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Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches

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  • Caihong Xu

Abstract

Recently, the NASDAQ‐OMX Nordic Exchange announced a change of expiration day for the OMXS 30 index futures and options. The OMXS 30 index derivatives used to expire on the fourth Friday of the expiry month while derivatives on individual stocks expired on the third Friday. After the change, derivatives on both the index and individual stocks expire on the third Friday of the expiry month making the third Friday the “quadruple witching Friday” as stock futures, stock options, index futures, and index options expire simultaneously. This contractual change provides a unique opportunity to investigate its impact on expiration‐day effects. The results show that there is hardly any expiration‐day effect due to the derivatives' expirations before or after the contractual change, except the abnormally higher trading volumes at the stock derivatives' expirations before the change, and on the quadruple witching Fridays after the change. Most importantly, there is no significantly intensified abnormal volume, volatility, or price distortion effect due to the seemingly “extraordinary” change in the OMXS 30 index derivatives, despite the quadruple witching expirations after the change. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:868–882, 2014

Suggested Citation

  • Caihong Xu, 2014. "Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(9), pages 868-882, September.
    • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:9:p:868-882
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    Cited by:

    1. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan, 2014. "Insider trading and information revelation with the introduction of futures markets," Economic Modelling, Elsevier, vol. 43(C), pages 173-182.
    2. Alex Frino & Caihong Xu & Z. Ivy Zhou, 2022. "Are option traders more informed than Twitter users? A PVAR analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1755-1771, September.
    3. Henryk Gurgul & Milena Suliga, 2020. "Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(3), pages 869-904, September.
    4. Blasco, N. & Corredor, P. & Satrústegui, N., 2023. "Is there an expiration effect in the bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 647-663.
    5. Vladimir Pyrlik & Pavel Elizarov & Aleksandra Leonova, 2021. "Forecasting Realized Volatility Using Machine Learning and Mixed-Frequency Data (the Case of the Russian Stock Market)," CERGE-EI Working Papers wp713, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

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