Why price pins near big strikes into expiration

On expiration afternoons the index often drifts toward one strike and sits there. It looks deliberate. It is not; it is the same hedging described elsewhere on this site, concentrated in time.

Why the last day is different

An at-the-money option’s sensitivity to price rises as expiry approaches. With hours left, a small move flips a large position from worthless to in the money, and dealers hedging that position have to trade a lot of index for each point of movement. Around the biggest strike that means heavy selling into every uptick and heavy buying into every downtick.

A tendency, not a rule

Pinning fails whenever a real flow overwhelms it: a headline, a large rebalance, a fund unwinding. It is also weaker on days when positioning is spread across several strikes rather than concentrated on one. The honest way to use it is as a prior: into expiration, with a dominant strike nearby and no catalyst, the range is likely to compress, and a breakout attempt in the last hour deserves more suspicion than usual.