TRIPLE WITCHING – Largest Put/Call Imbalance on the S&P…

JUSTIN HAQUE (HOBART CAPITAL MARKETS) made the following observation

Interesting thought?

This will make the bulls happy, from one of our (slightly larger) rivals: As of Friday, front month SPX option contracts have a $104.4 billion delta (exercise probability) weighted open interest towards calls. This represents the largest call imbalance over non-triple witching expiries since they began tracking this metric in Sep-97. Large call imbalances have historically produced positive returns for the index during expiry week. Re January


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