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Quantitative Finance · Glossário

O que é Pin risk?

Definition 23.5 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 23 — Option Contracts and the Options Exchanges

Pin risk is the uncertainty of a writer whose short options expire with the underlying at or very near the strike: it cannot know how many will be exercised, hence how many shares it will hold on Monday, and cannot hedge what it does not know.

A book short 40 puts at 47.50 and 10 at 50, long 25 calls at 50 and short 60 calls at 52.50, all expiring today. Shares received (+) or delivered (-) under exercise by exception, with every in-the-money short assigned in full, against the closing price. Data: the chapter’s build.
Figure 23.3. A book short 40 puts at 47.50 and 10 at 50, long 25 calls at 50 and short 60 calls at 52.50, all expiring today. Shares received (++) or delivered (−-) under exercise by exception, with every in-the-money short assigned in full, against the closing price. Data: the chapter’s build.
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