Varsity team has put together a thread on X with a few observations from yesterday’s expiry.
Adding few bits from the tweet:
Much of the cash market’s intraday liquidity isn’t present during CAS, making participation more concentrated.
A thin auction can move prices much more than continuous trading.
During yesterday’s expiry, the ATM straddle premium fell sharply as the settlement price became clearer.
These were a few observations from yesterday’s expiry. Any other things yu noticed?