Triple witching – September 2012

It’s triple witching tomorrow (21 Sep 2012)!

To add some extra spice to the day there will also be a heavy re-weighting of the S&P indices.

And it’s the Autumn Equinox on 22 September.

According to Paul Macrea Montgomery of Montgomery Capital-

The legendary trader W.D. Gann reportedly claimed that capital and commodity markets tend to top on or around September 22nd more oft than on any other day of the year.

Back to the witches…

The lesson of previous triple witching days is to expect increased volatility and an abnormally strong return. The chart below is taken from the 2013 edition of the Almanac and shows the FTSE 100 Index returns for the three days around triple witching.

The two tables below show the 10 ten strongest/weakest shares in the FTSE 100 Index on the eleven September triple witching days since 2000. For example, Capita has increased on the September TW days 10 of the past 11 years with an average return on the day of 0.93.

10 strongest FTSE 100 September TW shares

Company TIDM Positive(Yrs) Average(%) StDev
Capita Group (The) CPI 10 0.93 1.73
Tesco TSCO 8 0.92 1.80
Rolls-Royce Group RR. 9 0.80 2.09
International Consolidated Airlines Group SA IAG 7 0.75 2.63
British Land Co BLND 9 0.58 1.74
WPP Group WPP 7 0.54 1.65
Hammerson HMSO 9 0.50 1.14
Croda International CRDA 6 0.48 1.17
Whitbread WTB 8 0.47 1.43
Tate & Lyle TATE 7 0.41 1.28

10 weakest FTSE 100 September TW shares

Company TIDM Positive(Yrs) Average(%) StDev
Schroders SDR 3 -1.54 2.89
GKN GKN 4 -1.36 3.21
Centrica CNA 5 -1.25 2.54
Tullow Oil TLW 3 -1.11 3.68
Sage Group (The) SGE 6 -0.79 3.85
Experian EXPN 3 -0.77 1.89
Morrison (Wm) Supermarkets MRW 5 -0.62 3.04
Reckitt Benckiser Group RB. 5 -0.52 1.87
Barclays BARC 3 -0.50 1.93
Imperial Tobacco Group IMT 5 -0.50 2.52

 

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