The Bearish Aftermath of Quad Witching

By Rob Hanna

A Twitter follower ( @SonnyRico ) asked me about weeks following Quad-witching, which occurs in March, June, September, and December. As I have shown in the past, the 2nd half of December has shown bullish tendencies historically (ignore 2018), but those other 3 have NOT been good weeks for the market. In fact, back in September I discussed the “Weakest Week”, which is the week after September opex. In the Quantifiable Edges subscriber letter that same week (free trial here) I showed a table with the best and worst weeks of the year since 1988. Below is an updated version of that table, showing just the bottom 8 weeks. (Note I did not include weeks after the 5th Friday of the month, since instances for those were greatly reduced.)

2019-03-15

We see here that the week after opex for September, June, and March have in fact been the worst 3 weeks of the year over the last 31 years. You’ll also note that the whole group shown follow either the 1st or 3rd Friday of the month. And if I were to show the best weeks of the year, you’d notice that they all follow the 2nd and 4th Fridays of the month. Below is a look at results if someone were to have bought opex Friday’s close in March, June, and September since 1988.

2019-03-15-3

The stats are poor as we knew they would be. The strong, steady downslope is also supportive of the idea of a seasonally bearish edge. Traders may want to keep this in mind next week.

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Gary

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