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 WINDOWMar 13, 2017
EXPIRY SESSIONMar 17, 2017
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 | -17.45% | -21.76% | -6.73% |
| 3D | -11.08% | -21.76% | -6.73% |
| 5D | -11.96% | -21.76% | -4.69% |
| 7D | -20.44% | -21.76% | -4.69% |
| 14D | -7.33% | -24.26% | -4.69% |
| 30D | +0.25% | -99.99% | +5.01% |
| 90D | +105.09% | -99.99% | +155.29% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.