The day when many options expire is known as “witching day”, and has been costing hedgers billions of dollars every year. It may be hard to prove, but researchers point to this phenomenon and that it likely correlates with market manipulation. Garrett DeSimone, head of quantitative research at OptionMetrics, suggests that the anomaly could simply fade if hedge funds formulate strategies to capitalize on it. Read the full Risk.net article, “Witching day” price spikes point to options market manipulation – study.
‘Witching day’ price spikes point to options market manipulation – study
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