昨天三巫日没有大波动，这里有篇文章解释的比较好

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

核心观点是AM过期的指数期权，在周四大波动后，已经没有太多ATM附近需要hedge的动力了。 

"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, 文章最后一句话解释了为什么四巫日变三巫日 :)

 

所有跟帖： 

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

• 现在没有“个股期货”了。以前这也是一巫 -opst- ♂ (81 bytes) () 09/21/2024 postreply 08:33:48

• 我的理解是昨天没有个股期货结算，所以是三巫日。并非现在把个股期货结算日排除在外。 -czhz- ♀ (0 bytes) () 09/21/2024 postreply 11:04:05