June Triple Witching Volatility and Losses

The second Triple Witching Week (Quadruple Witching if you
prefer) of the year brings on some volatile trading with losses frequently
exceeding gains. NASDAQ has the weakest record on the first trading day of the
week. Triple-Witching Friday is usually better, S&P 500 has been up eleven
of the last nineteen years, but down six of the last seven.

Full-week performance is choppy as well, littered with
greater than 1% moves in both directions. The week after Triple-Witching Day is
horrendous. This week has experienced DJIA losses in 27 of the last 32 years
with an average performance of -1.00%. S&P 500 and NASDAQ have fared
slightly better during the week after over the same 32-year span, declining 0.68%
and 0.20% respectively on average.

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