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S&P 500 Stock Market Gamma Trading Levels Based on Options Open Interest

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Apr 02 2020

Still Question the Impact of Options?

This past March monthly OPEX was one of the largest on record, and featured very large deep in the money put positions. We believed this was a key driver of market volatility in early March, and the change in markets following expiration has been drastic. March OPEX was on 3/20, and it was the following Monday (3/23) that marked the SPX low.

Equally as fascinating was the OPEX in late February (2/21), just prior to the market crash. There were record call positions leading into that expiration, with the market high registering 2/19. Of course the crash began the following Monday after many calls expired.

SPX vs Options Expiration OPEX
SPX vs Options Expiration OPEX

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Written by tenten · Categorized: Market Analysis · Tagged: OPEX, options expiration, stock market impact

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