In a 1,084-session analysis of SPX, open interest near the opening index level was associated with a narrower forward range, while a larger total same-day-expiration options book was associated with a wider one. The findings describe different features of the options market, not a contradiction—and they are observational associations, not evidence that open interest causes either outcome.
What the 1,084-session analysis found
In an Aug. 27, 2026 addendum, FirmTape reports a regression of SPX forward range on two distinct measures of zero-days-to-expiration (0DTE) open interest. The study reports an elasticity of -0.28 for at-the-money (ATM) concentration, with a t-statistic of -7.3, and +0.17 for the total 0DTE book, with a t-statistic of +4.3. The reported signs persisted in each of the five years from 2022 through 2026.
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In the article, ATM concentration means the share of 0DTE open interest within plus or minus 0.5% of the opening index level. The reported forward-range measure is read from minute 30. FirmTape says its controls include the trailing move, the prior-session range, the overnight gap, and year fixed effects.
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Fix the driver behind crashes, sound loss and screen glitchesFind Drivers →Repair Windows errors before they cause bigger problemsFix Now →Scan for outdated or missing drivers - takes under a minuteDriver Scan →Read as elasticities, the estimates mean that a 1% difference in ATM concentration was associated with an estimated 0.28% lower forward range, while a 1% difference in total book size was associated with an estimated 0.17% higher range, conditional on the model’s controls. These are model estimates, not guaranteed changes in a particular session. The addendum does not establish that either measure caused the range to change.
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Why the two measures can point in opposite directions
Concentration describes where open interest sits
ATM concentration captures how much of the day’s open-interest book lies close to the opening index level. A higher concentration is not the same thing as a larger book: the same total amount of open interest can be more or less concentrated around that level.
Total book size describes how much open interest exists
Total 0DTE book size measures the scale of the book, regardless of how tightly it is clustered near the open. FirmTape’s estimates associate a larger total book with a wider forward range, even as they associate greater ATM concentration with a narrower one. Neither measure, on its own, indicates which way the index will move.
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What the earlier cash-SPX test adds
FirmTape’s earlier analysis covered 1,072 sessions from April 14, 2022, through August 14, 2026. It used per-strike 0DTE SPX open interest carried into each session and one-minute index observations. The reported close-clustering tests did not find meaningful concentration of cash-SPX closes at the strike grid:
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- 110 of 1,072 closes, or 10.26%, were within $0.25 of a strike, compared with the article’s 10% expectation under a uniform-grid model.
- The mean nearest-strike distance was 1.2479 index points, compared with a 1.2500-point uniform-grid expectation.
- The analysis also reported four null pinning tests.
These are tests of where the cash index closed relative to strikes. They do not directly test the addendum’s forward intraday-range outcome. The earlier analysis also cautions that it measured the cash index rather than futures settlement, so it cannot rule out an effect tied specifically to the futures basis.
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Why published pinning results are not directly interchangeable
Studies can use “pinning” to describe different instruments, expiration events, and outcomes. A result about a futures settlement clustering near a strike does not answer the same question as a regression of cash-SPX intraday range on 0DTE open interest.
| Analysis | Instrument and event | Outcome and reported result |
|---|---|---|
| FirmTape, 2026 addendum | SPX; 0DTE open-interest measures | Forward range from minute 30; ATM concentration and total book size had opposite reported associations with range. |
| FirmTape, earlier 2026 analysis | Cash SPX; 0DTE strike grid | Close-to-strike clustering tests; reported results were close to the stated uniform-grid expectations. |
| Golez and Jackwerth (2012), as summarized by FirmTape | S&P 500 futures; serial options on futures expiring | Reported futures pinning toward the ATM strike; the abstract also describes an opposite anti-cross-pinning effect before index-option expiration. |
| American Economic Association 2025 conference paper | SPX special opening quotation and futures-price distributions; third-Friday reversal-return tests using the paper’s stated CBOE high-frequency sample | Reported no evidence of pinning in the distribution tests and no relation between ATM open interest and the studied reversal returns. |
These comparisons come from the cited authors’ reported results; they are not a single matched experiment. The Golez and Jackwerth figure summarized by FirmTape—13.56% of S&P 500 futures settlements within $0.25 of a strike, versus a 10% independent-draw expectation—is specifically a futures-settlement statistic, not a cash-SPX result.
To compare pinning claims, check the instrument (cash index or futures), the measured point (close, opening settlement, or intraday range), which expiration is involved, whether the measure is ATM concentration or total book size, and when open interest was recorded. Differences on those dimensions can yield apparently opposing findings without one study disproving another.
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- Treat it as an association. FirmTape describes a cross-sectional regression with controls, not an experiment. The findings do not establish causation or provide a reliable trading signal.
- Keep the measures separate. A concentrated book near the open and a large overall book are distinct characteristics; the reported associations have opposite signs.
- Pay attention to timing. The earlier analysis carried prior-session open interest into each session. Measuring the book before the outcome helps avoid attributing information created during or after the session to a predictive input.
- Keep the outcome in view. A forward-range association does not establish that the index will close near a strike, nor does a close-clustering test determine what happens to intraday range.
The 1,084-session estimates are FirmTape’s own reported results. The cited material does not independently audit the underlying data, code, or regression, so the estimates should be understood as that author’s analysis rather than an independently verified market law.
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