Triple witching: what it is, the 2026 and 2027 dates and what it does to volume

Triple witching is the day each quarter when three kinds of US equity derivatives expire together: stock options, stock index options and stock index futures. It falls on the third Friday of March, June, September and December, and the next one is Friday 18 December 2026. The market keeps its normal hours. What changes is volume: on the seven witching days from March 2025 to September 2026, ten large US stocks traded a median 2.29 times the shares of an ordinary session, more than half of them in the closing auction or outside regular hours.

What is triple witching?

Every option and future has an expiration date. US stock options and the standard monthly index options expire on the third Friday of every month. Stock index futures expire only in the quarterly months: March, June, September and December, the H, M, U and Z of futures month codes. Four times a year the calendars line up, and positions in all three have to be closed, rolled to a later date or settled on the same day.

• Stock optionsCalls and puts on single stocks and ETFs. The monthly series stop trading at the third-Friday close, and options in the money at that close are exercised into shares.
• Stock index optionsCash-settled options on an index. The standard monthly series settle on a value built from each component stock’s opening price that morning.
• Stock index futuresQuarterly contracts on an index, expiring in March, June, September and December. Their final settlement uses the same opening prices.

The name comes from the witching hour. Index futures and options used to settle on closing prices, so the last hour of the quarterly expiration Friday drew sharp swings. From June 1987 the main index futures settled on opening prices instead, the main index options followed in the early 1990s, and the name stayed.

Triple witching vs quadruple witching

Quadruple witching is the same day under a later name. It dates from 2002, when US single-stock futures began trading and added a fourth contract to the quarterly expiration. They stopped trading in 2020 and came back in July 2026 as cash-settled quarterly contracts on more than 50 large US stocks, which stop trading at the third-Friday close, so the fourth contract is back. Some traders count the options on index futures as the fourth instead. Both names describe the same four days a year.

Triple witching dates for 2026 and 2027

Monthly expirations follow the same rule in the other eight months. The last one left in 2026 is Friday 20 November; in 2027 they fall on 15 January, 19 February, 16 April, 21 May, 16 July, 20 August, 15 October and 19 November.

Why June triple witching falls on a Thursday

When the third Friday is a market holiday, contracts expire on the business day before. Juneteenth, 19 June, fell on a Friday in 2026, so the June expiration ran on Thursday 18 June. In 2027 the holiday falls on a Saturday and the market closes the Friday before, 18 June, which is again the third Friday, so June 2027 expires on Thursday 17 June. TickerLayer’s futures roll calendar already carries that date as the last trade date of the June 2027 US 500 index contract:

{
  "front": "US500.JUN27",
  "next": "US500.SEP27",
  "roll_window_days": ["2027-05-07", "2027-05-10", "2027-05-11", "2027-05-12", "2027-05-13"],1
  "last_trade_date": "2027-06-17",2
  "rotation_at": "2027-06-16T22:00:00.000Z"3
}

Triple witching calendar

What happens on triple witching day

1. 1At the openQuarterly index futures and the standard monthly index options settle on a value computed from each component stock’s opening price, so orders pile into the 9:30 a.m. New York opening auctions.
2. 2During the sessionHolders of expiring stock options close them, roll them to a later month or let them run to exercise, and dealers unwind the stock they held as a hedge.
3. 3At the 4 p.m. closeSingle-stock options stop trading and the closing price decides which are exercised; since July 2026 the quarterly single-stock futures settle on it too. Several widely tracked index families schedule their quarterly rebalances for the same close, so index funds trade the changes in the closing auction.
4. 4After the closeOptions in the money are exercised into stock trades that settle the next business day, and index changes take effect from Monday’s open.

In UTC the open is at 14:30 and the close at 21:00 on 18 December, with New York on standard time; in March, June and September both come an hour earlier, at 13:30 and 20:00.

Triple witching volume: what the data shows

To measure the effect, divide each stock’s daily volume by the median of its previous 20 sessions, so 1.00 is an ordinary day. Ten large US stocks (US:KO, US:JPM, US:XOM, US:PG, US:JNJ, US:HD, US:CVX, US:MCD, US:DIS and US:BA), every session from January 2025 to 30 October 2026:

Expiring stock options alone barely register: monthly expirations, which carry the same single-stock options, run at 1.12 times. The jump to 2.29 belongs to the quarter, when index futures expire and index funds rebalance at the same close. For 37 of the 70 stock-quarters, the witching day was the stock’s busiest session of the quarter.

Index ETFs moved less. Three of them, US500ETF, US100ETF and US30ETF, ran at 1.31 times on witching days, 1.28 times on monthly expirations and 1.07 times on ordinary Fridays. Their volume follows market stress more than the calendar: their combined volume peaked in the first half of April 2025.

Most of the extra volume prints in the closing auction

A US daily bar counts consolidated volume for the whole day, while hourly bars cover the regular session from 9:30 a.m. to 4 p.m. New York time (historical stock data shows the gap on an ordinary day). What the daily bar holds beyond the hourly bars is mostly the closing auction, which prints at 4 p.m., plus pre-market and after-hours trades. On witching days that share more than doubles:

The opening hour is busier too, as index contracts settle on opening prices, but the close is where most of the extra shares change hands. For data work that is the practical point: an intraday volume profile, a VWAP or a liquidity filter built from session bars typically misses more than half of a witching day’s volume.

Does triple witching move stock prices?

Less than the volume suggests. Over the same sample the typical daily move was no larger on witching days, for the ten stocks or for the US500 index:

The direction was mixed as well: US500 closed higher on five of the seven witching days, while the ten stocks closed lower on 44 of their 70. Seven days are far too few to call either a pattern. Traders also talk about pinning, prices drifting toward strikes with large open interest as hedges unwind; daily bars cannot show it, and expiration reliably concentrates trading, not direction.

December 2026: a reconstitution, then the witching

The next witching comes a week after a new date on the index calendar. A widely tracked family of US size indexes rebuilds its membership on the fourth Friday of June and, from 2026, in December too, its first December reconstitution in more than three decades: changes take effect after the close on Friday 11 December 2026. The June event shows in the same data. On 26 June 2026 the ten stocks traded a median 1.77 times their usual volume, and US:KO 53.5 million shares, its busiest day since January 2025.

So December has two heavy Fridays a week apart: 11 December for that reconstitution, and 18 December for the witching and the quarterly rebalances that share its close. The following week ends with a 1 p.m. early close on Thursday 24 December. In TickerLayer’s futures data, the continuous US 500 index chain US500.C1 moves from the December to the March contract at 18:00 New York time on 17 December, the evening before the last trade date.

Find witching days in your own data with Python

witching_volume.py pulls daily bars for the ten stocks, one request each, finds every third Friday (or the session before it when the market was shut), and divides each day’s volume by the median of the 20 sessions before. It needs Python 3.9 or newer, the standard library and a TICKERLAYER_API_KEY environment variable; free keys cover US stocks over REST.

"""Volume on triple witching days against an ordinary session. Python 3.9+, standard library only."""
import json
import os
import statistics
import sys
import urllib.request
from datetime import date, datetime, timedelta, timezone

API = "https://api.tickerlayer.com"
KEY = os.environ.get("TICKERLAYER_API_KEY") or sys.exit("Set TICKERLAYER_API_KEY first.")
FROM, TO = "2024-12-01", "2026-10-30"  # 20 sessions of history before the first witching day
SYMBOLS = ["US:KO", "US:JPM", "US:XOM", "US:PG", "US:JNJ", "US:HD", "US:CVX", "US:MCD", "US:DIS", "US:BA"]
BASELINE = 20  # sessions before the day; the median ignores one earlier spike


def daily_bars(symbol):
    url = f"{API}/stocks/agg/{symbol}/1/day/{FROM}/{TO}?sort=asc&limit=5000"
    req = urllib.request.Request(url, headers={"x-api-key": KEY})
    with urllib.request.urlopen(req, timeout=30) as resp:
        bars = json.load(resp)["results"]
    return [(datetime.fromtimestamp(b["t"] / 1000, timezone.utc).date(), b["v"]) for b in bars]


def third_friday(year, month):
    first = date(year, month, 1)
    return first + timedelta(days=(4 - first.weekday()) % 7 + 14)


def expiration_days(sessions):
    """Third Friday of each month, or the session before it when the market was shut that Friday."""
    quarterly, monthly = set(), set()
    for year in range(int(FROM[:4]), int(TO[:4]) + 1):
        for month in range(1, 13):
            day = max((s for s in sessions if s <= third_friday(year, month)), default=None)
            if day and (day.year, day.month) == (year, month):
                (quarterly if month % 3 == 0 else monthly).add(day)
    return quarterly, monthly


ratios = {"witching": [], "monthly": [], "friday": [], "weekday": []}
print(f"Volume against the median of the previous {BASELINE} sessions, daily bars to {TO}")
first = True
for symbol in SYMBOLS:
    bars = daily_bars(symbol)
    sessions = [d for d, _ in bars]
    quarterly, monthly = expiration_days(sessions)
    if first:
        print("witching days:", ", ".join(d.strftime("%d %b %y") for d in sorted(quarterly) if d.isoformat() > "2025"))
        print(f"{'symbol':<8}" + "".join(f"{d.strftime('%b %y'):>8}" for d in sorted(quarterly) if d.isoformat() > "2025") + f"{'median':>8}")
        first = False
    row = []
    for i in range(BASELINE, len(bars)):
        day, volume = bars[i]
        ratio = volume / statistics.median(v for _, v in bars[i - BASELINE : i])
        kind = "witching" if day in quarterly else "monthly" if day in monthly else "friday" if day.weekday() == 4 else "weekday"
        ratios[kind].append(ratio)
        if kind == "witching":
            row.append(ratio)
    print(f"{symbol:<8}" + "".join(f"{r:>7.2f}x" for r in row) + f"{statistics.median(row):>7.2f}x")
for kind, values in ratios.items():
    print(f"{kind:<9} {len(values):>5} stock-days, median {statistics.median(values):.2f}x")

Volume against the median of the previous 20 sessions, daily bars to 2026-10-30
witching days: 21 Mar 25, 20 Jun 25, 19 Sep 25, 19 Dec 25, 20 Mar 26, 18 Jun 26, 18 Sep 26
symbol    Mar 25  Jun 25  Sep 25  Dec 25  Mar 26  Jun 26  Sep 26  median
US:KO      2.21x   3.20x   1.89x   2.12x   1.96x   3.04x   1.89x   2.12x
US:JPM     1.87x   1.92x   3.29x   2.78x   2.25x   2.31x   3.31x   2.31x
US:XOM     2.39x   2.11x   2.65x   3.09x   2.45x   2.89x   2.77x   2.65x
US:PG      1.98x   2.50x   2.75x   1.85x   6.73x   2.05x   1.53x   2.05x
US:JNJ     1.90x   3.28x   3.58x   2.93x   2.31x   2.57x   2.73x   2.73x
US:HD      2.08x   2.62x   1.81x   2.75x   2.43x   2.27x   2.27x   2.27x
US:CVX     2.45x   2.65x   2.24x   2.52x   2.79x   2.19x   6.00x   2.52x
US:MCD     1.65x   2.65x   1.98x   1.96x   2.25x   1.94x   2.27x   1.98x
US:DIS     1.59x   1.93x   3.57x   1.79x   2.48x   2.75x   2.56x   2.48x
US:BA      3.83x   1.24x   1.73x   1.77x   1.92x   1.36x   2.07x   1.77x
witching     70 stock-days, median 2.29x
monthly     150 stock-days, median 1.12x
friday      710 stock-days, median 0.96x
weekday    3670 stock-days, median 1.00x

The script needs no holiday calendar: it reads the trading days from the bars, so a Friday without a bar moves the expiration to the session before, as on 18 June 2026. For dates ahead of today, take the closures from /markets/holidays or the last trade dates in the futures roll calendar.

How witching days distort data and backtests