Options Expiration

In looking at the options expiration, and assuming that as is usually the case, retail is the predominant buyer of options and smart money is the predominant seller, it looks to me that Friday's options expiration pin would be somewhere around $140. There aren't a whole lot of calls outstanding in the open interest with the largest block being at $140.

The puts on the other hand are numerous and thick between $128 and $140. A close around $140 in the SPY would seem to do the most damage to the put side, since the open interest between calls and puts at $140 are about the same, I don't think it would be a big deal if the SPY closed within $.50 or so of either side of $140 (this is all as of today's open interest).  If I were the one pulling the levers I might prefer to close the market just below $140 so those puts are knocked out. If the calls at $140 were exercised, a drop on Monday would pretty much knock those positions out, although the contract could still be called.

With the 15 min charts still holding up, I think $140 is an area we have to consider for an options expiration pin.

That would mean the SPY would look like this as of Friday's close...

I drew in the candle to the far right that would represent a $140 close in the SPY, this would also have the intended consequences that this bounce has been all about, it would likely set a large bull trap, the shorts would be shaken out and a simple 2% move down, which is well within our volatility range, on Monday would put the SPY at $137, knocking out the longs.

Considering the 15 min charts are still holding, the timing seems about right as well. We'll know more as the day progresses and we see what the 5 and 15 min charts end up looking like, but this seems reasonable as of now.