Options expiration and triple witching: How do stocks do on opex days and weeks?
Monthly stock options expire on the third Friday of the month; in March, June, September and December stock-index futures and options expire together ("triple" or "quadruple witching"). Since 1983, the S&P 500 has averaged −0.017% on expiration days against +0.043% on all days, and −0.07% in the week after a quarterly expiration against +0.20% for an average week.
Average S&P 500 weekly return since 1983.
Expiration days
| Day | Average | Up | Count |
|---|---|---|---|
| Monthly expiration days | −0.017% | 54% | 528 |
| Quarterly (triple witching) days | +0.020% | 56% | 176 |
| All trading days | +0.043% | 54% | 11,036 |
Expiration weeks
| Week | Average | Up | Count |
|---|---|---|---|
| Expiration weeks | +0.24% | 57% | 526 |
| Weeks after quarterly expiration | −0.07% | 43% | 175 |
| All weeks | +0.20% | 57% | 2,285 |
Expiration day: the third Friday, or the session before it when the market is closed. Weekly returns run from one Friday close to the next.
Patterns describe the past and can stop working. Not investment advice.
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