1219-結算日風險what is "Pin Risk"??

引用http://en.wikipedia.org/wiki/Pin_risk_(options)

A trader has sold 75 put contracts on XYZ Corp. stock, struck at $50 and expiring on Saturday, October 20, 2006. On Friday, October 19 - the last day these contracts are traded - XYZ stock closes at $49.97, which means the options are $0.03 in-the-money. Because each contract represents an obligation to buy 100 shares of XYZ stock at $50.00, the trader will have to buy anywhere from 0 shares to 7500 shares of XYZ stock as a result of the puts being exercised. In fact, only 49 of the contracts are exercised, meaning that the trader must buy 4900 shares of the underlier. If at the close on Friday, October 19th, the trader's position in XYZ stock was short 7500 shares, then on Monday, October 22, the trader would still be short 2600 shares, instead of flat as the trader had hoped. The trader must now buy back these 2600 shares in order to avoid being exposed to risk that XYZ will increase in price.

On the day that an option expires - for U.S. exchange traded equity options this is the Saturday following the third Friday of the month - if an option's underlier is close to pinning, the trader must pay close attention. A small movement of the underlier's price through the strike (e.g. from below the strike price to above, or vice versa) can have a large impact on the trader's net position in the underlier on the trading day after expiration. For instance, if an option goes from being in the money to out of the money, the trader must rapidly trade enough of the underlier so that the position after expiration will be flat.

For example, a trader is long 10 calls struck at $90.00 on IBM stock, and five minutes before the close of trading, IBM's stock price is $89.75. These calls are out of the money and therefore will expire worthless at this price. However, two minutes before the close of trading, IBM's price suddenly moves to $90.26. These options are now in the money, and the trader will now want to exercise them. However, to do so, the trader should first sell 1000 shares of IBM at $90.26. This is done so that the trader will be flat IBM stock after expiration. Thirty seconds before the close, IBM drops back to $89.95. The calls are now out of the money, and the trader must quickly buy back the stock. Option traders with a broad portfolio of options can be very busy on Expiration Friday.

請自行學習!