spb/wp7_uqo

1\begin{table}[H]2\centering3\caption{Price-magnet test: does the underlying drift toward the maximum-open-interest strike?}4\label{tab:magnet}5\begin{threeparttable}6\small7\begin{tabular}{@{}lrrrr@{}}8\toprule9OI-concentration quintile & $N$ & Moved toward strike (\%) & Open distance (\%) & Close distance (\%) \\10\midrule11Q1 (lowest) & 2{,}096 & 47.3 & 4.07 & 4.24 \\12Q2 & 2{,}096 & 48.0 & 3.98 & 4.16 \\13Q3 & 2{,}096 & 45.8 & 4.13 & 4.34 \\14Q4 & 2{,}096 & 46.1 & 3.72 & 3.87 \\15Q5 (highest) & 2{,}096 & 47.8 & 3.33 & 3.41 \\16\midrule17All & 10{,}480 & 47.0 & & \\18\bottomrule19\end{tabular}20\begin{tablenotes}[flushleft]\footnotesize21\item \textit{Notes.} Ticker-days (ten liquid underlyings, 2010--2025) on which the open was within 0.1\%--10\% of the maximum-open-interest strike among options expiring within 30 days. ``Moved toward strike'' is the share of days on which the close was relatively closer to that strike than the open; under the null of no attraction the expected share is 50\% (binomial standard error 0.49 percentage points for the pooled sample, ignoring dependence). OI concentration is the share of the maximum strike in total open interest. Built from the shipped \texttt{price\_magnet\_data.parquet}.22\end{tablenotes}23\end{threeparttable}24\end{table}25