Getting a Handle on Where the Indices May Close Friday

I like to see where the indices may close on expiration, and the best view is to look at open interest.

The SPDR S&P 500(SPY Quote) shows a massive amount of puts from the 85-90 line, something in the neighborhood of 850,000 contracts. I suspect the put sellers will make an attempt to keep the index above 90 by tomorrow's close.

On the call side, there is good size at the 90 strike but better interest at 95, so we are likely to see the index fall between these two strikes to mitigate the damage to the sellers. I suspect if we split the difference, that is probably where the SPY will end up at Friday's close (92.5).

The PowerShares QQQ(QQQQ Quote) presents a similar story but with a much tighter range. The puts show a hefty interest at 36 and lower, while the 36 and 37 line on calls is large. This one could be trapped nearly 36 on expiration.

The Research In Motion(RIMM Quote) earnings are the wildcard and could cause some movement. Implied Volatility for QQQQ (QQV) is right in line with the index, telling us not to expect too much of a surprise.

The Diamonds Trust, Series 1(DIA Quote) picture is similar to to QQQQ as there is heavy open interest under 87. The call line shows us substantial interest in the 86 and 87 lines, so the index is probably trapped right here. Volatility is also right in line with the index.

Should be an interesting expiration Friday!