December S&P 500 futures gained 0.8% in a week — from 7,707 to 7,767. But the path was uneven: 7,623 on September 16, 7,834 on September 21 (+2.8%), then a pullback. The quarterly expiration happened in between, and the options market has rebuilt itself in both directions since.
For the S&P 500, open interest does not live in monthly series only: Friday weeklies and end-of-month options hold just as much. So below we count everything together — six series expiring from September 30 to October 30.
September expiration recap
On September 18 the quarterly series and the Friday series of the same date expired — 1.57M contracts: 434k calls and 1.14M puts. The day before, with price at 7,640, 96% of puts and 74% of calls were out of the money. The largest strikes were puts at 6,450 (59k), 6,425 (52k) and 7,000 (46k), and calls at 8,100 and 8,000 (16k each). The quarterly series Max Pain on its last day was 7,575.
The nearest series build positions on both sides
From September 18 to 24, in the series through the end of October:
- puts grew 33% — from 757k to 1.01M contracts;
- calls grew 21% — from 408k to 495k.
Quarterly protection was rolled into the nearest series; upside bets grew too, but less. There are still twice as many puts as calls — normal for an index, where portfolios are hedged with puts.
Puts: protection near price moved lower
- at 7,700 — right at price — puts were cut by 13.2k, and at 7,500 by another 8.4k;
- new puts were spread across 7,150–7,600: 7,275 (+8.1k), 7,200 (+7.6k), 7,350 (+6.0k), 7,575 (+5.9k), 7,450 (+5.6k), 7,150 (+5.6k); about 59k more puts were opened far below — at 5,800–6,400;
- the largest strikes near price are now 7,400 (32.9k) and 7,500 (30.8k); further down — 6,800 (41.2k).
Protection is not being dropped — it is being moved lower and spread wider. There is no longer one dense level right under price.
Calls: interest moved to 7,950–8,250
- calls at 7,800 were cut by 3.2k and at 8,300 by 2.7k;
- added at 7,950 (+10.1k) and 8,250 (+10.0k);
- the main call strike is 8,000: 25.0k contracts, 3.3k of them opened on September 24 alone.
Max Pain: every series sits at price
Max Pain of all six series sits in a narrow 7,700–7,775 corridor: September 30 and October 30 — 7,725, the October 2 and 23 Fridays — 7,775, October 9 — 7,760, October 16 — 7,700. Price at 7,767 is inside the corridor. The October monthly series (October 16) prices an expected move to expiration of ±2.4% — a range of 7,582–7,952.
Gamma
The estimated gamma flip across these series is 7,771–7,930, with price at the lower edge. Below it the model shows negative dealer gamma: their hedging tends to amplify moves rather than dampen them. The uneven moves of the last few days are consistent with that.
What we are watching
- 7,700–7,775 — Max Pain corridor of the nearest series;
- 7,771–7,930 — gamma flip;
- 7,400–7,500 — the main put concentration near price (about 64k on two strikes);
- 8,000 and 8,250 — the main call strike and the freshest inflow.
CME data as of 24.09.2026, E-mini S&P 500 options: Friday and end-of-month series expiring 30.09–30.10.2026. Not investment advice.
Corrected on 30.09.2026: after a bulletin parsing fix, far-strike options returned to the data. The September 18 expiration results and inflow volumes were recalculated; the conclusions about rolled puts and calls and the Max Pain corridor are unchanged. Since September 30 the data also includes daily (Monday–Thursday) series — they were not counted in this review.