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 WINDOWSep 12, 2016
EXPIRY SESSIONSep 16, 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 | +0.41% | -0.24% | +0.59% |
| 3D | +0.52% | -0.24% | +1.16% |
| 5D | -1.39% | -2.12% | +1.16% |
| 7D | -0.41% | -2.12% | +1.16% |
| 14D | +0.59% | -2.12% | +1.16% |
| 30D | +6.03% | -2.12% | +6.87% |
| 90D | +28.20% | -2.12% | +30.54% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.