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Oct 17 2019

How an Option Pin Plays Out

The current October options expiration portrays how an options pin can play out. For several days we have seen 3000 as our high gamma strike, with options volume at 3000 strike dominating the market. As the market moves away from this strike options dealers and other options hedgers move the price “back in line” to 3000 as they hedge. This led us to put up the following chart 2 days ago:

Market is pinned to 3000 due to SPX options
Market is pinned to 3000 due to SPX options

Here is the pin on an intraday basis:

Tomorrow AM a large chunk of options expire, which may “free up” the market to move to its next level. Below are screen shots showing the volume at 3000.

10/17 volume in options pegging 3000
10/15 options volume pegging 3000
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Written by Spot Gamma · Categorized: Market Analysis · Tagged: gamma, gamma hedging, options expiration, options pin

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