Pin risk and compression
As an expiration approaches, gamma concentrates at near-the-money strikes, so small price moves trigger large hedging flows. The repeatable results are pin risk — price gets held near a dominant high-open-interest strike as dealer gamma hedging buys below it and sells above it — and range compression heading into the expiration itself.
Pin risk runs strongest at round-number strikes, and strongest of all when a single strike dominates both the call and put side of open interest. Once the expiring open interest rolls off, the stabilizing gamma it provided goes with it — fresh positioning at first carries less gamma, which tends to produce lower-structure, higher-volatility sessions in the day or two that follow.
Three kinds of expiration
Weekly expirations, which land every Friday, produce a strong intraday pin in the final hours but little multi-day carryover. Monthly expirations, on the third Friday, are the largest by open interest, exert a full-week effect, and are typically followed by a volatility expansion the following week.
Quarterly expirations — triple witching, in March, June, September, and December — expire options and futures together, and every effect above runs roughly two to three times larger. It is the loudest version of the same mechanics the other two expirations run every month and every week.
The week, day by day
Monday and Tuesday tend to run loose, with little structure yet in place. By Wednesday, walls start to form. Thursday brings Charm-driven flows and the first real pin — including a pattern worth knowing, the Thursday trap, where a false move at the open fades by the close.
Friday brings the pin itself, followed by a gamma collapse into the close as the expiring contracts stop mattering. The days after a major expiration tend to run on momentum rather than structure, since the stabilizing gamma that held the range together has just rolled off.