What gamma pinning describes
Gamma pinning is the tendency of an underlying to settle near a strike carrying unusually large open interest as expiration nears, held there by hedging flow rather than by anything fundamental.
The effect is measured. Ni, Pearson and Poteshman's study of stock price clustering on option expiration dates, published in the Journal of Financial Economics in 2005, reports that "On each expiration date, the returns of optionable stocks are altered by an average of at least 16.5 basis points, which translates into aggregate market capitalization shifts on the order of $9 billion." Their abstract names two causes, only one of which is hedging: "We provide evidence that hedge rebalancing by option market makers and stock price manipulation by firm proprietary traders contribute to the clustering."
The condition the models actually require
Most explanations skip the part that decides whether pinning happens at all: the hedger has to be long gamma.
Avellaneda and Lipkin's market-induced mechanism for stock pinning, the 2003 Quantitative Finance paper that supplied the standard model, is explicit. Market makers act as pinning agents, it says, "especially when they are ‘long the strike’ in aggregate, as in the case of a prior large sale of options by an institution. In this case, since they become ‘long gamma’, they must hedge their positions by buying stock below the strike and selling stock above the strike, causing pressure on the stock price from above and below."
Buying below and selling above is what a long-gamma book does. It is a restoring force, and why price gets trapped.
Run the same logic with the hedger short gamma and every sign reverses: selling below the strike and buying above it pushes price away. The Options Industry Council gives the rule in its gamma primer: "Long options, either calls or puts, always yield positive Gamma. Short calls and short puts will have negative Gamma." A short-gamma strike is not a weak pin. It is a repellent.
The usual dealer assumption cuts both ways
Public gamma metrics rest on a positioning convention worth reading against it. The SqueezeMetrics gamma exposure white paper lists its assumptions plainly: "Call options are sold by investors; bought by market-makers" and "Put options are bought by investors; sold by market-makers."
So dealers are long calls and short puts. A strike dominated by call open interest satisfies the long-gamma condition and can pin. A strike dominated by puts does the opposite, and the white paper walks through the trade: "If in one case the price of the underlying falls and the put delta rises from 20 to 50, the market-maker will be compelled to short-sell an additional 30 shares of the underlying to stay delta-neutral." Selling into a decline amplifies it. It is not a magnet.
The caveat applies to every metric built this way. Open interest tells you a contract exists. It never tells you which side of it a dealer is on, and pinning depends entirely on that unobserved fact. Dealer hedging covers what the desk is actually solving for.
Pin risk is a different thing
The two terms get used interchangeably and should not be. Pin risk is the assignment uncertainty facing someone short an option that finishes almost exactly at the strike: they cannot know before the deadline whether they will be assigned, and so cannot know whether Monday opens with an unwanted stock position. That is an administrative and overnight-gap exposure, not a claim about price behaviour. Our piece on pin risk at expiration covers it, and max pain the distinct idea that price drifts toward the strike minimising aggregate option value. Where that strike sits today is published free on our SPX max pain page.
What we publish
Concentration matters more than size: one dominant strike produces a sharper restoring force than the same open interest across five. On our free SPX gamma page, the 25 August 2026 snapshot placed the 0DTE magnet at 7,650 with spot at 7,672.86 and the largest gamma strike at 8,000, from 20,038 contracts against 24 August settlement open interest. We publish no hold rate for the call and put walls; the one we showed until August 2026 was withdrawn because it counted untested days as holds. And we publish no pinning hit rate, because we do not have one we would stand behind.
Educational content, not financial advice. See our risk disclosure.