Quadruple witching is when stock index futures, stock index options, stock options, and single stock futures all expire on the same day. While stock options and index options expire on the third Friday of each month, all four asset classes expire on the same day in March, June, September, and December.
Quadruple witching dates are comparable to triple witching dates, which occur when three out of four markets expire at the same time, and double witching days, which occur when two out of four markets expire at the same time.