U.S. Futures Options Expiration Date

U.S. Futures Options Expiration Date

Today is the expiration date of U.S. futures options, and the biggest feature of this expiration date is the all-time scale. According to estimates by major institutions, the outstanding amount is about $6.3 trillion, and Goldman Sachs has announced that the total maturity of options exceeds $5.3 trillion, the highest September expiration date ever. Specifically, the S&P 500 options are between $3.0 trillion and $4.0 trillion, individual stock options are about $1 trillion and ETF options are about $900 billion, of which SPY is estimated to be $340 billion and SPY-exclusive ETFs are about $475 billion

Market positions generally show a strong downward defense. The proportion of put options in the S&P 500 index options was 63.1%, and the proportion of put options in ETF options was even higher at 67.7%. This means that there is a clear demand for hedging against market declines. On the other hand, in individual stock options, the proportion of call options is slightly superior at 53.2%, maintaining upward bets, mainly on some technology stocks and theme stocks.

Large-scale maturity dates usually act as factors for increasing market volatility. On the day of maturity, trading volume tends to surge by more than 50-100% from usual during the process of clearing outstanding agreements and rolling over. There is also a phenomenon in which stock prices are tied near a certain strike price during the delta hedging process by option traders. Currently, the outstanding agreements for S&P 500 index options are concentrated near the 6,600 level, making the index likely to be an important inflection point in the short term.

Meanwhile, the market has seen a significant increase in short-term volatility in recent years as trading in zero-day options (0DTE), a one-day option, has risen to a record level. This has raised concerns that speculative trading is increasing, especially for individual themed stock groups with high outstanding agreements, which could significantly expand maturity date volatility. We believe we need to prepare for this