Stock price clustering on option expiration dates

Sophie Xiaoyan Ni, Neil D. Pearson, Allen M. Poteshman · 2005 · Journal of Financial Economics

IntermediateIntradayEmpiricalFree to read

Optionable stocks close near strike prices on expiry days, driven by hedge rebalancing and manipulation. Relevant to expiry-day dynamics in Indian index options.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday
Data needed: Daily bars Set what data you have
Themes: Options & volatility
Assets: Equities, Options
Market: US

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Cite

@article{ni2005stock,
  author = {Ni, Sophie Xiaoyan and Pearson, Neil D. and Poteshman, Allen M.},
  title = {{Stock price clustering on option expiration dates}},
  journal = {Journal of Financial Economics},
  year = {2005},
  doi = {10.1016/j.jfineco.2004.08.005}
}

Ni, S. X., Pearson, N. D., & Poteshman, A. M. (2005). Stock price clustering on option expiration dates. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2004.08.005