Ready for a Wild Day? Quadruple Witching, Index Rebalance Coming

(Bloomberg) -- Equity investors already buffeted in a week full of U.S. tax debates and central bank updates from around the world may have another wild day to deal with.

In the U.S. stock market, Friday’s quarterly expiration of futures and options on indexes and individual stocks occurs amid S&P 500 rebalancing, an event that usually brings surging volatility and trading.

Last time “quadruple witching” and an S&P 500 rebalancing took place on Sept. 15, 8.7 billion shares changed hands on U.S. exchanges, 38 percent above the three-month average. 

S&P 500 rebalance would force $19.7 billion of trades, up from an estimated $13.2 billion a year ago, S&P Dow Jones estimated on Dec. 10.

To contact the reporter on this story: Lu Wang in New York at lwang8@bloomberg.net.

To contact the editors responsible for this story: Arie Shapira at ashapira3@bloomberg.net, Scott Schnipper

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