Pinning in the S&P 500 futures

• 成果类型: Article
• 署名作者: Golez, Benjamin; Jackwerth, Jens Carsten
• 署名单位: University of Konstanz; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.06.010
• 发表日期: 2012
• 页码: 566-585
• 关键词: Pinning; futures; options; Option expiration; hedging

摘要

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. (C) 2012 Elsevier B.V. All rights reserved.