Next Triple Witching
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Key Statistics
EDGE DATAWitching 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