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Futures Fly To All-Time High On Quad Witching Day

Normally, “quad-witching” option expiration days tend to be volatile affairs resulting in bursts of volatility and occasionally aggravated downside for risk assets. Today’s quad-witch, however, will not be one of those days because while some 45% of outstanding SPX option open interest – totaling more than $2.5tln of notional – expires, the concentration of strikes is below the current spot level and will thus have limited potential gamma impact, as we noted yesterday.

And since what won’t go down must come up in these bizarro markets, Emini futures hit a new all time overnight, up 5.00 points, or 0.18%, to 3,718 despite fresh US-China tensions following a Reuters report that the US is preparing to blacklist Semiconductor Manufacturing International Corp. and dozens of other Chinese companies, while little progress was made on a federal spending deal in Washington; ironically, the latest dismal retail sales data and unemployment claims were seen as good news as they bolstered the case for further stimulus. The dollar rose for the first day in five.

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