伽马挤压效应

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史上最大规模9月“三巫日”,超5万亿美元“期权到期”!今晚,美股开启“动荡窗口期”?
华尔街见闻· 2025-09-19 11:51
本周五,史上最大规模的9月"三巫日"即将来临,价值超过5万亿美元的美股期权、期货合约将在同一天 到期,料将为市场行情走势注入更多不确定性。 对于短期市场走势,高盛预测,在周五期权到期事件完成之前,市场的反弹势头有望延续,这通常与到 期日前的"伽马挤压"效应有关,随后在下周迎来回调。 ⭐星标华尔街见闻,好内容不错过 ⭐ 本文不构成个人投资建议,不代表 平台 观点,市场有风险,投资需谨慎,请独立判断和决策。 觉得好看,请点"在看" "三巫日"即每季度的第三个周五,当天美国股市中股指期货、股指期权和个股期权这三种合约会同时到 期。 据高盛期权专家John Marshall估计, 本周五将有超过5.3万亿美元名义价值的期权到期,其中包括3万 亿美元的标普500指数期权和9350亿美元的个股期权。 从相对规模来看,此次到期期权的总名义价值相当于罗素3000指数总市值的8%,规模创下历年9月"三 巫日"的最高。 据期权分析机构SpotGamma指出,在本次到期的头寸中,近90%为看涨期权。随着这些头寸到期平 仓,交易商为对冲而持有的股票多头头寸将被解除,这意味着一股重要的市场买盘支撑力量将会消失。 ...
史上最大规模9月“三巫日”,超5万亿美元“期权到期”!今晚,美股开启“动荡窗口期”?
Hua Er Jie Jian Wen· 2025-09-19 01:44
Core Insights - The upcoming "Triple Witching Day" on Friday is set to be the largest in history, with over $5 trillion in U.S. stock options and futures contracts expiring on the same day, introducing significant uncertainty to market trends [1] - Goldman Sachs estimates that more than $5.3 trillion in nominal value of options will expire, including $3 trillion in S&P 500 index options and $935 billion in individual stock options [1] - This expiration represents 8% of the total market capitalization of the Russell 3000 index, marking the highest scale for a September "Triple Witching Day" [1] Market Dynamics - According to options analysis firm SpotGamma, nearly 90% of the expiring positions are call options, indicating a strong bullish sentiment [1] - As these positions expire, the long stock positions held by traders for hedging will be unwound, suggesting a significant loss of market buying support [1] - Goldman Sachs predicts that the market's rebound momentum is likely to continue until the options expiration event is completed, typically associated with a "gamma squeeze" effect before the expiration, followed by a potential pullback the following week [1]