How I Define 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 trading purposes. 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. 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.

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.screen-shot-2016-12-17-at-3-29-54-pm

Only a close between 190 and 200 I would consider a pin.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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