With a little bit of index arbitrage thrown in there for good measure
Next week is triple-witching expiry. I know, I know - it’s now called quad-witching, but what can I say? To me, it will always be triple-witching.
A lot of market pundits talk about this mysterious day, but I get the sense many of them don’t really understand what’s going on. So I thought it would be helpful to explain how stock index arbitrage work…