May. 15 at 5:46 PM
$GRPN GRPN expiry-day positioning check 📊
Spot
$17.46, hours to weekly expiry.
The
$17 weekly calls (2,364 OI) are now deep ITM with delta 1.00 — those will be exercised at the close. The
$18 calls (2,765 OI) sit just OTM at delta 0.29 with gamma 0.0686, the day’s hedging fulcrum. Put OI at these strikes is negligible: 142 at
$17 and 111 at
$18. Call/put ratios of 17:1 and 25:1 — positioning never normalised even as the squeeze faded.
The exercise math: if the
$17 calls finish ITM as currently priced, that’s 2,364 × 100 = 236,400 shares that call holders are entitled to take delivery of from short-call counterparties. If GRPN closes above
$18, add another 276,500 shares from
$18 strike exercise — total ~513,000 shares of physical delivery into Monday settlement
