昨天三巫日沒有大波動，這裏有篇文章解釋的比較好

https://www.interactivebrokers.com/campus/traders-insight/securities/options/triple-witch-says-remember-me

核心觀點是AM過期的指數期權，在周四大波動後，已經沒有太多ATM附近需要hedge的動力了。 

"Quite frankly, expiring index options had little influence on this morning’s open.  After yesterday's rally, we’d outkicked the open interest.  There simply weren’t many AM expiring contracts near the money today, and since it’s safe to assume that the bulk of the other contracts had already been hedged, pre-market futures were relatively stable this morning."

BTW, 文章最後一句話解釋了為什麽四巫日變三巫日 :)

 

所有跟帖： 

• 現在不是沒有四巫日，而是三巫日了？ -cnrhm2017- ♂ (0 bytes) () 09/21/2024 postreply 08:21:37

• 現在沒有“個股期貨”了。以前這也是一巫 -opst- ♂ (81 bytes) () 09/21/2024 postreply 08:33:48

• 我的理解是昨天沒有個股期貨結算，所以是三巫日。並非現在把個股期貨結算日排除在外。 -czhz- ♀ (0 bytes) () 09/21/2024 postreply 11:04:05