$TRVN We have an abnormal Open Interest on 2.5 strikes for Nov and Dec Option Expiration. Most likely, due to such high Open Interest and high Impiled Volatility, price may be pinned at around 2.5 until Dec expiration. The consequences of playing Options on low price stocks. 6. Conclusions We proposed a model to explain stock price pinning on option expiration dates. We argue that, under certain circumstances,pinning can be caused by floor traders faced with delta-hedging long-gamma position on a single strike with an unusually high open interest. In such cases, the demand and supply of deltas around the strike can have a significant price impact and may drive the price of the stock to the strike price. The model consists of an equation for the price dynamics which has a singular drift concentrating near the strike at the expiration date.
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