Additional Calendars

Additional Calendars #

Extended exchange calendars provide additional calendars for special trading sessions and non-business days.

Quarterly Expiry Days #

Quarterly expiry days are also known as triple or quadruple witching days. They represent special trading sessions when stock index futures, stock index options, stock options and single stock futures expire.

On many exchanges, these sessions take place on the third Friday in March, June, September and December. However, some exchanges deviate from this pattern. For example, Johannesburg Stock Exchange (XJSE) has quarterly expiry days on the third Thursday in those months. Also, quarterly expiry days are currently only supported for a limited number of exchanges.

Quarterly expiry trading sessions often differ from regular trading sessions owing to increased volatility and trading volume. Many exchanges have their own specific rules for these sessions, so some characteristics of these sessions may be different. For example, the London Stock Exchange (XLON) uses an additional Exchange Delivery Settlement Price (EDSP) auction to determine the reference price for the settlement of derivatives contracts. Other exchanges may use regular scheduled opening or closing auctions for the same purpose.

Here is an example for the quarterly expiry days of the London Stock Exchange (XLON):

import exchange_calendars_extensions.core as ecx
import exchange_calendars as ec

ecx.apply_extensions()

calendar = ec.get_calendar('XLON')
print(calendar.quarterly_expiries.holidays(start='2023-01-01', end='2023-12-31', return_name=True))

This gives the following output:

2023-03-17    quarterly expiry
2023-06-16    quarterly expiry
2023-09-15    quarterly expiry
2023-12-15    quarterly expiry
dtype: object