当价位跌破400后出现了大量的400 put delta hedge，造成进一步下跌。然而390的支撑防止了另一个巨量390 put delta hedge 的滚雪球式崩盘。周三到周五强力反弹冲破400可能彻底打消了部分空头的意志，造成大量put OI 的调整或平仓，造成了Put delta de-hedge，(也许周五进一步造成了400 call delta hedge)。然而周五SPX 4000 put and call 的交易量並不多，OI 依旧是巨量。因此下周一市场或许决定四巫日的走向，如果大于4000对熊的心理压力应该比牛的大。周四SPX只要收到4000这波牛熊就可以算是个平手啦！
All eyes focus on SPX options and future positions trading today and tonight. It is very interesting to see where $SET will be tomorrow morning, close to 4000?
cougar 发表于 2022-9-15 12:27 PM
All eyes focus on SPX options and future positions trading today and tonight. It is very interesti ...
Huge amount option expiration passed Friday. Amongst the major global indices, the DJIA and the NDX see the largest expiration in percentage of total outstanding positions with almost 40% for the DJX.
Even in Europe we are seeing some very large option expirations with around 26% of all outstanding options ceasing to exist for the German DAX and 19% for the French CAC.
看来短期的一波大行情可能就此结束了。option 市场下个季度SPX priced in 3500 to 4250，looks reasonable。这次坚定地相信大户，跟进一把喝点汤。
哈哈，这咋和大盘迟早会创新高一样有点异曲同工，都没有时间点？就怕耐心忍不住寂寞呀！
不过不管啥时候出新低熊再建一波这么大量的short option 仓位可能需要点时间啦。
Looking at the DJIA components, we can see that on average around 23% of all outstanding options expired last Friday which, considering the size exchanged in some of those names， is a really meaningful event.
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发表于 2022-9-5 05:06 PM
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