SPY Monthly Close vs. Option Expiration Price Distribution
A simple comparison of the month end closing price based on the range of the month to the option expiration closing price based on the range of the option cycle. Data going back to 1993. Notice the abnormally of the option expiration closing at the bottom 5%, midpoint 50% and the top 5%.
It is 10:15 now and everything worked according to the usual OpEx behaviour. The gap fill we are seeing now in ES will take SPX down to 1070s area.
OpEx dynamics at works til Friday
It is the last few days to option expiration Friday for July. Yes it is a bit early for a 3rd Friday and it does happen from time to time. What it means for S&P 500 and its related products? At least 5 to 6 swings of 10+ points Going back to previous month close […]
Finally, the open gap that was not filled yesterday in ES and SPY are now filled as I type this post at 11 am. What’s next? Scenario 1 – stuck between here and 1090 fir the reset of the day if the intended settlement price by close is 1080 zone Scenario 2 – ES stays […]