Quadruple witching expirations have averaged a return of 0.86%, and they have been positive 73% of the time.

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It is also quadruple witching, when futures and options expire, and this generally causes a pickup in volatility.

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With all of the different market players closing and rolling positions, it is generally accepted that quadruple witching expirations have a lot of potential for volatility.

FORBES: Quadruple Witching Expiration Week Not So Wicked, Except For OpenTable

The standard deviation of returns for quadruple witching expiration weeks is only 2.2% which is considerably less than typical weeks, with a standard deviation of returns of more than 3%.

FORBES: Quadruple Witching Expiration Week Not So Wicked, Except For OpenTable