OP Ex PIN-Moving Target

Looking at the SPY contracts from when we looked at them Wednesday to Thursday's closing contracts, there was a huge shift in the open interest in Puts and calls.


The SPY calls increased across the board from the $138-$140 level...

At 138 the open interest was 8824 that jumped to 156,261 about 147,437 SPY call contracts were added
At $139 the contracts went from 16,992 to 146,967 a difference of 129,972
At $140 the call contracts went from 22,309 to 298,863

Meanwhile the open interest at the same levels in the Puts declined

At $140 they went from 252,949 to 244,842
At $139 from 168,710 to 157,103
At $138 from 242,669 to 160,303

The drastic jump in Call Open Interest made the close of $137.93, a very deliberate move of a mere seven cents knocked out an additional 553,963 calls. The close seven cents below $138, knocked out 147,437 calls alone-SEVEN CENTS.

I'm not a big follower of the changes at the end of options expiration week, but the amount of Calls added in a day is staggering. Had the original $140+ close come, over a half million calls would have been in the money.

The $.07 cent close below $138 was clearly intentional as 156,261 call contracts would have potentially been in the money, that's over 15 and half million SPY shares that could have been callable and that's just at the $138 level so those $.07 really made a big difference in the close.

This is why I NEVER want to hold options through expiration, in fact, I want to hold them for the VERY least amount of time possible with time-decy working against you. I think options have their uses, we've had a number of trades over the last month which would not have been worthwhile if they were pure equity long/short positions. The increasing volatility and the very choppy nature of the market made using options for quick trades very worthwhile, however holding them through expiration puts you in a position where the market is clearly working against you. I'm still blown away by the thought that 156 thousand contracts were worthless over $.07.

And that's just the information as of yesterday's close, who knows how much they changed today?