Pinning in the S&P 500 Futures
Pinning in the S&P 500 Futures
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固定在 S 中
DOI：
10.2139/ssrn.1664261
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
J. Jackwerth
中科院分区：
文献类型：
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作者：
Benjamin Golez;J. Jackwerth
我们发现标准普尔（S&P） 500期货在标普500期货系列期权到期的日子里（钉住）被拉向现价执行价格，而在标普500指数期权到期之前（反交叉钉住），被推离经套利成本调整的现价执行价格。这些效应是由做市商对delta套期保值的再平衡（由于这些套期保值的时间衰减）以及对个人投资者转售（和提前行使）场内期权的反应的相互作用驱动的。每个到期日，名义期货价值的相关变动至少为1.15亿美元。
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.