Pinning in the S&P 500 Futures

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Golez_216525.pdf
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2012
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Golez, Benjamin
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Journal of Financial Economics. 2012, 106(3), pp. 566-585. ISSN 0304-405X. Available under: doi: 10.1016/j.jfineco.2012.06.010
Zusammenfassung

We show that Standard & Poor’s (S&P) 500 futures are pulled toward the at-the-money strike price on days when serial options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay of market makers’ rebalancing of delta hedges due to the time decay of those hedges as well as in response to reselling (and early exercise) of in-the-money options by individual investors. The associated shift in notional futures value is at least $115 million per expiration day.

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Fachgebiet (DDC)
330 Wirtschaft
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Pinning, Futures, Options, Option expiration, Hedging
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ISO 690GOLEZ, Benjamin, Jens JACKWERTH, 2012. Pinning in the S&P 500 Futures. In: Journal of Financial Economics. 2012, 106(3), pp. 566-585. ISSN 0304-405X. Available under: doi: 10.1016/j.jfineco.2012.06.010
BibTex
@article{Golez2012Pinni-21652,
  year={2012},
  doi={10.1016/j.jfineco.2012.06.010},
  title={Pinning in the S&P 500 Futures},
  number={3},
  volume={106},
  issn={0304-405X},
  journal={Journal of Financial Economics},
  pages={566--585},
  author={Golez, Benjamin and Jackwerth, Jens}
}
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