Do futures price always attract to the nearest strike price on options expiration day

N

Nasdaq5048

Today crude close at 59.99. And a lot of time, the bonds and the S&P do the same, they attract to the newest strike price on the day of the options expiration. What is the logic behind this? Is it just simple options writers pushing prices to these strike level?
 
It makes statistical sense -- center of the distrbution, right? Offseting arbitrage; conversions, boxes, rolls can have a small influence on index-pinning, but it's not exploitable in equity index. It may be exploited in FI markets are they're "run" by a group of large-volume locals; or in individual, thinly-traded stocks.
 
Paper you may be interested in...

http://www.business.uiuc.edu/poteshma/WorkingPapers/NiPearsonPoteshman.Jan2005.pdf

Abstract:

This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion. We provide evidence that hedge rebalancing by option market makers and stock price manipulation by firm proprietary traders contribute to the clustering.
 
Quote from riskarb:

It makes statistical sense -- center of the distrbution, right? Offseting arbitrage; conversions, boxes, rolls can have a small influence on index-pinning, but it's not exploitable in equity index. It may be exploited in FI markets are they're "run" by a group of large-volume locals; or in individual, thinly-traded stocks.
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That seems reasonable. Because the largest OI for the crude options is at 60. About 10K on each side. While the 61 strike only has 1k OI on each side. People have profit, i.e. Long 60 call and short 60 put will likely hedge their profit when crude was trading near 61 early in the morning. Thanks for your idea.
 
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