Pin risk occurs when the underlier of an option contract settles close to the option’s strike value at expiration. 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 100% accuracy whether the option will be exercised or not. Therefore, the writer may end up with a residual position in the underlier. There is a chance that the price of the underlier may gap adversely, resulting in an unanticipated loss to the writer. In other words, an option position may result a large, undesired risky position in the underlier on the Monday following expiration regardless of the actions of the trader.
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You can see this action in the Qs at 30, SPY at 90, AAPL at 90 and dozens of other stocks.