How I Define Options Pinning for Tracking Purposes

As some of you know I have begun tracking when SPY pins on Wednesday and Friday. I began tracking Wednesdays since its inception and Fridays a bit after that. This next part is important – I am not defining pinning as the perfect pin. I am defining it in my own way that gives a range between noticeably high strikes of calls and puts. Noticeable is not scientific, but dependent on the other strikes around it. For example, if all the strikes on the call side are much lower than the put side then I’m not counting it as a high strike. I am doing it this way because from past experience low strikes don’t interfere with price and that is really all I care about for my style of trading, which is directional. If that doesn’t sound like pinning to you then call it sassy-pinning. And further, if this way of doing it is not sufficient, then please feel free to do your own study. Since I am the one taking the time to do this, I am defining it in a way that helps me and my subscribers most as we are directional traders and not option sellers. Finally, although I track the open interest movement for the week, only the Wednesday or Friday morning open interest counts for when I determine if price sassy-pinned or not.

Here are a few examples – not all are SPY because I analyze open interest for many stocks and this is just for illustrative purposes.

As long as price closed at or above the 133 puts I would call this a pin. These are rare, but they happen so I need to have a standard for what to do. If I was describing the below chart to members of my service I would say there is no great pin, but price is likely to stay above 133 and even more likely to stay above 131. However, for tracking purposes I would count it at 133 or over.

screen-shot-2016-12-17-at-3-25-55-pm

As long as price closed at or under 285 I would consider this a pin. Also rare. Again, if I was describing this to my members I would say no great pin, but price is likely to stay below 285. screen-shot-2016-12-17-at-3-29-54-pm

Only a close between 190 and 200 I would consider a pin. Sometimes the range is tighter and sometimes larger. Again I need to have some kind of standard and that is what has been most helpful for my trading. screen-shot-2016-12-17-at-3-33-17-pm

Only a close of 115 I would count as a pin. screen-shot-2016-12-17-at-3-36-52-pm

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