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EQUITIES: Triple Witching into Year end

EQUITIES
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  • Next Week sees the Prelim PMIs, the FOMC, but it will conclude with Equity Triple Witching, when desks roll/close their Year end Posies into 2025.
  • While it is still early on rolling, would expect that to pick up Friday and into next week, with only 10% of the Front Month in Estoxx (VGZ4) spread related, one really stands out today, close to half the front Month volume in EU Bank stock futures (CAZ4) is spread related, just traded in 20k at -50, the mid of the -52/-48 bid/offer.

Looking at Option expiries on the 20th Dec in Notional terms:

  • SPX: $3.31T.
  • NDX: $117.66bn.
  • Amazon: $12.56bn.
  • Apple: $22.07bn.
  • SX5E: €425.22bn.
  • SX7E: €25.59bn.
  • DAX: €56.74bn.
  • CAC: €8.63bn.
  • FTSE: £54.58bn.
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  • Next Week sees the Prelim PMIs, the FOMC, but it will conclude with Equity Triple Witching, when desks roll/close their Year end Posies into 2025.
  • While it is still early on rolling, would expect that to pick up Friday and into next week, with only 10% of the Front Month in Estoxx (VGZ4) spread related, one really stands out today, close to half the front Month volume in EU Bank stock futures (CAZ4) is spread related, just traded in 20k at -50, the mid of the -52/-48 bid/offer.

Looking at Option expiries on the 20th Dec in Notional terms:

  • SPX: $3.31T.
  • NDX: $117.66bn.
  • Amazon: $12.56bn.
  • Apple: $22.07bn.
  • SX5E: €425.22bn.
  • SX7E: €25.59bn.
  • DAX: €56.74bn.
  • CAC: €8.63bn.
  • FTSE: £54.58bn.