Type of Publication: | Journal article |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-216525 |
Author: | Golez, Benjamin; Jackwerth, Jens Carsten |
Year of publication: | 2012 |
Published in: | Journal of Financial Economics ; 106 (2012), 3. - pp. 566-585. - ISSN 0304-405X |
DOI (citable link): | https://dx.doi.org/10.1016/j.jfineco.2012.06.010 |
Summary: |
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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JEL Classification: | G11, G12, G13 |
Subject (DDC): | 330 Economics |
Keywords: | Pinning, Futures, Options, Option expiration, Hedging |
Link to License: | In Copyright |
Bibliography of Konstanz: | Yes |
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} }
Golez_216525.pdf | 700 |