The above charts illustrate the week of and the week after March's Triple Witching Friday for the 5 years from 2007 to 2011. In 2008, however, the third Friday of the month was a Good Friday holiday, so the last day of trading for the equity options was Thursday before Good Friday.
TW on the charts is Triple Witching. SP on the charts is Saint Patrick's Day.
The one thing that really stands out during the last 5 years is that the Monday after Triple Witching closes substantially higher than its open. Except for 2010, the close of that Monday is higher than the previous day's high.
In the years 2007, 2009 and 2010, Triple Witching Friday had a close lower than its open. 2011 was almost a neutral close day.
Except for 2008, the following week has closed higher than the close of Triple Witching Day.
Charles
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