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 11, 2017
EXPIRY SESSIONSep 15, 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 | +14.65% | +10.76% | +24.38% |
| 3D | +26.14% | +6.93% | +27.06% |
| 5D | +19.13% | +6.93% | +27.06% |
| 7D | +11.34% | +6.93% | +27.06% |
| 14D | +27.89% | +6.93% | +31.37% |
| 30D | +75.17% | +6.93% | +80.50% |
| 90D | +415.31% | +6.93% | +505.99% |
Base price is the last Coinbase BTC-USD daily close completed before the event. These outcomes do not prove the event caused the move.