SPDR S&P 500 (SPY)

[Pro-Life]

Here Comes The "Rush To The Exits"
by Tyler Durden - Mon, 12/17/2018 - 17:32

https://www.zerohedge.com/news/2018-12-17/here-comes-rush-exits

If Monday's action wasn't fun enough, this Friday we prepare to send off the year with a quadruple expiration, a day in which all four of the different types of options and futures contracts expire on the same day. Historically, quad witching weeks tend to be extremely volatile as large derivative positions are rolled over.

And here is the kicker: since 1990 the average weekly spread between the high and low for the S&P 500 during December quadruple witching weeks is 3.11%. That doesn’t sound like much but it’s nearly twice the 25 year average and using Friday’s closing data would result in a potential range of 2679 on the high side and 2518 on the low side for the S&P 500 this week.