美股冲击历史高点遇“隐形阻力”：期权卖出潮搅动市场节奏

Core Viewpoint - The continuous wave of option selling by investors is slowing down the momentum of U.S. stocks reaching historical highs, creating a "friction effect" on market prices, particularly from short-term options and the "iron condor strategy" [1][2]. Group 1: Option Selling Strategies - Since 2025, various option selling strategies have gained popularity, including covered call strategies on ETFs and systematic zero-day option trading, with market makers rebalancing positions daily [2]. - Investors have shown a preference for selling call options over put options in recent weeks, with zero to five-day options gaining significant influence [2]. - The iron condor strategy, popular among retail investors, aims to profit from time decay when the underlying asset's price remains within a certain range [2][3]. Group 2: Market Maker Dynamics - Market makers' gamma exposure from zero-day options changes dynamically throughout trading sessions, with most trades stemming from investors selling options [4]. - The most extreme positions for market makers are at higher call strike prices, where volatility is lower, leading to more pronounced hedging impacts [4]. - The largest risk is in the upward direction, as market makers manage significant positive gamma exposure from retail traders selling call options, making upward price movements more challenging [4]. Group 3: Trading Patterns and Price Impact - The gamma of market makers can lead to substantial buying or selling requirements based on minor price changes, particularly in the last ten minutes before market close [4]. - There is a tendency for the market to experience upward gaps after the expiration of options risk post-market close, as the hedging demands from market makers dissipate [4]. - Daily trading strategies, such as buying one-day options at market close and selling them at the next open, can exploit price distortions due to the resetting of gamma positions [5]. Group 4: Sustainability Concerns - There are doubts regarding the sustainability of the iron condor strategy's market impact, with some experts suggesting it is just one of many factors influencing market direction [6]. - Concerns exist that if these systematic option selling flows are primarily driven by retail investors, their sustainability may be questionable [6]. - Systematic selling strategies may perform well in low-volatility environments but could face significant losses during periods of high volatility, leading to potential investor impatience and withdrawals [6].