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Quantitative Finance · Begrippenlijst

Wat is Pinning?

Definition 6.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 6 — Zero-Day Options and Dealer-Gamma Flows

Pinning is the tendency of an underlying to close near a strike with large open interest on the options’ expiry day, attributed to the hedging of dealers who are long gamma at that strike: they sell as the price rises through it and buy as it falls.

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