Quarterly expiry research
DERIVATIVES · QUARTERLY EXPIRY
Quarterly US Derivatives Expiry
Recurring U.S. equity-index derivatives expiry, also commonly called triple witching or quad witching. It is positioning context, not a directional Bitcoin signal.
STATUSCOMPLETED
ROLL WINDOWJun 13, 2016
EXPIRY SESSIONJun 17, 2016
HOLIDAY ADJUSTEDNo
BTC DATA7/7 windows complete
DIRECTIONAL PRIORNone
OBSERVED BTC PATH · COMPLETED DAILY CANDLES
Bitcoin reaction after expiry
| Horizon | Return | Worst excursion | Best excursion |
|---|---|---|---|
| 1D | -1.40% | -4.54% | +2.00% |
| 3D | -8.66% | -8.93% | +2.00% |
| 5D | -21.47% | -26.20% | +2.00% |
| 7D | -12.96% | -29.31% | +2.00% |
| 14D | -11.90% | -29.31% | +2.00% |
| 30D | -11.66% | -29.31% | +2.00% |
| 90D | -21.35% | -37.25% | +2.00% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.