Expiration Day Effects of Stock Index Derivatives in Germany

There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. An increase in trading activity is also observed over the ten minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. An increase is found for the ten minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found