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Stats › Options, positions short et positionnement › Expiration pinning

S&P 500 futures pin on serial expirations and push away on index expirations

Serial futures expirations: 21.32%+21.32%Serial futuresexpirationsUniform benchmark: 15.00%+15.00%UniformbenchmarkNon-expiration days: 14.71%+14.71%Non-expirationdaysSPX index option expirations: 9.39%+9.39%SPX index optionexpirations

Share of days on which the S&P 500 futures settlement falls within $0.375 of the at-the-money strike, with strikes spaced $5 apart. 136 serial expirations and 245 index option expirations, November 1992 to November 2009. The logit expiration dummy is 0.54, p = 0.01.

On the eight non-quarterly third Fridays each year, S&P 500 futures settle within 37 cents of the nearest strike 21.3% of the time against a 15% benchmark. Around SPX index option expirations the same measure falls to 9.4%.

21.3%Pin rate on serial expiration days, against a 15% uniform benchmark
9.4%Pin rate around SPX index option expirations, against 14.71% on other days
$115mMinimum notional futures value shifted per serial expiration day
0.83Logit coefficient on pinning from below; from above it is 0.00, p = 0.99

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