S&P 500 Options Quirk Mints Billions, Stirring Manipulation Talk

The fate of stock options with a face value of trillions of dollars is being influenced by unusual trading activity in the S&P 500 outside regular market hours, new research has found.

A monthly pattern sees key prices jump just before the expiration of derivatives tied to the benchmark US gauge, directly affecting which contracts will pay out, according to a study posted online last week. The phenomenon is generating profits of roughly $3.8 billion per year for bullishly positioned investors, it said.

The authors of the paper — Guido Baltussen of Robeco, Julian Terstegge of Copenhagen Business School ...