triple witch open interest

Discussion in 'Trading' started by SethArb, Mar 15, 2003.

  1. huge open interest buildup in stock index futures

    seems this always happens

    approaching triple witch expiry

    but fridays changes are quite big (?)

    comments appreciated .....
  2. 1,003,414 thurs

    926,930 fri

    volume for e mini sp500 futures
  3. made a fortune

    and somebody lost a fortune

    this morning ... wow
  4. that's right Seth. Looks like March is going to be another great month for many CTAs, volatility is exploding. My calculations show that top 100 CTAs from iasg database (in terms of assets under management) had +4.4% avg result in Jan 2003.