Could we use the call volume at a given exp date as a predictor for market tops?
For example, if the mid-march call has lots of opened contracts this means that the day after expiration there will be less leverage and therefore less impulsive price action?
Could we use the call volume at a given exp date as a predictor for market tops?
For example, if the mid-march call has lots of opened contracts this means that the day after expiration there will be less leverage and therefore less impulsive price action?
Absolutely - in fact this works for both tops and bottoms. Spotgamma has long argued that put driven market crashes often rebound at opex. And if you look back to the summer of 2021, there was a consistent pattern where the market would fall at monthly opex.
Now though the rise of 0DTE options probably makes this more challenge as options are expiring daily.
Could we use the call volume at a given exp date as a predictor for market tops?
For example, if the mid-march call has lots of opened contracts this means that the day after expiration there will be less leverage and therefore less impulsive price action?
Absolutely - in fact this works for both tops and bottoms. Spotgamma has long argued that put driven market crashes often rebound at opex. And if you look back to the summer of 2021, there was a consistent pattern where the market would fall at monthly opex.
Now though the rise of 0DTE options probably makes this more challenge as options are expiring daily.