jerome on Nostr: 0 day to expiry option. Typically there are weekly option but now on tracker like spy ...
0 day to expiry option. Typically there are weekly option but now on tracker like spy there are option expiring every day. If you look at most active option monitor on Bloomberg it’s pretty easy to track.
300k to 400k volume traded on the day the option expire when it has only 10k open interest prior. So all volume is basically only on last day.
With such positions the market maker has huge gamma around certain strike. If short will push market away and if long will pin market at the strike.
Then there is the theory of max pain which will push market to expire at a price that maximize the loss on all option expiring that day. It’s kind of an effect of hedging the delta/gamma.
300k to 400k volume traded on the day the option expire when it has only 10k open interest prior. So all volume is basically only on last day.
With such positions the market maker has huge gamma around certain strike. If short will push market away and if long will pin market at the strike.
Then there is the theory of max pain which will push market to expire at a price that maximize the loss on all option expiring that day. It’s kind of an effect of hedging the delta/gamma.