The simultaneous expiry forces an enormous amount of unwinding and rolling into one morning. Index futures settle against the special-opening-quotation, index options settle against the same print, and market-on-close imbalances at the afternoon bell can run into tens of billions of dollars as index funds rebalance to new weights.
Volume is several times normal and the intraday profile is distorted: a violent opening auction, a quiet middle, and a huge close. Traders should expect their usual reference levels to be less meaningful and slippage in the auctions to be worse than modelled.
Since single-stock futures were delisted in the US, "triple witching" is the more accurate term, but both names are used.
Example: on a quad witching Friday, S&P 500 composite volume may run 3 to 4 times a normal session, with several billion dollars of market-on-close orders printing in the final two seconds at prices well away from 15:59.
Related: special-opening-quotation, index-arbitrage, market-on-close, es, expiration-date