Stock index futures, stock options, stock index options and single stock futures (SSF’s) all expire on the 3rd Friday of March, June, September and December. This day is referred to as Quad or Quadruple Witching Friday.
Derivative traders will be more active during this time due to the combined effects of exercise, delivery, hedging, arbitrage as well as speculative options trading and futures trading activity during quad-witching. Generally, there is a 50-70% increase in volume leading up to this day. Although the overall action doesn’t look like other days, underneath the surface, there is a lot of trading occurring to hedge delta and to attempt to pin prices in order to generate or hedge returns.