Editor's Note: There is no Dave's Daily post for Tuesday, Dec. 15.Dave Fry is founder and publisher of ETF Digest, Dave's Daily blog and the best-selling book author of "Create Your Own ETF Hedge Fund, A DIY Strategy for Private Wealth Management," published by Wiley Finance in 2008. Fry has devoted over 35 years to the business of trading and portfolio management. Check back each morning for the latest installment of Dave's Daily to get a unique ETF market overview.
As of close on 11 Dec 2009, the S&P500 front-month (18 Dec 2009) option contracts have a $103.5 billion delta (exercise probability) weighted open interest towards calls. This is the fourth largest call imbalance seen one week prior to triple witching option expiration since September 1997. Strikes with the largest Open Interest as of Friday's close 12/11: DEC 1050- Calls 209k, Puts 221k DEC 1100- Calls 181k Puts 166k"