Triple witching hour

Four times a year, it comes to the world's three major derivatives exchanges in large coven, usually expire on the third Friday of the third month of each quarter, to the futures contracts, such as futures and options.

Importance

At this great expiration days run on the futures exchange Eurex futures contracts, ie futures and options, as follows:

• STOXX family between 11:50 bis 12:00 clock
• Dow, Nasdaq, respectively at 13:00 clock, MDAX 13:05 clock ( XETRA lunch auction )
• Shares at 17:30 clock (start XETRA closing auction )

Expiration means that the specified times, the settlement prices are determined for assessing the options and futures (settlement price ). Example: For DAX Futures ( FDAX ) and DAX options ( ODAX ) means that is determined at 13:00 clock the DAX price level of the stock market and this turn the official measure of all expiring on that day futures contracts on the DAX is. For the FDAX a settlement is prior to the expiration calculated daily price at 17:30. The difference between the DAX price at 13:00 clock and the previous day's settlement of FDAX at 17:30 clock will be credited or debited depending on the DAX - course status. If the contract opened on the day of expiry, the transaction rate is in lieu of the previous day's Settlements.

When ODAX the handling is different. Exist here - in contrast to FDAX - different base prices at which the options can be exercised. While also takes place here daily settlement, but the difference is calculated inversely with purchase options DAX price minus the strike price and put options in the base price minus DAX price. Only positive differences into account - this will be - again in contrast to FDAX. If, for example, will be an option to purchase the base price above the DAX price, this simply expires worthless.

Effects

The business on the futures market is often much greater than the cash markets. For example, the average share turnover of the 30 DAX stock is 8-12 billion Euros per day. This corresponds to an index level of 4000 points to a theoretical value 80000-120000 DAX futures, actually 170000-220000 contracts are on average but are traded.

As the fair value of the DAX futures ( FDAX ) is held by a very efficient arbitrage on the mathematically correct value FDAX can also be used in reverse for short-term manipulations of the DAX. Would a larger amount FDAX bought or sold on the futures market, the price of the FDAX would move in the desired direction. An example: The sale of a larger quantity of FDAX contracts leads to a decrease of FDAX course under the fair value. The arbitrage now ensures that there is convergence to the fair value by the FDAX Future is purchased and the corresponding DAX stock are sold. Thus, the FDAX rises again slightly, but at the same time decreases the DAX.

If this happens just before the expiration at 13:00 clock basis, the settlement price can be for all DAX derivatives, which expire at 13:00 clock, affected. Also the Closing of FDAX contracts are also released, as they are simply billed at 13:00 clock using the settlement price.

Worldwide falls of the Witches' Sabbath on all major exchanges on the same day. It also expire contracts on other indices, international equities, commodities, currencies, etc.

Dates

Special rules If the third Friday of the third month of a quarter on a public holiday apply. At the Eurex derivatives exchange the expiry date for many products is then the exchange day immediately preceding that day:

• 2004: 19.3, 18.6, 17.9, 17:12. .. .
• 2005: 18.3, 17.6, 16.9, 16:12. .. .
• 2006: 17.3, 16.6, 15.9, 15:12. .. .
• 2007: 16.3, 15.6, 21.9, 21:12. .. .
• 2008: 20.3, 20.6, 19.9, 19.12.. ..
• 2009: 20.3, 19.6, 18.9, 18.12.. ..
• 2010: 19.3, 18.6, 17.9, 17:12. .. .
• 2011: 18.3, 17.6, 16.9, 16:12. .. .
• 2012: 16.3, 15.6, 21.9, 21:12. .. .
• 2013: 15.3, 21.6, 20.9, 20.12.. ..
• 2014: 21.3, 20.6, 19.9, 19.12.. ..

The expiry date is large compared to the small expiry date, which falls on the third Friday of each month or at holidays on the preceding trading day. On this day, some series of derivative products run out.