September Opex Week analysis.
Upcoming week from options perspective.
September OPEX has been an important date in a trader's calendar for years, and this time is no different. Looking at the option chains for the past few days, one can already see massive values that, as usual, are expected to dominate the market for these few days.
Also, Friday's session ended in a very interesting way from the perspective of futures orderflow. There are clear indications that suggest Friday's session had the characteristics of a bull trap. Interestingly, the peak occurred almost exactly at the highest point of the OPEX options structure (more on that below).
Opex Options Structure.
The options structure I am referring to is nothing more than an estimation of market participants' expectations, which most often do not materialize. If a significant number of market participants bet that the market will reach a specific price level at a given time, the chances of that happening decrease proportionally to the number/volume of bets.
Using the analysis of the most frequently traded SPX index options in my model, it appears that the market, in order to satisfy the efficiency hypothesis, will need to balance between the levels of SPX 5655-37 and 5443-10.
However, it should be noted that these levels are subject to certain fluctuations – usually not very significant though – which I will report on in the morning commentaries this upcoming week.
