Quadruple witching is the third Friday of March, June, September and December, when stock index futures, stock index options, single-stock options and single-stock futures all expire on the same day. These sessions concentrate rolls, settlements and rebalancing flows, and they produce some of the year’s largest volumes.
How it works
In the US, single-stock futures stopped trading in 2020, so the term is partly historical there, but the market still uses it. On those Fridays, quarterly index futures settle, positions are rolled to the next contract during the preceding days, and large option open interest expires. Several major index providers also make quarterly rebalances effective on the same date, so index funds trade heavily in the closing auction. In Europe, settlement times differ by product and exchange, so the flows are spread across the session rather than packed into the close.
Example
Hypothetical: a stock usually trades 5 million shares a day. On quadruple witching, it trades 15 million, of which 6 million in the closing auction because of an index rebalance. A trader who needs to buy 200,000 shares at the close faces a published auction imbalance and adjusts the order size or timing accordingly.
On the desk
Traders watch strikes with large open interest, where dealer hedging can pin the underlying into expiry. They also track auction imbalance publications in the last minutes of the session and check where their gamma sits once the expiring options roll off.
Educational definition. Worked examples are hypothetical. Not an offer or a recommendation.