Just my two cents, from a market maker's perspective - In this environment, if you are short any call or put <10 pct out of the money I would highly recommend covering for a nickel, unless you are covered 100% and perfectly content to be called away on your stock position. Lately, if you've noticed, the Treasury and the Fed have developed the habit of releasing critical information on A) Sunday or B) the Thursday prior to expiration Friday. As a market maker, a typical position around expiration for us winds up looking like a complex fly, and critical during expiration week is the process of "closing down" strikes to minimize the volatility of our PNL upon settlement of our entire position. The strikes we typically worry about closing down are within a 3-5% range of the price of the underlying as of the two or three days prior to expiration. During September expiration, we were covered (I.E., positive PNL) for settlements within this range... any settlement 8pct or so away from the underlying price at the time would have been hugely painful. This arises from the structure of our typical position - deep OTM calls and puts are often very bid near expiration, as a lottery ticket play. When they are bid up enough to be unjustifiable, we put on a short position and 99pct of the time walk away with time decay in our pockets. In IWM September 19, Goldman Sachs, after fair warning to their affected clients, went into the market on their customers' behalf, and purchased (at market) IWM shares to cover the shorts of customers who had not lined up Exchange-for-Physical borrowing agreements with specific counterparties... on account of the short sale ban by the regulatory agencies. Net effect.. a stock trading consistently between $65 and $75 briefly traded up as much as $151... What do you think happened to people who were short deltas and chased negative gamma to protect themselves from absolutely blowing out? Ugly. Lesson learned... especially in volatile markets, if given the chance to close a short position for next to nothing and walk away sans risk - take it.