@D.D , I did find some historical data on what the SPX does during quad expiries but it is probably not too helpful because quarterly expiration volatility depends on the size of the positions being unwound and that depends on what the markets were doing going into the expiration. For instance, was the market in a highly negative or positive predisposition where market makers were going to have to be ready to alter their hedges radically? If there was a lot of volatility like there was in the spring, the potential for big moves can be huge. @peejayhercules that was therapeutic. Laughter is one way to avoid crying. Priceless.
