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Re: March Options Exercised and Abandoned
Hi Potifar. Good question. As I have stated, the market is usually lower the day after expiration if the options exercised are overwhelmingly puts and the market is in a downtrend. I think that these criteria are met. To say that there is a 90% chance that the market will be lower on Monday is impossible to predict. The logic behind the marketís behavior after options expiration is unknown. However I am short in expectation of the market reacting as it usually does. We see the number of options that have been exercised and abandoned. The consequences of this is the narrow ranges and inactivity that we are experiencing, in absence of a market event. Possibly with March expiration there will be a reduction of delta hedging, making the market more fluid. However, the roll is spread dominated. On Friday 78% of total volume was spreads, and in March 67% were spreads. So, volatility will continue to be absent possibly.