What if triple-witching collides with an index rebalance?
A triple-witching expiry colliding with an index rebalance produces a record closing-auction imbalance — a microstructure gap, not a trend: the print dislocates then normalizes next session. This is the recurring quarterly-witching pattern (e.g. the outsized Dec/Mar auction imbalances) — large notional, fleeting price impact. Skeptical take: the imbalance is published ahead of the auction, so it is front-run; the only edge is liquidity provision into the cross, not a directional bet.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the 0–6 months horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A quarterly triple-witching expiry coincides with an index rebalance, producing a record closing-auction imbalance and price gap. The trigger decomposes into signed root‑shocks — Volatility (VIX) ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.