Around $5 trillion in US stock options are set to expire on Friday, the largest such expiration in at least 20 years
- 80% are in S&P 500-linked contracts
Info comes via a news wire report:
- market participants’ behavior ahead of the upcoming expiration has been muting stock gyrations and may be one reason equities have traded in a tight range over the last few weeks
- The S&P 500 has not logged a greater than 1% move in either direction for 19 straight sessions, the longest such streak since early August.
- Cboe Volatility Index (VIX) is around a nearly 4-year low circa 12.07
There is more at that link above on how option dealer hedging is dampening volatility ahead of the expiry:
- dealers are net long "gamma," and must continuously sell stock futures when equities rally and buy futures when markets sell off to keep their position neutral
