US INDEX CHANGES AND EXPIRIES: Quadruple witching and the S&P rebalance due on Friday 19th December 2014


JPMorgan estimate for the S&P 500 that the total trade size of the rebalance is at USD 6.48bln/side (Prev. 12.4bln/side) with a two-way turnover of 0.65% (Prev. 1.25%),  for the S&P 400 total trade size estimated at USD 438mln/side (Prev. 725mln/side) and for the S&P 600 USD 121mln/side (Prev. 369mln/side). 



S&P 500:

S&P Midcap 400: Effective after the close of trading on Tuesday, December 16th

NASDAQ 100: Effective after the close of trading on Friday, December 19th

The NASDAQ said some new shares will be included in the index following a recent revision to its methodology that allows for multiple share classes of index components, including Comcast Corp Class A Special, Twenty-First Century Fox Class B and Liberty Global plc Class C shares.




Friday also sees quadruple witching in the US, with the expiration of equity index futures, equity index options, stock options and single stock futures, incs:

(on Thurs 18th December Dec'14 Regular Quarterly DOW, NASDAQ, S&P futures and options expire at 2115GMT/1515CST)

15 Dec 2014 - 18:44- - Source: RANsquawk

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