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Pin risk occurs when the market price of the underlier of an option contract at the time of the contract's expiration is close to the option's strike price. In this situation, the underlier is said to have ''pinned''. The risk to the writer (seller) of the option is that they cannot predict with certainty whether the option will be exercised or not. So the writer cannot hedge his position precisely and may end up with a loss or gain. There is a chance that the price of the underlier may move adversely, resulting in an unanticipated loss to the writer. In other words, an option position may result in a large, undesired risky position in the underlier immediately after expiration, regardless of the actions of the writer. ==Background== Sellers of option contracts often hedge them to create delta neutral portfolios. The objective is to minimize risk due to the movement of the underlier's price, while implementing whatever strategy led to the sale of the options in the first place. For instance, a seller of a call may hedge by buying just enough of the underlier to create a delta neutral portfolio. As time passes, the option seller adjusts his hedge position by buying or selling some quantity of the underlier to counteract changes in the price of the underlier. At expiration, usually either *the option is in the money, and the seller has bought or sold enough of the underlier to satisfy his obligation under the option contract, or *the option is out of the money, and the option will expire worthless, and the seller of the option would have no position in the underlier. However, the cost to the option buyer of exercising the option is not zero. For instance, the buyer's broker may charge transaction fees to exercise the option to buy or sell the underlier. If these costs are greater than the amount the option is ''in the money'', the owner of the option may rationally choose not to exercise. Thus, the option seller may end up with an unexpected position in the underlier and thus risk losing value if the underlier's price then moves adversely before the option seller can eliminate this position, perhaps not until the next trading day. The costs of exercise differ from trader to trader, and therefore the option seller may not be able to predict whether the options will be exercised or not. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Pin risk (options)」の詳細全文を読む スポンサード リンク
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