing: AM settlement based on opening prices

📊 Stock Index Options

Products: SPX, NDX, RUT options

Settlement: Cash settled at SOQ

Timing: AM settlement (9:40-10:00 AM ET typically)

🎯 Single Stock Options

Products: Options on individual equities

Settlement: Physical delivery (100 shares per contract)

Timing: PM settlement at market close

🕐

Critical Timing Windows

Week-Level Timeline

T-9 to T-7 (Monday-Wednesday prior week)
Early Positioning Phase
Large institutions begin shifting exposure. Volume starts increasing. Pre-expiration rally begins.
T-6 to T-4 (Thu-Mon)
Rally Continuation
S&P averages +0.82% from T-9 to T-1. Momentum traders pile in.
T-3 to T-1 (Wed-Thu witching week)
Peak Rally Window ⭐
Strongest edge: +0.47% average (134.59% annualized). Exit longs by Thursday close.
T-0 (Triple Witching Friday)
Expiration Day — AVOID
14% win rate since 2021. -0.52% average return. Stay flat or fade rallies.
T+1 to T+5 (Following week)
Post-Witching Weakness
66% of weeks negative historically. Hedging support dissolves. Watch for reversal setups.

Intraday Timeline (Witching Friday)

Pre-Market (4:00-9:30 AM)
Gap Assessment
Monitor futures for overnight positioning. Large gaps common.
9:30-10:00 AM ET
SOQ Settlement Window
Index options and futures settle. Opening auction 10x larger than normal (~$28B additional). High volatility.
10:00 AM - 2:00 PM
Midday Pinning
Prices gravitate toward high open interest strikes. Lower volatility window. Best time for defined-risk trades.
2:00-3:00 PM
Pre-Witching Hour
MOC order imbalances published. Volatility starts increasing. Close any open positions.
3:00-4:00 PM ET
"Witching Hour" — DO NOT TRADE ⚠️
31% win rate (worst ever recorded). 365% closing auction increase. Price swings of 1%+ in minutes. Spreads widen unpredictably.
⚠️ Critical Warning
September 2024 example: SPY traded 162M shares (2x average), with 58M in the final hour alone. Stock futures jumped/fell 0.5-1%+ within seconds.
🎯

Trading Strategies

⭐ Highest Edge Strategy: Pre-Expiration Rally

Go long Monday open of witching week, exit Thursday close. Average gain: +0.55% per trade, 65% win rate across 128 backtested trades.

📈 Entry Rules
  • ✓ Enter long S&P 500 exposure (SPY, ES futures, or equivalent) at Monday open of witching week
  • ✓ Alternative: Enter T-9 (Monday prior week) for full rally capture (+0.82% average)
  • ✓ Size position at 70-80% of normal to account for elevated volatility
  • ✓ Set stops at 2.5 ATR (wider than normal 2 ATR)
📉 Exit Rules
  • ✓ Exit all positions by Thursday 3:30 PM ET — BEFORE Friday
  • ✓ If Wednesday shows strong gains (+0.5%+), consider taking partial profits
  • ✓ Use limit orders only — never market orders approaching expiration
  • ✗ NEVER hold into Friday — negative expected value
⚠️ High Risk Environment
Triple witching Friday has only a 14% win rate since 2021. The recommended strategy is do not trade, or trade with extreme caution and reduced size.
🎯 If You Must Trade
  • ✓ Trade only 10:30 AM - 2:00 PM window (midday lull)
  • ✓ Reduce position size to 30-50% of normal
  • ✓ Use defined-risk strategies only (spreads, not naked positions)
  • ✓ Monitor max pain levels — prices gravitate toward them
  • ✓ Close ALL positions by 2:30 PM at the latest
🚫 What to Avoid
  • ✗ NEVER trade the opening 30 minutes (SOQ settlement chaos)
  • ✗ NEVER trade the final hour (3-4 PM "witching hour")
  • ✗ NEVER use market orders — slippage is severe
  • ✗ NEVER hold expiring options through close
  • ✗ NEVER chase moves — reversals are violent

Max Pain Reference

Max pain is the strike price where the most options expire worthless. Prices tend to gravitate toward this level during the day.

// Max Pain Calculation // For each strike price, calculate: Total Pain = Σ (Open Interest × |Strike - Current Price|) // Max Pain = Strike with MINIMUM total pain // Check sources like: maximum-pain.com, opricot.com, or your broker's tools
📉 Post-Witching Weakness Pattern
The week following triple witching has been negative in 14 of 21 years (66%). September's following week is historically the worst — "rarely positive over 30 years and averages greater than 1% declines."
🔄 Reversal Setup Criteria

Watch for these conditions Monday-Tuesday after witching:

  • ✓ VIX spike of 15%+ from pre-witching levels
  • ✓ S&P declines 1%+ from Thursday close
  • ✓ Volume returns to normal levels (hedging complete)
  • ✓ Put/call ratio normalizes from elevated levels
📊 Seasonal Variations
March
End of Q1 rebalancing. Watch for window dressing flows.
June
Russell reconstitution week. Small caps most affected.
September
Worst seasonal period. Post-witching week historically terrible.
December
Tax loss harvesting + holiday liquidity. Can be choppy.
💰 Premium Selling Strategy

Timing: Establish positions 1-2 weeks BEFORE witching when IV is elevated.

  • ✓ Sell premium 7-14 days out from expiration
  • ✓ Close positions by Wednesday of witching week
  • ✓ Use defined-risk spreads (iron condors, verticals)
  • ✗ DO NOT sell premium directly into expiration day
📅 Calendar Spread Strategy

Setup: Buy longer-dated options, sell expiring options.

  • ✓ Benefits from accelerated time decay on short leg
  • ✓ Enter 5-7 days before expiration
  • ✓ Target strikes near max pain level
  • ✓ Close when short leg reaches 80% profit or Thursday EOD

0DTE Considerations

Analysis of 230,000 trades shows specific patterns for zero-day options on witching days:

Strategy Distribution
2x
Neutral strategies more common than directional
Success Rate
50%
Overall 0DTE success on witching
Defined Risk
95%
Of 0DTE volume uses spreads
🌐

Cross-Market Effects

₿ Cryptocurrency Impact

The "Wall Streetization" of Bitcoin has created tight linkages:

BTC-VIX Correlation
Record 0.88 correlation between Bitcoin implied volatility (BVIV) and VIX in recent periods.
Recent Example
Dec 2024 triple witching: BTC dropped from $97,777 to $92,200 in hours before recovering.
Crypto Expirations
CME BTC/ETH: Last Friday of month. Deribit quarterly: Last Friday of Mar/Jun/Sep/Dec at 08:00 UTC (doesn't align exactly with equity triple witch).
Watch for amplified crypto moves when leveraged traders face liquidations during equity volatility spikes.
📊 Commodities & Bonds
Gold
Positive relationship with VIX — acts as safe haven during triple witching volatility.
Oil
Negative relationship with implied volatility — categorized as riskier asset during uncertainty.
Dollar (DXY)
Tends to strengthen during risk-off moves, creating headwinds for commodities and crypto.
Treasuries
Flight to safety effect. Dec 2023: 10Y yield dropped 11bps to 3.92% around witching.
🌍 Global Market Spillovers

European Markets

  • 📍 Closing auctions: 15-20% of daily notional
  • 📍 Concentration growing: 25.9% (2023) → 37.3% (2024)

Asian Markets

  • 📍 Typically -0.2% to -0.4% in overnight futures after US witching
  • 📍 Watch for yen carry trade disruption if JGBs move

Currency Markets

  • 📍 USD strength on risk-off flows
  • 📍 JPY strengthens if carry trades unwind
✅

Pre-Flight Checklist

📋 Week Before Witching
  • ☐ Confirm triple witching date on calendar
  • ☐ Check if any index rebalances coincide (especially Russell in June)
  • ☐ Review current gamma exposure (SpotGamma, Menthor Q, etc.)
  • ☐ Identify max pain levels for SPY/QQQ/IWM
  • ☐ Plan entry for pre-expiration rally (Monday open)
  • ☐ Reduce overall portfolio leverage
📋 Thursday Before Witching
  • ☐ Close ALL directional positions by 3:30 PM ET
  • ☐ Roll or close any expiring options
  • ☐ Review VIX level vs. historical average (18.5 → 22.3 typical)
  • ☐ Set alerts for max pain strikes
  • ☐ Document current portfolio state for reference
  • ☐ Confirm no Friday trading unless specific plan exists
📋 Witching Friday (If Trading)
  • ☐ Position size reduced to 30-50% max
  • ☐ Only defined-risk trades (spreads)
  • ☐ Trade only 10:30 AM - 2:00 PM window
  • ☐ Limit orders only — NO market orders
  • ☐ Close everything by 2:30 PM ET
  • ☐ DO NOT trade 3:00-4:00 PM "witching hour"
📋 Week After Witching
  • ☐ Watch for post-witching weakness (66% of weeks negative)
  • ☐ Monitor VIX normalization
  • ☐ Check for reversal setup criteria (see Strategy section)
  • ☐ Review crypto for delayed correlation effects
  • ☐ Note lessons learned for next quarter
  • ☐ Update trading journal with observations
📅

Triple Witching Calendar

📆 2024 Dates (Completed)
Quarter Date Notes
Q1 March 15, 2024 End of Q1
Q2 June 21, 2024 Russell rebalance
Q3 September 20, 2024 Worst seasonal period
Q4 December 20, 2024 $6.5T notional
📆 2025 Dates
Quarter Date Notes
Q1 March 21, 2025 End of Q1
Q2 June 20, 2025 Russell rebalance week
Q3 September 19, 2025 Historically worst
Q4 December 19, 2025 Year-end + holidays
📆 2026 Dates
Q1 2026
March 20
Q2 2026
June 19
Q3 2026
September 18
Q4 2026
December 18

Third Friday of March, June, September, and December each year

⚡

Quick Reference Card

✅ DO

  • • Go long Mon-Thu of witching week
  • • Exit all positions by Thursday EOD
  • • Use limit orders only
  • • Reduce position sizes 30-50%
  • • Monitor max pain levels
  • • Watch VIX for expansion

❌ DON'T

  • • Trade the witching hour (3-4 PM)
  • • Hold positions into Friday
  • • Use market orders
  • • Sell naked premium into expiration
  • • Chase moves — reversals are violent
  • • Ignore cross-market correlations

📊 KEY NUMBERS

  • 14% — Friday win rate since 2021
  • 31% — Witching hour win rate
  • 65% — Pre-rally week win rate
  • +0.47% — T-3 to T-1 avg return
  • -0.52% — Witching day avg return
  • $5-6.5T — Quarterly notional