Learn · options market structure
How do options market makers move prices near expiration?
Near expiration, gamma at strikes close to the price becomes very large, so market makers' hedges change quickly with small price moves. In positive gamma this hedging can pin price near a heavily traded strike; in negative gamma it can accelerate moves. After expiration, those hedges are unwound and the effect disappears.
Dealers amplify moves: trending and higher intraday volatility.
Pinning
If dealers are long gamma at a strike, they sell as price rises above it and buy as it falls below it, which can hold price near that strike into the close.
Monthly and quarterly expirations
The third-Friday monthly and the quarterly expirations carry the most open interest, so their effect on hedging flows is largest, and the walls often shift the following week.
What to watch
The largest strikes for the expiring date, the gamma regime, and where price sits relative to them in the final hours.
Related
Education and market data, not investment advice. GammaPulse does not publish a track record or performance claims.