Does Options Open Interest Pin the Underlying? Five Tests on 2,294 Trading Days

Prior work has established that options open interest can either pin or amplify underlying
price movement near expiration, depending on the sign of aggregate dealer gamma exposure
(Avellaneda & Lipkin 2003; Jeannin et al. 2008; Barbon & Buraschi 2021). Golez & Jackwerth
(2012) documented pinning in S&P 500 futures through 2009. We extend their analysis to
2016–2025, a period marked by the proliferation of weekly and zero-days-to-expiration (0DTE)
options, using 1.6 million near-expiry SPY options records matched with E-mini S&P 500 futures
at one-minute resolution across 2,294 trading days. Five tests find no evidence of pinning in this
modern sample. The single statistically significant result (p < 0.001) shows that days with the
highest ATM open interest exhibit 16% wider daily ranges than days with the lowest—consistent
with the gamma amplification mechanism described by Barbon & Buraschi (2021) rather than
the pinning documented in earlier periods. These results suggest that S&P 500 expiration
dynamics may have shifted from a pinning regime to an amplification regime, potentially driven
by structural changes in dealer positioning associated with short-dated options growth. This
investigation was prompted by a structural profiling tool (Database Whisper) that identified
open interest as more structurally informative than implied volatility in options data.