Statistiche › Opzioni, short e posizionamento › Expiration pinning
S&P 500 futures pin on serial expirations and push away on index expirations
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%.
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