CBOE Global Markets IncContrary to what some Wall Street analysts claimed, the S&P 500 on Wednesday** was not to blame for a surge in zero-date options expiration.
As the Dow gains in the last two hours**, put options trading that expiring on the same day heats up, prompting traders on the other side of the trade to either sell** or other instruments to balance the position. Many analysts believe that the so-called "gamma" hedge accelerated Wednesday's decline.
But data from the Chicago Board Options Exchange shows that throughout the sell-off, market makers mostly went long "gamma", which means they were basically moving against the mainstream trend, in fact, at the time
Mandy Xu, head of derivatives market intelligence at the Chicago-based exchange operator, said: "This means that their hedging activity, if anything, will be a stabilizer rather than a major driver of the sell-off." All the headlines turned into ...... againMuch ado about nothing. ”
Few financial topics have garnered as much attention this year as zero-day-to-expiry options, and even fewer have sparked such heated debate. Short-term contracts have become a key driver of options growth, with options being the fastest expanding segment of the market.
The S&P 500 index on Wednesday**15% to 4698At 35 o'clock, **from around 2:15 p.m. and lasts until**. Options activity on the index during the day was concentrated around 4755-4765 put options. For the S&P 500's 4,765-point put option, the second-most traded contract on the day, only about 1,000 more buy orders outnumbered sell orders, according to the exchange's data.
JPMorgan Chase & CoAs of Wednesday, the S&P 500** had reached $9 billion in buying and selling imbalances, with a large portion of that being due to the volume of zero-day expiring options, strategists said. The company's strategists said earlier that they believe there is a "volatility doomsday 2."0”（volmageddon 2.0) Risk.
JPMorgan strategists, including Emma Wu, wrote in a note to clients on Wednesday discussing the liquidity environment: "As we approach the holiday season, market liquidity has declined. An environment of declining liquidity may amplify the market impact, building on the market's ** and building on the market's **.