Triple Witching Day Trade

Entry Logic

• Entry trigger: Increased volatility and volume on a triple witching Friday (the third Friday of March, June, September, and December).
• Confirmation: A breakout of the opening range with high volume.
• Timeframe: 15-minute chart.
• Location context: Trade in the direction of the breakout.
• Market condition: A market with high institutional participation due to the simultaneous expiration of stock options, stock index futures, and stock index options.

Exit Logic

• Profit target: 2R or a key technical level.
• Scaling out: Scale out 50% at 1R.
• Trailing stop: Trail the remaining position with the 20 EMA on the 5-minute chart.
• Signal failure exit: Exit if the breakout fails.
• Opposite signal exit: Not applicable.
• Time expiration: Exit by the close.
• Momentum loss: Exit if the trend stalls.

Stop Loss Structure

• Hard stop: Below the low of the opening range for longs, above the high for shorts.
• Soft stop: Not used.
• Max dollar loss: $250 per trade.
• Max percent loss: 1.25% of account.
• Structural stop: Below a key support/resistance level.

Risk Management Framework

• Risk per trade: 1.25% of account.
• Daily limit: 2 trades.
• Weekly limit: 2.5% drawdown.
• Max drawdown: 7.5%.
• R:R requirement: Minimum 2:1.

Position Sizing Model

• Sizing approach: Risk-based.
• Volatility adjustment: Expect high volatility and size accordingly.
• Conviction sizing: Not applicable.
• Scaling in/out: No scaling in.

Trade Filtering

• Market conditions: Only trade on triple witching Fridays.
• Setups: Look for clean breakouts with high volume.
• Instruments: Major market index futures and ETFs.
• Time restrictions: Trade after the first hour of the session.
• Chop/news avoidance: Be aware that these days can be very choppy.

Context Framework

• Trend direction: Trade with the dominant trend of the day.
• VWAP relationship: Enter long above VWAP, short below VWAP.
• Moving average relationship: Price should be trending with the key moving averages.
• Range location: Trade the breakout of the opening range.
• Higher TF alignment: The daily chart should provide context for the potential direction.

Trade Management Rules

• Breakeven: Move stop to breakeven after 1R of profit.
• Scale out: At 1R and 2R.
• Add size: Not applicable.
• Fast vs slow moves: Be prepared for fast moves.

Time Rules

• Optimal trading window: After 10:30 AM EST on triple witching Fridays.
• Times to avoid: The opening hour, which can be very erratic.
• Session notes: These days are known for their high volume and volatility.

Setup Classification

• A+ criteria: A clean breakout with massive volume.
• A criteria: A breakout with high volume.
• B criteria: A breakout with average volume.
• C criteria: A choppy market with no clear direction (avoid).

Market Selection Criteria

• Instruments: SPY, QQQ, /ES, /NQ.
• Volume: Extremely high volume is expected.
• Volatility: High volatility is the defining characteristic of this day.

Statistical Edge Metrics

• Win rate: 40%.
• Avg win: 3R.
• Avg loss: 1R.
• Profit factor: 1.2.
• Expectancy: 0.2R per trade.

Failure Conditions

• Fails in a choppy, directionless market, which is common on these days.
• Avoid if there is no clear directional bias.

Psychological Rules

• Requires a high tolerance for risk and volatility.
• Must be able to act decisively in a fast-moving market.

Advanced Components

• Regime detection: Not applicable.
• Filters: Filter trades based on the level of open interest that is expiring.
• Correlation: Be aware of the impact on the entire market.
• MTF alignment: Not as relevant on these highly event-driven days.

Location

• Strongest: When there is a clear institutional bias leading into the expiration.
• Weakest: When the market is balanced and there is no clear directional pressure.