Stats › Options, shorts and positioning › Option expiry
Triple witching moved prices 0.15%, and it reversed by morning
| Measure | Finding |
|---|---|
| Incremental volume | About one third of expiring open interest |
| Price effect, gross | 0.4% of the closing index value |
| Price effect, net of spread | About 0.15% |
| The next morning | Reversed |
| Stocks outside the S&P 500 | No abnormal price effect |
Source: Stoll and Whaley, Program Trading and Expiration Day Effects, Financial Analysts Journal, using 1984 and 1985 data.
Four times a year US index futures, index options and single stock options expire together. The best study found the price effect was about 0.15% net of the spread, and it reversed the next morning. The trillion dollar headline comes from one analyst.
0.15%Price effect net of spread
0.4%Gross price effect
about a thirdOpen interest that trades
59%0DTE share of SPX volume
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