Quadruple Witching Effect Trading System & Strategy is the peculiar name given to the third Friday of every March, June, September and December, where index futures, index options, stock options and stock futures all expire.
The expiration of these contracts forces many investors to roll their positions which essentially means they sell their positions in the current contract and buy it back in the next.
This creates movement and volatility and can be a particularly interesting day for day traders.
Since quadruple witching leads to selling in the current contract it would make some sense for this to be a negative day for markets and analysis does back this up.
Research shows that shorting SPY, the S&P 500 ETF, on quadruple witching day has been a net profitable strategy with a win rate of 70% and an average profit per trade of 0.28% over the last 69 trades.
Although this is a small sample size there is some evidence of a profitable edge as illustrated in this equity curve:
Quadruple Witching Effect Trading System & Strategy:
Short SPY on the open of quadruple witching day and exit on the same day close.