齊克用-財富管理(1)

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財富管理與境外基金、高淨值客戶之財富管理、退休規劃一典通、台股籌碼分析
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(5)四巫日對股市的影響

What you need to know about quadruple witching
The quarterly expiration of four sets of options: individual stock options, stock futures, stock indexes and stock index futures. Kenny Polcari explains. Quadruple witching refers to the simultaneous quarterly expiration of four sets of options: individual stock options, stock futures, stock indexes and stock index futures. This occurs once every quarteron the third Friday in March, June, September and December.
 
Because futures and options investors must close out of their positions on those days, the market typically sees an increase in trading volume and volatility at that time. "Witching" evolved from the fact that in the past, the expiration of futures and options contracts occurred not only on the same day but also at the same timeresulting in a frenzied period of greater-than-normal market activity and therefore dubbed the witching hour.

 
四巫日~到期效應~案例
http://blog.yam.com/ckwm/article/73205377
 
 

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