To The Moon

We are into the third Friday (19 Sep) where the market will experience a triple witching (when stock index futures, stock index options, and single-stock options all expire simultaneously)

This often produces unusual volume, volatility, and dealer hedging flows.

In this article I would like to discuss on how we can break it down into what it means, opportunities, risks, and gamma squeeze dynamics.

What Triple Witching Means

• Occurs quarterly (March, June, September, December).

• Brings very high trading volume (due to contract rollover, hedging, rebalancing).

• Volatility often spikes intraday, but directional bias is not always clear.

• Large open interest at certain strikes → “pinning” effect (prices gravitate to those levels as dealers hedge).

Opportunities & Adjustments for Investors

Short-term Trading Opportunities

Pin Risk: If there is huge open interest at a strike (e.g., SPY 580), prices may cluster around that level as dealers delta/gamma hedge. Traders can look to exploit mean-reverting moves around those pins.

Volatility Selling: IV often runs high into witching, but then collapses after contracts settle. Short premium strategies (credit spreads, iron condors) after expiry can be attractive.

Portfolio Adjustments

Roll expiring positions: If holding index futures/options, roll to next contract to avoid forced expiry.

Hedge reassessment: Expiry clears dealer hedging flows → fresh hedging demand appears in new maturities. Good moment to reset protective puts or collars.

Sector rotation signals: Rebalancing flows can exaggerate sector moves. Observing which sectors attract inflows/outflows post-expiry can guide next-quarter positioning.

Opportunities for Longer-Term Investors

Post-witching clarity: Expiry cleans out short-term flows → market often trends more cleanly afterward. That makes the week after triple witching a good moment for adding exposure in line with your macro view (Fed cuts, earnings).

Option cost reset: After witching, skew and vol surfaces often normalize → making protective hedges (puts) relatively cheaper.

Gamma Squeeze Potential

Gamma squeeze happens when dealers are short calls at popular strikes → stock/index rises → dealers must buy underlying to hedge → feedback loop higher.

On triple witching:

• Large open interest expiring reduces existing gamma positioning, meaning squeeze risk is often smaller immediately after expiry.

• But… if investors reload fresh short-dated calls (esp. in high-beta tech names or SPX/SPY weeklies), new gamma exposures build fast.

• So the window after witching is when gamma squeezes can reignite, particularly if there’s a strong bullish catalyst (Fed cut expectations, earnings beats).

In indices (S&P 500):

• Watch for “charm” flows (dealers adjusting hedges as time decay hits).

• If S&P breaks through key strikes (e.g., 5800 → 5900), dealer hedging can mechanically accelerate the move upward.

How Investors Can Position

Takeaway

Triple witching = volume & volatility spike, but not always directional.

Biggest opportunities: post-expiry clarity (reset hedges, cheaper options, clearer trend).

Gamma squeezes more likely after witching if new short-dated call buying floods in, especially in tech/AI leaders and SPX near key round numbers.

In the next section, we have performed a scan of the open-interest reporting and commentary available for SPY and SPX around the recent triple/quadruple-witching window and pulled out the highest-probability “pin” levels and gamma squeeze zones plus practical trade guidance for the coming week.

Quick summary — headline reads

• SPY has very large open interest clustered in the mid-600s strikes (notably ~654–660), and a big put block showed up recently at a 660-ish strike in mid-September reporting.

• SPX (index) OI / gamma also concentrates at the equivalent 6,600 level (SPX ~10× SPY strikes), and commentary suggests that gamma there has been a market-making focal point.

• Data vendors (OptionCharts / MarketChameleon / Barchart / CBOE) confirm large OI blocks in SPY/SPX and show the detailed OI heatmaps you can use to watch changes intraday.

Concrete “pin / gamma” levels to watch next week

(These come from recent OI scans and market flow writeups across OI trackers and options desks.)

• Primary SPY pin zone: ~654–660 (big call and put open interest reported; heavy OI there can create pinning).

• Primary SPX analogue: ~6,540–6,600 (SPX strikes show concentrated gamma around the same band; dealers’ delta hedging there matters).

• Secondary SPY levels to monitor: mid-500s and low-600s strikes show pockets of OI in historical heatmaps (use OptionCharts / MarketChameleon live chains).

What this means practically (market-maker / gamma mechanics)

• Pinning: When OI concentrates at a strike, dealers with short options will hedge (buy/sell the underlying) as the price approaches expiry. That creates a magnetic effect toward the high-OI strike — the market can “pin” there into expiry. Stock Titan

• Gamma squeeze potential: Right after an expiry, much of the old gamma is removed. A new gamma squeeze requires fresh, concentrated call buying (new short-call positions sold to retail) that forces dealers to buy underlying to hedge.

$SPX gamma flip point is 6464.19 where gamma exposure switches positive to negative (or vice versa). The gamma flip point, and call and put wall, are based on aggregate gamma exposure across all contracts. They are calculated using open interest, on a 1% move, using end-of-day data, updated at approximately 8:30pm ET for the next trading day.

$S&P 500(.SPX)$ put wall is 6600.00. $SPX call wall is 6650.00. Put and Call Wall figures are based on the highest gamma reading across all contracts.

In short: a squeeze is possible, but usually needs fresh directional flow after the expiry — it’s not automatic just because OI was large into expiry.

Trading ideas / action checklist for next week (practical, ordered by risk profile)

Lower-risk / tactical

Watch the pin strikes intraday (SPY 654–660) — if price is +/- ~0.5% from the level and volume into the strike is high, expect mean reversion / pin bias. Trade small mean-reversion scalps or fade extreme intraday moves near the strike.

Wait until settlement — many pro-strategies short volatility right after bells when IV collapses. If you’re comfortable selling premium, consider iron-condors or credit spreads after OI is cleared (vol typically falls).

Medium risk / directional

Speculate on a squeeze:

if tape breaks convincingly above the 654–660 band on strong volume and fresh call buying is visible (sizable buys on the ask for 0DTE/1DTE calls), a dealer-gamma fed rally can accelerate — buy small OTM calls (0–7DTE) or call spreads to capture the move. Size carefully; time decay is fast.

Hedging / portfolio protection

Protective puts or put spreads

if you hold a large equity book: buy puts at a strike just below the pin zone (or buy a bear put spread to limit premium) — OI clusters sometimes coincide with abrupt dealer rebalancing if the pin fails.

Volatility plays

Short premium post-expiry:

volatility often collapses after triple/quadruple witching — selling premium (iron condors, butterflies) after you confirm IV is falling can be a profitable calendar trade. Be mindful of tail risk.

Risk management & guardrails

Small size — dealer flow can overwhelm retail if you oversize.

Use stops / defined risk — prefer spreads (defined risk) over naked options.

Watch order flow — look for large block buys/sells on the options tape (Cheddarflow, UnusualWhales, large prints) as a real-time signal that new gamma is being created. Cheddar Flow+1

Keep horizon short for 0DTE / 1DTE plays. Longer dated options are less affected by gamma squeezes.

Closing summary

Pin / gamma focal zone to watch: SPY ~654–660 (SPX ~6,540–6,600) — largest documented OI pockets in mid-September feeds potential pinning behavior.

Gamma squeeze is possible but not guaranteed — it requires fresh concentrated call buying after expiry to force dealer hedges. Watch option prints and short-dated flows closely.

Tactical plays: scalp pinning intraday, buy short OTM calls on confirmed breakouts, sell premium after expiry when IV compresses, and hedge long portfolios with puts/spreads.

In the next section, we have generate a short checklist / trade plan you can use during intraday trading (alerts, exact stop levels, size guidance).

Intraday SPY/SPX Gamma-Pin Trade Plan

Pre-market prep (before 9:30am ET)

Mark key zones: $SPDR S&P 500 ETF Trust(SPY)$

• Pin band: SPY 654–660 / SPX 6540–6600

• Support: SPY 650, 645

• Resistance: SPY 665, 670

Check overnight futures (ES): bias up/down sets tone.

Scan OI shifts (morning update from OI trackers like OptionCharts/MarketChameleon).

Note VIX trend — falling = IV crush likely; rising = watch for put demand.

Intraday triggers & alerts

Pin play setup:

• Alert: Price enters 654–660 band with narrowing range.

• Plan: Fade extremes (short near 660, buy near 654) → scalp +0.3% to +0.5% moves.

• Stop: 0.4%–0.5% beyond band.

Breakout squeeze setup:

• Alert: SPY breaks above 660 on >2× average 5-min volume + strong call buying flow.

• Plan: Buy OTM 0–2DTE calls (e.g., 665 or 670 strikes) or bull call spreads.

• Stop: If SPY closes a 15-min candle back below 658.

• Target: +1.5% to +2% intraday pop (SPY ~670 test).

Breakdown setup:

• Alert: SPY breaks below 654 with heavy put flow.

• Plan: Buy short-dated puts (650 strike) or bear put spread (654/645).

• Stop: Back above 656.

• Target: 648–650 support.

Sizing & risk rules

• Core rule: Keep each options trade = max 0.5–1% of total account (defined risk).

• Use spreads > naked options to cap decay losses.

• For scalps → size smaller, cut fast (don’t hold overnight).

• For breakout squeezes → add only if flow confirms (don’t preempt).

Additional watchpoints

• Dealer flow alerts: Monitor unusual options prints (e.g., 5k+ contracts on SPY/SPX short-dated calls).

• VIX behavior: Sudden VIX drop = premium selling opportunity; sudden spike = hedge demand.

• Index correlation: Confirm with $Invesco QQQ(QQQ)$ & mega-cap tech leaders ( $NVIDIA(NVDA)$, $Apple(AAPL)$, $Microsoft(MSFT)$) — gamma squeezes rarely happen in isolation.

VIX Performance - Forecast

Summary trade map

Range → scalp pin (654–660 band).

Break above 660 → chase squeeze (calls/call spreads).

Break below 654 → play downside (puts/put spreads).

Always use stops: ±0.5% from entry band.

Size small: 0.5–1% account per trade, spreads preferred.

Summary

Today is a "triple witching" day, where stock options, index options, and index futures all expire simultaneously. This event, which occurs on the third Friday of March, June, September, and December, typically leads to a surge in trading volume and increased market volatility, especially in the final hour of trading.

For investors, this can present opportunities but also risks. Long-term "buy and hold" investors may choose to largely ignore the day's turbulence, but they can also take advantage of any price dips to buy at more favorable levels. Short-term traders, on the other hand, may find opportunities in the increased volatility. Strategies include trading smaller positions, using tighter stop-losses, and being more selective with entries to avoid "whipsaws."

The potential for a "gamma squeeze" is a key consideration. A gamma squeeze can occur if a large volume of call options expires "in the money," forcing market makers to buy the underlying stock to hedge their positions. This can create a feedback loop that pushes the stock price even higher. While a gamma squeeze is not guaranteed, the high volume of expiring options today means that it is a possibility, particularly for stocks with significant call option open interest.

Appreciate if you could share your thoughts in the comment section whether you think it is a good time to look at SPY and also some of the key contributors to the technology sector.

@TigerStars @Daily_Discussion @Tiger_Earnings @TigerWire @MillionaireTiger appreciate if you could feature this article so that fellow tiger would benefit from my investing and trading thoughts.

Disclaimer: The analysis and result presented does not recommend or suggest any investing in the said stock. This is purely for Analysis.