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Here Are The Stocks Expected To Move The Most In Today's $4.3 Trillion Quad-Witch OpEx

Here Are The Stocks Expected To Move The Most In Today’s $4.3 Trillion Quad-Witch OpEx

Earlier this week, we showed that single stock put options traded $233bn on the average day in November, an all-time-high. And despite a decline in single stock call options volumes, put volumes remain elevated, trading $217bn on the average day in December including $353bn on December 3, a single day record.

As we also discussed, stocks with high options volumes had been particularly weak in December, as evidenced by the Goldman’s high option volume basket underperforming the broader S&P500 by -11% in December-to-date, the largest underperformance since at least 2019 (compared to full month returns).

Which brings us to today’s sizable quad witch, when as part of a total of $4.3 trillion in total expirations, sees some $670bn of single stock options are set to expire, well above historical averages, if below the November monthly expiration of $746bn.

And, as we have touched upon during all previous quad-witches, today’s expiry could be important for stocks with large open interest in at-the-money (ATM) option, and market makers delta-hedging large options portfolios will be active.  As Goldman so helpfully puts it, “this flow is likely to dampen volatility in some names while exacerbating stock price moves in others.

So with that in mind, here is a list of stocks where a large percentage of contracts, relative to their average daily volume traded, expire today, potentially leading to “pinning.”

 

Tyler Durden
Fri, 12/17/2021 – 10:16

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