Curious to see if anyone has any data on the phenomenon of pinning on expiration day. By this I mean the equity trading or moving closest to the strike with the most open interest. I'm looking to come up with some parameters of a 14 or 7 day butterfly strategy 1:3:2 broken wing or traditional using the highest open interest strike as the guts of the trades. Wondering if anyone has had success with this or knows of any historical information tied to expiration day pinning. I noticed this would happen a great deal in commodity options from days working with a group of market makers but wonder if the same holds true in stock options that I've only been trading the last couple of years. Looking to try out some new strategies in 2021. Many thanks for any input.
Open Interest Pinning and Butterflies
- Thread starter caroy
- Start date
- Pinning is an illusion.
- With so many option strikes of course the underlying is going to move toward one of them.
- And with so many stocks you might have some stocks ending up on a strike to the penny on expiration day.
- You will only notice a pinned stock after option expiration- not before.
Hey Optionsx3, you usually post good content, but idk what the heck you're talking about here lol
He's asking for data to support spot pinning close to the strike with the most open interest.
You said pinning is an illusion, then proceed to say its not an illusion. Only a phenomena "after the fact"
Soooo yeah?
There will be no data.
Pinning doesn't exist - after expiration you can come up will sorts of reasons a stock behaved in a certain way. By then it's too late to make a trade.
He specifically mentioned the strike with the highest open interest.
Does that strike have a higher probability of being pinned??
Does that strike have a higher probability of being pinned??
@caroy
As far as supported data, I do not have that. But google might show you some interesting stuff..
One thing is for sure though..
VOLU = VOLA
as far as spot pinning the strike with the highest OI, I'd say this probably occurs the same amount of time everything else in the market occurs.
We know price oscillates around voluminous levels. Thus spot WILL drift to strikes with high OI, but it will also drift near lesser liquid strikes.
Pinning the strike with the highest OI at expiration? I don't think so.
As far as supported data, I do not have that. But google might show you some interesting stuff..
One thing is for sure though..
VOLU = VOLA
as far as spot pinning the strike with the highest OI, I'd say this probably occurs the same amount of time everything else in the market occurs.
We know price oscillates around voluminous levels. Thus spot WILL drift to strikes with high OI, but it will also drift near lesser liquid strikes.
Pinning the strike with the highest OI at expiration? I don't think so.
Lets use AAPL as an example.
I do believe the above example is what the OP has in mind - if not please correct it.
- AAPL at $132.69.
- Jan08 134 calls appear to have the highest open interest at 32,437.
- Will AAPL close at $134 on Jan 08?
- Lets check back this Friday.
I do believe the above example is what the OP has in mind - if not please correct it.