“Triple witching” is the third Friday of March, June, September and December when stock index futures, stock market index options, and stock options all expire. The day is called “triple witching day” and the last hour of the stock market trading session (3 p.m.-4 p.m. in New York) is called the “triple witching hour.”
 
“Witching hour” or “witching time” is a Shakesperian term for a scary, spooky period “When Churchyards yawne, and Hell it selfe breaths out Contagion to this world” (Hamlet).
 
“Double witching” (when stock index futures and stock market index options expire) was cited in the April 15, 1985 New York (NY) Times, “Triple witching” was cited in the June 24, 1985 New York (NY) Times. “Quadruple witching” (when single stock index futures also expire) is a newer addition to the trading lexicon and is cited from December 20, 2002.
 
 
Wikipedia: Triple witching hour
Triple witching hour is the last hour of the stock market trading session (3:00-4:00 P.M., New York Time) on the third Friday of every March, June, September, and December. Those days are the expiration of three kinds of securities:
 
. Stock index futures.
. Stock market index options.
. Stock options.
 
The simultaneous expirations generally increases the trading volume of options, futures and the underlying stocks, and occasionally increases volatility of prices of related securities.
 
With the introduction of
 
. Single stock futures expiring on the same days, triple witching has become quadruple witching.
 
Concept
The term “triple witching” is conventionally thought to originate from the three witches in Shakespeare’s play Macbeth. While the terms “double witching” and “quadruple witching” are sometimes used too, it doesn’t carry the same foreboding connotation as triple witching. The phrase is intended to connote the extra volatility leading up to the event resulting from the expiration dates of three financing instruments.
 
Investopedia
Double Witching
Similar to triple witching, but instead of three classes of options or futures expiring on the same day, double witching is when only two classes (any two) are expiring. The three classes are stock options, index options, and index futures.
   
In other words, this is when option contracts and futures contracts expire on the exact same day.
   
Double and triple witching days can be volatile at times as arbitrageurs scramble to close out their positions.
   
Investopedia
Triple Witching
An event that occurs when the contracts for stock index futures, stock index options and stock options all expire on the same day. Triple witching days happen four times a year on the third Friday of March, June, September and December.
 
This phenomenon is sometimes referred to as “freaky Friday”. 
 
The final trading hour for that Friday is the hour known as triple witching. The markets are quite volatile in this final hour, as traders quickly offset their option/futures orders before the closing bell. If you are a long-term investor, triple witching will have a minimal impact on you. 
   
Investopedia
Quadruple Witching
A day on which contracts for stock index futures, stock index options, stock options and single stock futures (SSF) all expire. 
   
This is similar to the triple witching hour, except that the quadruple witching hour sees also the expiry of SSFs.
 
Quadruple witching days occur on the third Friday of March, June, September and December. 
 
(Oxford English Dictionary)
witching, ppl. a.
spec. Of time: Belonging or appropriate to the deeds of witches and witchcraft, and hence to supposed supernatural occurrences.
In later use echoing Shakes.
1602 SHAKES. Ham. III. ii. 406 ‘Tis now the verie witching time of night, When Churchyards yawne, and Hell it selfe breaths out Contagion to this world.
1742 BLAIR Grave 55 Such Tales their Chear, at Wake or Gossiping, When it draws near to Witching Time of Night.
1835 LYTTON Rienzi I. xii, It was now the witching hour consecrated to ghost and spirit.
   
(Oxford English Dictionary)
triple witching n. Stock Market colloq. (orig. U.S.) a trading session during which three types of derivatives contracts expire, typically associated with volatile and unpredictable trading; freq. attrib., esp. (in triple witching hour) designating the final hour of such a trading session; also in extended use.
1985 N.Y. Times 24 June D5/1 Several days before last Friday’s ‘*triple witching hour’, many professional stock traders again braced for a wild final 60 minutes in the life of three key market forces: index futures and stock and index options.
1998 J. ROZARIO in C. W. Smithson Managing Financial Risk (ed. 3) iii. 45 The large price swings that occurred during triple-witching were much anticipated and discussed by the media.
2003 Card News (Electronic ed.) 14 May, Visa and MasterCard were facing a litigation triple witching hour as action on three separate antitrust lawsuits escalates in the coming weeks.
2006 Daily Tel. (Nexis) 18 Mar. 35 Volumes were heavy with 4.5bn shares changing hands and the so-called ‘triple witching’ periodwhen the FTSE’s index futures, index options and share options expirepassed smoothly.
     
15 April 1985, New York (NY) Times “Futures/Options” by H. J. Maidenberg, pg. D4:
Witching Hour For Investors
SUPERSTITIOUS or not, many stock investors have come to regard the last hour of trading on the third Friday of each month as the “witching hour,” a time when the market seems to plunge for no apparent reason. It is also a time when the current month’s Major Market Index options expire.
 
On March 15, for example, when that month’s M.M.I. options died, the Dow Jones industrial average dropped more than 14 points even though there was no significant market news. Previous expiration dates ofthe options have witnessed similar downward price “spikes.”
 
“While the next witching hour will come on this Friday, when this month’s index options expire, it does not mean the market will plunge again,” said Jack A. Barbanel, director of futures trading at Gruntal & Company. “We could see a sharp upward spike on April 19. It all depends on whether big traders have used the expiring options to create large long or short positions in the market.”
(...)
“Whatever happens on April 19,” Mr. Barbanel said, “we think June’s witching hour will be most interesting for two reasons. One, June is an expiration month for both index futures and options, which occurs at three-month intervals. Second, many large institutions and individual investors normally sell short the more liquid and more highly leveraged S.&P. 500 index futures for hedging and income-producing purposes, just as they do the XMI options and futures.”
 
Quite often, the profits from the highly leveraged index futures are much greater than the portfolio losses caused by price spikes. Consequently, Mr. Barbanel noted, “there will be a lot of money riding on either a sharp drop—or rise—in stock prices before June’s double witching hour ends.”
 
22 June 1985, New York (NY) Times, “Dow Soars By 24.75 To 1,324.48; Index Option Closing Cited,” pg. 35:
Stock prices soared to near-record levels yesterday on Wall Street, largely because of a new wave of takeover speculation in food stocks as well as professional trading connected with the expiration of stock index options.
(...)
“Psychotic Day”
But traders said Wall Street also exhibited the frenzy that often accompanies the end of an option cycle. Alfred Goldman, a market analyst at Mitchell A.G. Edwards, said, “Typically, expiration Friday is a psychotic day in the market.”
     
22 June 1985, New York (NY) Times, “Last-Hour Fireworks From Options, Futures” by Leonard Sloane, pg. 39:
It was what Wall Street called the “double witching hour” between 3 and 4 P.M. yesterday, as arbitragers and institutional traders had their final opportunity to close out both June stock-index options and futures positions. The activity gave a strong boost to the Dow Jones industrial average and volume on the New York Stock Exchange.
(...)
Among the most active contracts that expired yesterday were the Standard & Poor’s 100 options on the Chicago Board Options Exchange and the Standard & Poor’s 500 futures on the Chicago Mercantile Exchange. The index options expire on the third Friday of every month, while the index futures expire on the third Friday of March, June, September and December. The double witching hour, when index options and futures contracts expire simultaneously, comes only four times a year.
 
24 June 1985, New York (NY) Times, “Futures/Options” by H. J. Maidenberg, pg. D5:
Expirations Stir a Frenzy
SEVERAL days before last Friday’s “triple witching hour,” many professional stock traders again braced for a wild final 60 minutes in the life of three key market forces: index futures and stock and index options. And a wild 60 minutes it was. The market, as measured by the Dow Jones industrial average, soared to close up 24.75 points, at 1,324.48.
 
Not only do the professionals expect the final trading hour of the third Friday of each month to be exciting, but they know which way the market will jump during the last hour and begin positioning their portfolios accordingly beforehand.
 
In fact, as early as last Wednesday arbitragers and other professionals began unwinding spreads involving bewildering combinations of stocks and of June stock options as well as index futures and options that also expired last Friday.
(...)
Another expert on the relationship between the index options and futures and the stock market is Arthur M. Rose, vice president and Atlantic region options trading director at E. F. Hutton & Company. As he prepared his staff for Friday’s “triple witching hour,” he said:
 
“On the third Friday of eight months of the year, we have a double witching hour, when just the corresponding stock and index options expire. But it gets really scary on the third Fridays of June, September, December and March, when the index futures also expire and we have a triple witching hour. Still, not all witching hours are alike or produce the same amount of fireworks.”
 
20 July 1985, New York (NY) Times, “Dow Sets Record 3d Time in Week,” pg. 35:
Unlike previous options expiration dates, so-called witching hours, the market remained orderly at the close.
     
22 March 1986, New York (NY) Times, “Dow Falls by 35.68 in a Wild Session” by John Crudele, pg. 1:
The reason for the tumult was an occurrence known on Wall Street as a “triple witching hour,” when contracts for three types of trading instruments—stock index options, stock index futures and individual stock options—expire simultaneously.
 
Occurs Four Times a Year
This event, which occurs four times a year, is an opportunity for the big institutions that trade in those instruments—those with at least $5 million to invest—to profit from price discrepancies in those types of investments.
 
6 June 1986, New York (NY) Times,  “S.E.C. Offers Remedies For the ‘Witching Hour’” by Nathaniel C. Nash, pg. D1:
WASHINGTON, June 5. The Securities and Exchange Commission today proposed three ways to reduce the often-violent price swings in stocks on the four days a year when stock options, index options and futures on index options all expire, also called the “triple witching hour.”
(...)
The triple witching hour occurs every three months, on the third Friday of the month. The volatility has been caused primarily by programmed trading in stock index options and options futures, in which arbitragers use computer monitoring and automatic trading procedures to take advantage of price discrepancies between the index options and the underlying stocks that make up the index.
 
However, when the options expires every three months, traders often rush to market on Friday afternoon with large buy or sell orders in order to cover their positions. These excessive orders cannot always be handled efficiently by exchange and thus stock prices often fall precipitously or soar.
 
15 June 1986, New York (NY) Times, “Wall Street’s Computers Gain Power” by Nathaniel C. Nash, pg. E4:
IT happens four times a year—on the third Friday of every third month—and it can make even the most seasoned Wall Street trade quake.
 
It is the triple witching hour, when computers execute hundreds of trades a minute and millions of dollars are made on tiny price discrepencies between options, futures and stocks. it is a kind of organized chaos, and on March 21, the day of the most recent witching hour, the Dow Jones industrial average fell almost 30 points in the last 60 minutes of trading. Sell orders for more than 45 million shares hit the floor of the New York Stock Exchange in he last few minutes.
       
20 June 1986, Philadelphia (PA) Daily News, “Wall St.‘s Under Spell of Triple Witchery,” pg. 43:
Halloween comes four times a year on Wall Street, not counting Oct. 31. Today’s “triple witching hour” could be a trick or a treat for traders and investors. The experts can’t predict the outcome, but there is a fear of a bloodbath and the potential for a bonanza. Even the big players are spooked by what could happen in the final hour of trading between 3 p.m. and 4 p.m. today, when the computer-driven program trades hit the floor of the New… 
   
Fortune magazine
DON’T FRET ABOUT PROGRAM TRADING
It has been blamed for making stocks more volatile and for at least part of the big drop in early September. Sure, computer-generated buy and sell orders can lock in mind-boggling profits. But they’re not increasing the risk for individual investors.
By Daniel Seligman REPORTER ASSOCIATE Susan Lindauer
October 13, 1986
(FORTUNE Magazine) – WHEN YOU OPENED the morning newspaper to the stock market pages on Friday, September 19, the main news story was not the usual account of the previous day’s market action. The main story in most papers was about what might happen to stock prices later that day. Friday was a day featuring the infamous Triple Witching Hour, and on such days in the past, ‘‘program trading’’ has often made the market more volatile. This time, however, nothing special happened; the witching hour proved to be a non-event. Wall Street has been feeling a bit spooked by program trading.
 
That term refers to buy and sell orders, typically huge, based on profit opportunities discernible only to investors who have certain computer programs working for them. Some people believe program trading is making the stock market much more volatile, and not only on Triple Witching Days. Some believe it is affecting the level of stock prices; the Wall Street Journal blamed program trading for some part of the 87-point tumble taken by the Dow Jones industrials on September 11. Some believe it is giving large institutional investors a significant new advantage over individuals in the market.
 
A huge majority of investors, it seems safe to say, do not have the faintest idea what is going on here but worry that program trading is making the stock market a riskier place to be. A pretty good case can be made that they should stop worrying. Program trading reflects the exploding popularity of all those mind-bending ‘‘derivative instruments’’ that have poured out of Wall Street and Chicago in the past decade or so. These include options on particular stocks, which give you the right to buy or sell a certain amount of the stock (the usual unit is 100 shares) at a specified price during a given time period. There are also options on stock market indexes like the New York Stock Exchange Composite, in which you get the right to buy or sell a multiple of the index at a specified price during a given period. Then there are futures contracts on stock market indexes, in which you commit to buy or sell a multiple of the index by a specified future date at a specified price.
 
When these varied instruments expire, the Street often sees frenzied trading. On four trading days each year, all three expire at the same time; these are the days of triple witchery.
 
HighBeam Research
Triple Witching casts spell on exchange specialists
Article from: Chicago Sun-Times
Article date: December 14, 1986
Author: David Greising
Editor’s note: The Triple Witching Hour occurs this Friday. The quarterly expiration of stock-index futures and options, and options on individual stocks, strains the New York Stock Exchange. During the last triple expiration Friday, Sept. 19, the Sun-Times went to the NYSE trading floor for a first-hand glimpse of the tumultuous event.
 
NEW YORK Nine o’clock, half an hour before trading starts on another triple witching hour Friday, and Billy Johnston pads across the hard-wood floor of the New York Stock Exchange.
   
TheStreet.com
Rebecca Byrne
Friday Marks First ‘Quadruple Witching’ Day
12/20/02 - 06:04 PM EST
You may not like it, but “quadruple witching” is destined to become a part of stock-market parlance.
 
Everyone has heard of “triple witching,” of course. That’s the expiration of options on stocks, stock indexes and index futures. But on Friday, single stock futures contracts, which were launched just last month, also expired.
While single stock futures are still a new product and open interest isn’t terribly large at this point, some analysts said the addition had an impact on the market Friday.
 
Diane Garnick, chief global strategist for State Street Global Advisors, said the derivatives market has been instrumental in sending the stock market higher. “Investors as a whole are net long puts, which means broker deals are short puts and to hedge their position, they needed to short [index and single stock] futures,” she said. “Now as these puts expire, the dealers are coming back in and buying back those futures, so that’s what’s providing a lot of the support today.”
 
A put is an option to sell a stock at a certain price at a certain date in the future and is a bet that the price of the stock will go down. The brokers who sell these put options typically take offsetting positions (by shorting futures) to protect themselves if the stocks do in fact go down and they are forced to buy back shares from their customers at the strike price. When put options expire or are closed out, brokers are left with exposed short futures positions, which they must then cover.
 
Google Books
Standard and Poor’s Guide to Money and Investing
By Virginia B. Morris and Kenneth M. Morris
Published by Lightbulb Press, Inc.
2005
Pg. 171:
QUADRUPLE WITCHING
Once every quarter—on the third Saturday of March, June, September, and December—stock options, stock index options, stock index futures, and single stock futures all expire at the same time. The phenomenon, which can trigger intense Friday trading to resolve all open positions before the deadline, is known as quadruple witching day. That’s one more witch than there used to be, before single stock futures began trading in 2002.