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Many people who follow or invest in the U.S. stock market will likely notice a peculiar event shortly after entering the market: “Quadruple Witching Day." What does this uniquely named day signify? Does it have anything to do with witches? Is there anything U.S. stock investors should be aware of on this day? Furthermore, does the U.S. Quadruple Witching Day have any impact on the Taiwanese stock market? Let’s explore what Quadruple Witching Day is all about.
Editor’s Note (Updated 2025/06/11): Quadruple Witching Day is approaching! The second Quadruple Witching Day of 2025 will be on Friday, June 20th. What exactly is it? Let’s find out in this article!
What is Quadruple Witching Day?
Quadruple Witching Day refers to the simultaneous expiration and settlement date for derivative financial products in the U.S. market, which occurs on the third Friday of each quarter (March, June, September, and December). Typically, asset prices experience greater volatility during this period.
In simple terms, it’s the “settlement day" for derivative financial products in the U.S. market. A key difference is that this settlement occurs quarterly in the U.S.
| Source: StockFeel Knowledge Base | |
| 2025 U.S. Quadruple Witching Days | |
| 1 | March 21 (Friday) |
| 2 | June 20 (Friday) |
| 3 | September 19 (Friday) |
| 4 | December 19 (Friday) |
There is also an interesting related term, the “Quadruple Witching Hour“, which refers to the final hour of trading on Quadruple Witching Day. This is typically between 3:00 PM and 4:00 PM New York time and is known for heightened activity.
The Origin of “Quadruple Witching"
Why do we refer to the settlement day for futures and options as “Witching Day"? It’s because on this expiration day, traders must either close out (liquidate) or roll over their expiring positions. The resulting surge in trading volume often leads to increased volatility. As volatility increases, the price swings in traders’ positions are amplified, which can cause significant psychological pressure. In Western culture, witches are a symbol of fear and the unknown, so this term was adopted to describe the unsettling nature of these quarterly expiration days.
💡 It’s worth noting that before November 8, 2002, single-stock futures had not yet begun trading. Therefore, this event was previously known as “Triple Witching Day."
Products That Settle on Quadruple Witching Day
Which overseas products reach their expiration and settlement on Quadruple Witching Day? They are primarily the following four:
- Index Futures
- Index Options
- Stock Futures
- Stock Options
Is Quadruple Witching Really That Scary? A Data-Driven Look
While we’ve looked at data from other platforms, StockFeel has calculated its own performance data for Quadruple Witching Days from 2005 to March 2025 to give you a clearer picture of whether the event is as fearsome as it sounds. In addition to U.S. market data, we’ve also compiled the performance of the Taiwanese stock market on the Monday following a Quadruple Witching Day to understand its impact.
| Data Period: Jan 2005 – Mar 2025 | ||||||
| U.S. Market Performance on Quadruple Witching Day | ||||||
| Month | Occurrences | Up/Down Days | Avg. Return | Avg. Gain | Avg. Loss | Avg. High-Low Price Spread |
| March | 21 | 10 Up / 11 Down | -0.20% | 0.55% | -0.88% | 1.30% |
| June | 20 | 10 Up / 10 Down | -0.10% | 0.36% | -0.57% | 0.99% |
| September | 20 | 8 Up / 12 Down | -0.04% | 0.83% | -0.62% | 1.09% |
| December | 20 | 11 Up / 9 Down | -0.06% | 0.59% | -0.86% | 1.27% |
| Total Avg. Return | -0.10% | |||||
From the table above, we can see that the overall average return on Quadruple Witching Days is negative. The most volatile month is March, with its average high-low price spread reaching 1.30%. The performance is mixed, with roughly an equal number of up and down days. The highest average gain occurs in September, while the largest average loss also occurs in March. Overall, the losses are not exceptionally high.
| Data Period: Jan 2005 – Mar 2025 (Note: Day counts vary as the following Monday is occasionally a Taiwanese market holiday) | ||||||
| Taiwan Market Performance on the Monday After Quadruple Witching Day | ||||||
| Month | Occurrences | Up/Down Days | Avg. Return | Avg. Gain | Avg. Loss | Avg. High-Low Price Spread |
| March | 21 | 14 Up / 7 Down | 0.25% | 0.88% | -1.00% | 1.17% |
| June | 18 | 9 Up / 9 Down | 0.04% | 0.97% | -0.88% | 1.18% |
| September | 17 | 9 Up / 8 Down | 0.19% | 1.21% | -0.94% | 1.11% |
| December | 20 | 11 Up / 9 Down | 0.13% | 1.04% | -0.98% | 1.12% |
| Total Avg. Return | 0.16% | |||||
This table shows that on the Monday following Quadruple Witching, the average return for the Taiwanese stock market is actually positive. The most volatile month is June. Similar to the U.S. market, the highest average gain is in September and the largest average loss is in March. The market tended to close up more often than down, suggesting that the overall impact of Quadruple Witching Day on the Taiwanese market is not significant.
| Correlation of TWSE and U.S. Market Performance | ||
| Relationship | Occurrences | Percentage |
| Both Up | 25 | 32.89% |
| Both Down | 21 | 27.63% |
| U.S. Up, Taiwan Down | 12 | 15.79% |
| U.S. Down, Taiwan Up | 18 | 23.68% |
Finally, we compiled the performance correlation between the Taiwanese and U.S. markets. As you can see, the markets move in the same direction (both up or both down) about 60% of the time. This does not indicate a particularly strong positive correlation.
Therefore, the day itself may not be especially ominous for the market. However, investors should remain cautious during the week following Quadruple Witching. This period is often characterized by rising volatility and a reduction in open positions or dealer inventory, so it is wise to pay close attention to your asset allocation.
【Further reading】
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