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Strategies & Market Trends : Waiting for the big Kahuna
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To: saveslivesbyday who wrote (76813)9/9/2007 8:42:32 AM
From: Moominoid   of 94695
 
As Vi says it happens from automatic arbitrage program trades. The vast majority of stock index futures trades are executed during regular stock market trading hours when this arbitrage is possible. It's also the reasoning behind the options expiry max-pain or "strike pinning" phenomenon. Options sellers delta-hedge those sold options positions. As people close out profitable bought options towards expiry the hedging stock positions are unwound.
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