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Open interest appears to have two different associations with SPX’s intraday range, depending on what you measure. In FirmTape’s regression over 1,084 sessions, a higher concentration of 0DTE open interest near the opening index level was associated with a narrower forward range, while a larger total 0DTE book was associated with a wider one. The study reports associations, not evidence that open interest causes either outcome.
How can open interest be associated with both a narrower and a wider range?
Because the two measures describe different features of the options book. Concentration asks where open interest sits relative to the index; total book size asks how much open interest there is overall. A result about one does not determine the result about the other.
Concentration near the opening level
FirmTape defines its at-the-money (ATM) concentration measure as the share of 0DTE SPX open interest within plus or minus 0.5% of the opening index level. In its Aug. 27, 2026 addendum, the reported elasticity of forward range for this measure is -0.28, with t = -7.3. The negative sign indicates an association between greater concentration near the open and a narrower forward range in the reported model.
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For total 0DTE open-interest book size, FirmTape reports a forward-range elasticity of +0.17, with t = +4.3. The positive sign indicates an association between a larger book and a wider forward range. These are the author’s model estimates; they do not establish that either measure changes the market’s range.
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What exactly did the 1,084-session analysis test?
FirmTape describes a regression across 1,084 SPX sessions. The outcome is forward range, which the article says is read from minute 30. The model includes the trailing move, the prior session’s range, the overnight gap, and year fixed effects. The reported coefficient signs persist in each of the five years from 2022 through 2026.
The figures are best read as conditional relationships in that model: they account for the listed controls, but do not isolate a causal effect. FirmTape explicitly characterizes the result as a cross-sectional association with controls, not an experiment. The cited sources do not independently audit the underlying data, code, or regression, so the estimates should be attributed to FirmTape rather than treated as independently verified measurements.
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Does the index close near strikes when open interest is concentrated there?
FirmTape’s earlier analysis, covering 1,072 sessions from April 14, 2022, to Aug. 14, 2026, reported no meaningful clustering of cash-SPX closes around the 0DTE strike grid. It compared observed distances with a uniform-grid expectation:
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| Cash-SPX close measure | FirmTape result | Uniform-grid expectation |
|---|---|---|
| Closes within $0.25 of a strike | 110 of 1,072 (10.26%) | 10% |
| Mean distance to nearest strike | 1.2479 points | 1.2500 points |
FirmTape also reported four null pinning tests in that analysis. These are tests of closing-price clustering, not the later regression’s forward intraday-range outcome. A lack of close clustering therefore does not by itself answer whether open interest is associated with a narrower or wider range earlier in the session.
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Why do other studies report different pinning results?
“Pinning” can refer to different instruments, expiration designs, measurement times, and outcomes. Findings are not directly contradictory if they test different things.
Futures expirations and strike attraction
Golez and Jackwerth’s 2012 study, “Pinning in the S&P 500 futures,” reports that S&P 500 futures are pulled toward the at-the-money strike on days when serial options on those futures expire. Its abstract also describes an opposite, anti-cross-pinning effect before expiration of options on the index. This is a futures result tied to specific expiration conditions; it is not a cash-SPX 0DTE forward-range estimate.
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FirmTape’s 2026 summary of that study reports 13.56% of futures settlements within $0.25 of a strike, against a 10% independent-draw expectation. That figure applies to futures settlements, not cash-SPX closes, and should not be compared as if the instruments or tests were identical.
SPX settlement and reversal tests
An American Economic Association 2025 conference paper reports no evidence of pinning in its SPX special-opening-quotation and futures-price-distribution tests. It also reports that ATM open interest was unrelated to the third-Friday reversal returns it studied, using CBOE high-frequency data for its stated sample. Those settlement and return tests differ from FirmTape’s 0DTE forward-range regression.
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What should readers take from the result?
- Open interest alone is not a directional signal in FirmTape’s analysis: the location of the book and its total size have opposite reported associations with forward range.
- The range regression and the earlier closing-price tests answer separate questions. Neither result should be substituted for the other.
- Timing matters: FirmTape says the earlier analysis used per-strike 0DTE SPX open interest carried into each session, alongside one-minute index observations. Using the pre-session book avoids defining the explanatory measure with information created during or after the outcome.
- The cash-index tests do not rule out effects specific to the futures basis. FirmTape notes that its close analysis measured the cash index, not a futures settlement.
- The estimates are not a forecast, guarantee, or trading recommendation. They describe historical associations in the samples and specifications reported by the respective authors.
Sources: FirmTape, “Does open interest pin the index or widen its range? A decomposition over 1,084 SPX sessions,” posted Aug. 27 and edited Aug. 31, 2026; FirmTape, “Does open interest pin the index?”, published Aug. 24, 2026, with an Aug. 27 addendum; American Economic Association 2025 conference paper; Golez and Jackwerth, “Pinning in the S&P 500 futures,” 2012.
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