A record $9.6 trillion in U.S. options exposure is scheduled to expire by September 18, representing roughly 35% of total U.S. options exposure and setting up one of the largest derivatives events in market history.
About $6.2 trillion is currently concentrated on September 18 alone, the quarterly triple-witching session when stock options, index options and index futures expire simultaneously. Citadel Securities expects that figure to increase as traders roll positions into the quarterly expiration, potentially surpassing the previous $7.7 trillion record set in June. Roughly $4 trillion of the September 18 exposure is concentrated in SPX AM-settled options.
Such a large expiration can significantly alter dealer positioning and hedging flows. As existing options roll off, the resulting decline in dealer gamma could remove a source of market stability and contribute to higher volatility around a macro-heavy September calendar.
