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Sep 16 2019

Option Expiration Roll Starting?

Lots of volume at the 3k strike today, but so far only about ~45k of the ~125k traded expire in the next 3 months. Our tables from last night show about 330k of total OI at the 3000 strike for September.

todays option volume at SPX 3000 strike.
Todays option volume at SPX 3000 strike.

Last months CBOE Buywrite Index strike (BXM) was 2895, so those will be deep in the money and need to be rolled, likely lowering the amount of gamma as the 2895 would be a very deep in the money (DITM) call with high delta, and rolled to a ~3k strike option with much less. Therefore dealers who were long a lot of stock versus the DITM would sell a bit.

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Written by Spot Gamma · Categorized: Market Analysis · Tagged: BXM index, call rolling, cboe, options expiration

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