Expiration of options and futures contracts increases the volatility leading to higher than normal trading volume. The volatility and volume are higher on the triple-witching days, which happen on the third Friday of the last month of a quarter. There are some distinct patterns prior to, during and following the triple-witching days.

Patterns in June are even more predictable. In the last 25 years, the week following triple-witching in June have been positive only four times.

We have applied our proprietary algorithm for trading signals for a group of sector ETFs and the results are very impressive. Since 2000, our strategy has produced 56 trades with 93% success rate. The average gain is 2.6% with average holding period of eight calendar days, giving an annualized return of 118.3%.

In our simulated portfolio we have used a combination of short trades for sector ETFs and long trades for ultra-short ETFs. Our strategy does not trade all sectors. Also, not all sectors trigger a trade every year. The sectors level results are:

Seq.	ETF	# of Trades	Win %	Avg. Return	Avg. Days	Annualized
1	DIA/DXD	9	89%	2.3%	6	136%
2	SPY/SDS	10	100%	2.6%	6	151%
3	QQQ/QID	11	91%	2.5%	9	101%
4	IWM/TWM	9	78%	3.1%	10	117%
5	XLB/SMN	11	100%	3.7%	6	218%
6	XLI/SIJ	12	92%	2.6%	9	103%
7	XLF/SKF	6	83%	2.0%	8	91%
8	XLK/REW	13	92%	2.6%	8	125%
9	XLY/XLP	6	83%	2.2%	10	80%

We start looking for entry signals starting during the triple-witching week – the third week – of June. Once our entry signals are triggered we will send out trading alerts.