Pinning in the S&P 500 Futures

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GOLEZ, Benjamin, Jens Carsten JACKWERTH, 2012. Pinning in the S&P 500 Futures. In: Journal of Financial Economics. 106(3), pp. 566-585. ISSN 0304-405X. Available under: doi: 10.1016/j.jfineco.2012.06.010

@article{Golez2012Pinni-21652, title={Pinning in the S&P 500 Futures}, year={2012}, doi={10.1016/j.jfineco.2012.06.010}, number={3}, volume={106}, issn={0304-405X}, journal={Journal of Financial Economics}, pages={566--585}, author={Golez, Benjamin and Jackwerth, Jens Carsten} }

Pinning in the S&P 500 Futures Golez, Benjamin 2012 2013-02-11T13:27:16Z Journal of Financial Economics ; 106 (2012), 3. - S. 566-585 terms-of-use 2013-02-11T13:27:16Z eng 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. Jackwerth, Jens Carsten Jackwerth, Jens Carsten Golez, Benjamin

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