A record expiration - but not a verdict
Today, 18 September, is the quarterly triple witching: index futures, index options and single-stock options all expire on the same day. Citadel Securities estimates that about 9.6 trillion dollars of US options exposure is expiring by this date, roughly 35% of the entire market. About 6.2 trillion falls on the Friday itself and, by the firm's estimate, could beat June's record of 7.7 trillion. The Bank of Japan also concludes its meeting that same day, two days after the Fed raised rates to 3.75-4.00%.Bears have already drawn their conclusion: the S&P 500 should crash after expiration. The logic is simple - market makers lose their long gamma and the market loses the buffer that smoothed moves. History is more nuanced.
What the stats say about expiration
Using daily S&P 500 data since 1990, I calculated how the index behaves after every triple witching:- in the week after expiration the index loses 0.13% on average, and it falls in 62% of quarters;
- a month later the average result is +0.97%, and the market is higher in 66% of cases;
- September is weaker than the rest: the week after the September expiration was negative in 78% of cases, down 0.99% on average.
ℹ INFO
So in the short window the bears have history on their side; over a full month they do not. Expiration on its own does not predict direction - it only adds volatility.
The real signal is the 10-year yield
What matters more than what expires today is what is happening in the bond market. On 16 September the 10-year Treasury yield reached 5.01%, the highest since 2007, according to the US Treasury. It is exactly these run-ups in yields to multi-year highs that have historically come before equity corrections.Fig. 1. The 10-year Treasury yield and the S&P 500, 1990-2026. Pink bands mark equity drawdowns after yield run-ups. Source: US Treasury, Yahoo Finance.
Look at the chart. The yield peaked at 6.79% in January 2000 and the S&P 500 fell almost 49% by October 2002; it peaked at 5.26% in mid-2007 and stocks slumped 57% by March 2009. The 2011, 2018, 2022 and 2023 yield peaks were each followed by drops of about 19%, 20%, 25% and 10%.
The yield jump and the fall: episode by episode
The second chart shows that the rise in yields and the later fall in stocks are linked by more than timing.Fig. 2. The 10-year yield run-up (top bars, pp) and the maximum S&P 500 drop that followed (bottom bars, %). 2026 is the current episode. Source: US Treasury, Yahoo Finance.
A caveat: this is a historical base rate, not a law. In 1994 the yield rose 2.86 points to 8.05%, yet stocks fell only 8.9%, and drawdowns also happen when yields fall. But over the past quarter century, major yield peaks have almost always come before a correction, not after it.
What it means now
The setup follows the familiar script. The S&P 500 peaked at 7,798.99 on 13 August and slipped to 7,637.76 by 17 September, roughly 2%. That is not yet a correction. The 10-year yield sits near 5% and the VIX is at 15.4. On the morning of 18 September, S&P 500 futures traded near 7,730.Yet Citadel Securities itself flags tactical risk. Scott Rubner, who heads equity and derivatives strategy there, called September a "tactical downside window" in late August: seasonality is weak, retail and buyback demand fade, and hedging is cheap. He advises selling into strength and buying protection, then looking for a better entry around mid-October. That is a view for a few weeks, not a bear-market call.
⚠ IMPORTANT
The main risk this week: expiration removes the market makers' buffer while the 10-year yield sits at a high last seen in 2007. If 5% holds and the September pattern repeats, a short drawdown after expiration is quite possible. But history says the market is more often higher than lower a month later, so a crash immediately after expiration is the exception, not the rule.