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Note for Option Expiration Weeks

 
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PostPosted: Sat Jun 17, 2006 7:15 pm    Post subject: Note for Option Expiration Weeks Reply with quote

On Thu afternoon of June options expiration week, SPX rose to 1,258 while SPY rose to 126 1/4. So, there was a disparity between SPX and SPY, because SPY suggested SPX should have risen to 1,262. On Fri morning, SPX opened roughly four points lower, while SPY opened about one point lower, which should equal about a 10 point SPX fall. Also, when the market closed Friday, SPX was at 1,251 1/2 and SPY was at 124 3/4, which was a disparity in the other direction. So, a large gain would have been made on SPY in-the-money puts, e.g. Jun 129, since they were about 100% intrinsic value, at the open and also at the close, from the disparities.
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