RJH writes...

Another triple witching falls tomorrow. Have things changed for cash index traders following the DAX since this post appeared here a year ago?

There are still no obvious differences in price variance at the aggregate level: the daily points range of all days versus triple witching days displays similar average, standard deviation, median, skew and kurtosis characteristics.

Since December 1990 the DAX continues to trade up on 51% of its trading days; and its triple witching day performances still outperform (click for a larger image):

The following two trading days post-triple witching may also interest (click for larger images):

Make of that what you will bearing in mind the context: a long multi-year bull run to where things stand now, uncertain. Within that, many markets have traded down circa 10% in a string of nearly consecutive declines; and it would be unsurprising to see a technical bounce from perceived oversold positions over the next trading week.

Pending, that is, more macro data.

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