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

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: