Quadruple witchcraft refers to the date when stock index derivative futures, stock index options, stock options, and single stock futures expire at the same time.
This event takes place quarterly, on the third Friday of March, June, September and December.
Quadruple witch days are indicative of high trading volumes due in part to offsetting existing profitable futures and options contracts.
Investors can take advantage of the increased volume and arbitrage opportunities that result from the Quadruple Witchcraft.
Quadruple witchcraft does not necessarily lead to increased volatility in the markets.
A horizontal spread is a simultaneous long and short position in derivatives for the same underlying asset and strike price, but with different expiration dates.
Boundary conditions were used to establish the minimum and maximum possible values of call and put options prior to the introduction of binomial tree and Black-Scholes pricing models.
Deep-in-the-money options have strike prices that are significantly above or below the market price of the underlying asset and thus contain mostly intrinsic value.
Delta hedging is an options strategy that aims to be directional neutral by establishing compensating long and short positions in the same underlying asset.
The extrinsic value is the difference between the market price of an option, also known as its premium, and its intrinsic price, which is the difference between the strike price of the option and the price of the underlying asset.