Golez, Benjamin; Jackwerth, Jens Carsten - In: Journal of Financial Economics 106 (2012) 3, pp. 566-585
options on the S&P 500 futures expire (pinning) and are pushed away from the cost-of-carry adjusted at-the-money strike price … right before the expiration of options on the S&P 500 index (anti-cross-pinning). These effects are driven by the interplay …