This, obviously, in no way predicts the future, but it's still interesting that recently the market gets nervous when one of these dates approaches.
From Wikipedia:
The IMM dates are the four quarterly dates of each year which most futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday), and IMM stands for the International Monetary Market.
This choice of date – middle of month and middle of week – minimizes issues with date rolling, as holidays are very unlikely to make the closest business day in another week or other month.
The term is also used for the conventional quarterly termination dates of credit default swaps, which fall on 20 March, 20 June, 20 September and 20 December – note that these may fall on a weekend. These are not precisely the IMM dates, but they fall close to them and thus are also referred to as "IMM dates", by abuse of language.
Source: http://en.wikipedia.org/wiki/IMM_dates
Last edited by Gumby on Fri Feb 24, 2012 11:54 am, edited 1 time in total.
Nothing I say should be construed as advice or expertise. I am only sharing opinions which may or may not be applicable in any given case.
Triple witching hour is the last hour of the stock market trading session (3:00-4:00 P.M., New York Time) on the third Friday of every March, June, September, and December. Those days are the expiration of three kinds of securities:
Stock market index futures;
Stock market index options;
Stock options.
The simultaneous expirations generally increases the trading volume of options, futures and the underlying stocks, and occasionally increases volatility of prices of related securities.
On those same days in March, June, September, and December, Single-stock futures also expire, so that the final hour on those days is sometimes referred to as the quadruple witching hour
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