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Key Takeaways
- Triple witching occurs on the quarterly March, June, September, and December expiration cycles.
- The three expiring groups are stock-index futures, stock-index options, and options on individual stocks.
- Each product keeps its own clock: AM-settled contracts settle on the opening prints and PM-settled contracts on the close, with different last trading times.
- The extra volume comes from closing and rolling as well as new trades: a roll sells the expiring contract and buys the next, so turnover jumps while exposure stays in place.
- Expect heavier flows and shifting liquidity around the settlement events, and take direction from net orders and price response, not the date.
What is triple witching?
Triple witching is the quarterly session when stock-index futures, stock-index options, and individual stock options expire on the same cycle: the third Friday of March, June, September, and December. The overlap concentrates position rolls, hedge adjustments, and settlement-related trading, which lifts volume while the net orders set the direction.
The three groups follow their own trading and settlement clocks, so check each contract’s specification for its last trading time and settlement method.
What happens on triple witching day?
A futures roll closes the expiring contract and opens a later maturity. A fund long 4,000 June contracts can sell those contracts and buy 4,000 September contracts to extend its exposure. Both legs contribute trading volume.
Complete the expiring leg before its final trading deadline. CME’s Micro E-mini equity-index futures end trading at 8:30 a.m. Central on their expiration day and settle against a special opening quotation. The opening prices of the component stocks determine that quotation.
Options have their own sequence. Close or roll the contracts before trading ends, or proceed through their exercise and settlement terms. Cash settlement and stock delivery create different account entries.
Triple witching example: futures notional vs option premium
Ahead of the June quarterly expiration, a fund rolls 4,000 expiring index futures into September and closes 25,000 index-option contracts. It completes the expiring futures trade before that contract’s final trading deadline.
- Futures notional: 4,000 × $250,000 = $1 billion.
- Option premium value: 25,000 × 12 points × $100 per point = $30 million.
- Selling 4,000 June futures and buying 4,000 September futures transfers the position to the next maturity.
The futures roll records an exit and a new entry while extending the fund’s index exposure. Read both legs to understand the turnover.
At $250,000 of notional per futures contract, 4,000 contracts represent $1 billion of referenced index exposure. For 25,000 index options priced at 12 points with a $100 multiplier, premium value is $30 million. The $1 billion measures exposure and the $30 million measures premium paid, so compare each against its own kind.
Pair each closing trade with the new contract when reading a roll. Compare the strikes and expirations to see which exposure has been extended and which has changed.
AM and PM settlement on triple witching
AM-settled products use component openings. PM-settled products use their closing calculation. Stock-basket orders, futures hedges, and closing auctions connect those events to the underlying market. The market structure guide explains how orders reach liquidity and become trades.
Use the exchange calendar to place those events on the trading day, then follow the actual flow and price response around them. A large roll increases turnover while moving an existing position to a new maturity.
How traders read a triple witching session
Filter options flow by the expiring and replacement dates, and compare the major strikes with signed gamma exposure to see the hedge response as positions leave the front expiration. Read opening activity, closing orders, and liquidity alongside the day’s catalysts, then identify the contracts, track the rolls, and map the positioning that carries into the next cycle.
Limitations of triple witching
- Trade the flows, not the calendar. Direction comes from net orders, positioning, liquidity, and catalysts, and the date only concentrates the turnover.
- Discount the volume for rolls. A futures roll records an exit and an entry while the exposure stays in place.
- Map each product to its own settlement. AM-settled contracts settle on the opening prints and PM-settled contracts on the close, at different times and on different calculations.
- Track exposure and premium separately: the example’s $1 billion is futures notional, and its $30 million is option premium paid.
Bottom line
Triple witching is the quarterly session when index futures, index options, and stock options expire together and turnover concentrates. Plan each contract around its own deadline and settlement, read rolls as paired trades, and judge direction from net flow and price response rather than from the date itself.
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Sources and Further Reading
How entries are sourced, calculated and updated: editorial methodology.