Commentary

6/18/21 Quadruple Witching and Ex-Div

I was so excited by the Fed meeting, I didn’t realize today was quad witching and the Ex-div situation is murkier than usual. Spy is Ex 6/19 (tomorrow), otherwise 6/22 is popular, IWM happened already.

Brokers don’t do a good job of adjusting prices. IT guys don’t like to do it because it is a pretty serious operational complexity and either way, some people are going to bitch about it. If you are playing a strategy where whether the price is up or down is important, suddenly that is not clear. That makes their state of the art tools even worse, and God only knows what it does to back tests..

One way to avoid that is to just trade stocks that never pay dividends. Another way is to follow the announcements carefully. Personally, I make a haphazard effort to keep track.

Investiquant.com points out today that June quad witching is generally the weakest, and that theme seems to have started playing out.

The current signal is xMM.

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