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 WINDOWDec 12, 2016
EXPIRY SESSIONDec 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 | +1.60% | +0.43% | +2.04% |
| 3D | +1.89% | +0.43% | +2.43% |
| 5D | +7.52% | +0.43% | +7.52% |
| 7D | +18.18% | +0.43% | +18.34% |
| 14D | +23.79% | +0.43% | +27.41% |
| 30D | +7.36% | -5.35% | +51.39% |
| 90D | +51.40% | -5.35% | +75.22% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.