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 12, 2017
EXPIRY SESSIONJun 16, 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 | +9.33% | +0.17% | +11.17% |
| 3D | +7.76% | +0.17% | +11.17% |
| 5D | +9.68% | +0.17% | +15.42% |
| 7D | +11.65% | +0.17% | +15.42% |
| 14D | +1.88% | -6.29% | +15.42% |
| 30D | -20.67% | -27.05% | +15.42% |
| 90D | +34.87% | -27.05% | +106.64% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.