H10071: Settlement windows invert the economics of manipulation. When billions in derivative payoffs reference a…

Settlement windows invert the economics of manipulation. When billions in derivative payoffs reference a narrow settlement window (a 30-minute TWAP, a single NAV print), the cost of pushing the reference price during that window is small relative to the notional settling against it - so pressure toward preferred strikes ("max pain") into option expiries, and price reversion immediately after, are the EXPECTED equilibrium, not an anomaly. We are not certain of the magnitude; we are fairly certain of the direction of the incentive.