The Op-ex Price Magnet is the price where option delta and gamma are neutral. 

This is where the large traders will optimize profit and risk on the day of option expiration.  

Since many large traders hedge their investments with delta-neutral portfolios, the unwinding and/or administration of hedged positions into expiration often leads to a convergence between the futures price and delta- and gamma-neutral.


There are many ways that large traders legally arbitrage the financial markets, and the options market provides one forum for that arbitrage.  Most active investors already know that large traders and investment banks will often book trading profits every single day of an entire quarter.   

In November 2018, Bloomberg published an article which describes how "negative gamma" became a driving force behind a big decline in crude oil prices.  Interestingly enough - while Bloomberg highlights the importance of this information, it cannot be found on the $20,000+ per year Bloomberg terminal.  Here is a what one experienced money manager has said about our daily report:

Option Expiration

Price Magnets

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After piloting this report on Seeking Alpha in 2017, we began distributing it more widely in early 2018.  Beginning in February 2018, we wrote many public articles about our trading positions into option expiration.  These articles show how we profitably traded SPX option expiration five months in a row.


Each day, subscribers receive a daily report which includes the summary table below along with historical graphs of each of the securities shown below.   

These are important price levels to track.  The true value of the Price Magnet report is the tracking of both delta and gamma neutral.  Gamma drives delta which drives reversion to the Price Magnet as large options traders hedge to get back "onside."

        
--   J. Brett Freeze, CFA

        Principal, Global Technical Analysis

        Former $200B Portfolio Manager for Bank of America

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