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I am looking at investigating factors that will cause jumps in index options prices close to big expiries in the name. I imagine systematic rebalancing of structured products will have a large impact but I'd be interested in hearing if there are other factors that would cause this kind of behaviour.

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  • $\begingroup$ How do you propose to determine if there is an usual amount of structured products expiring at a certain date? I.e. what is a "big expiration"? $\endgroup$ – noob2 Jul 13 '20 at 0:23
  • $\begingroup$ Apologies I meant around expiration dates of the index options not the structured products $\endgroup$ – J19 Jul 19 '20 at 12:18

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