Quant Report for 2010-06-18

Update 7am EST - European equity markets are generally trending lower. US equity futures are slightly weaker ahead of the US open. Commodities are mixed on the session. Crude is dropping, trading below the $76/barrel level. In the currency markets, while no obvious trend has emerged, the Japanese yen remains a little stronger against the majors. Caution is advised today as it is quadruple witching. Quadruple witching refers to the third Friday of every March, June, September and December. On these days, market index futures, market index options, stock options, and stock futures expire, usually resulting in increased volatility.