Witching and Rebalancing

Today is options expiration and they are also rebalancing the S+P 500 to account for the switch to the float method of calculating the index.

There has been some chatter about what the float methodology might mean going forward but I think that after the next couple of days it won't mean much.

While I am sure there is a good reason to rebalance the index on expiration day, I'm not sure this is the best way to do this. Both events on the same day may ramp up the volatility for the next day or two. It looks like we will open much higher and I would not be surprised if the day zigged and zagged and we close opposite of how we open. I always point out that whatever happens on expiration day is likely to get unwound the following Monday. While this makes clear and obvious sense to me it has been wrong more often that not lately.

Maybe that's why I don't try to game the market on an hourly basis;-)