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On page 108 of the Stock Trader’s Almanac (see pinned
tweet) we discuss the Aura of the Triple Witch, when stock options, stock index
options and stock index futures all expire at the same time four times each
year. It’s important as it usually increases volume and volatility.
The week after September options expiration week, has a
dreadful history of declines most notably since 1990. Substantial and across the
board gains have occurred just four times: 1998, 2001, 2010 and 2016 while many
more weeks were hit with sizable losses.
Average losses since 1990 are even worse; DJIA –0.98%,
S&P 500 –0.89%, NASDAQ –0.85% and Russell 2000 –1.44%. End-of-Q3 portfolio
restructuring is the most likely explanation for this trend as managers trim
summer holdings and position for the fourth quarter. And next week we have the
Fed rate hike decision to contend with.
Full stats since 1982 since S&P index
futures began trading April 21, 1982:
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Image and article originally from jeffhirsch.tumblr.com. Read the original article here.