This paper anaiyses the possible influence of the derivatives of the IBEX-35 index on the underlying index when the expiration date arrives. The period analysed covers January, 1992 to December, 1995 and has been divided into two subperiods in order to determine if there are changes in the results. We use the regression methodology to study the impact of this expiration date on three characteristics of the behaviour of the IBEX-35 index, namely the returns, the conditional volatility and the trading volume. The analysis of IBEX-35 price changes and trading volume in the first subperiod indicates that the volatility and returns do not exhibit effects on expiration days, howe-ver the trading volume was significantly higher on expiration. When the se-cond subperiod is analysed we can also observe an abnormal trading volume on the expiration day. Moreover, we find some signs that suggest effects on price changes. It is interesting to note that we could find no evidence of this effect when we studied the previous period. The increase in hedge opportuni-ties derived from the development of the market can quite possibly explain this phenomenon.

Keywords: Spanish derivative markets, derivatives expiration, security markets.