Mar. 20 at 3:09 PM
March OpEx is here. Don't just watch the index—watch the Gamma.
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Today marks the largest March options expiration on record, with a notional value of
$5.7T expiring this morning. Citigroup notes this represents ~8.4% of the Russell 3000’s market cap. That’s a massive overhang.
Key Data:
Index Options:
$4.1T
ETF Options:
$772B
Stock Options:
$875B
Why it matters:
With the S&P flirting with the 200-day moving average and the VIX sitting at ~25, the removal of this much convexity could lead to wild swings into the close. Dealer hedging flows will dominate price action.
⚠️ Individual Names to Watch (High OI):
$PDD –
$96.88 (Heavy put/call walls)
$REGN –
$737.45 (Large open interest at the money)
$TROW –
$86.92 (Key level to hold)
Expect pinning until the final bell. Manage your ris
