MAX Options History — July 2021 In July 2021, MAX traded between $32.41 and $40.97. ATM implied volatility averaged 85.6%. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 38.8% (HV 20d: 46.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2021-07-09 : Highest Volume — 48 contracts2021-07-14 : Largest IV drop — 56.5% change2021-07-01 : Largest Expected Move — 34.4%Monthly Statistics Metric Avg Min Max Open Close Price $34.70 $32.41 $40.97 $40.97 $33.15 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 85.6% 65.0% 151.7% 120.1% 76.2% Expected Move 21.4% 17.3% 34.4% 34.4% 21.8% HV 20d 46.8% 41.4% 51.0% 49.9% 41.4% Term Structure -1.8% -19.9% 16.5% 8.8% -9.2% VWIV 72.2% 58.9% 83.3% 62.9% 58.9% Skew 25d -1.1% -20.3% 16.9% 8.1% -6.8% Skew 10d 8.0% -20.9% 37.2% 19.4% 17.1% Call IV 25d 74.7% 58.5% 95.2% 62.3% 77.2% Put IV 25d 73.6% 64.0% 83.4% 70.3% 70.4% Bid-Ask Spread % 110.41 101.64 124.23 119.50 121.82 Gamma HHI 0.26 0.21 0.53 0.21 0.23 Net GEX 248 -3.6K 2.9K 2.9K 400 Net DEX -17.7K -134.1K 93.9K -134.1K -13.9K Net VEX -472 -524 -421 -513 -430 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 2.20 0.00 0.00 Total Volume 7.19 0 48 2 28 Total OI 120.667 100 167 104 112
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-07-01 $40.97 $35.00 120.1% 34.4% 0.0% 0.0% 62.9% 8.1% 8.8% 2.9K -134.1K -513 0.00 119.50 N/A N/A 2 0 75 29 2021-07-02 $39.50 $35.00 71.0% 20.3% 49.9% 0.0% 67.5% -1.1% 5.2% 2.1K -96.5K -491 0.33 112.34 N/A N/A 3 1 75 29 2021-07-06 $39.06 $35.00 82.9% 17.3% 48.3% 0.0% 0.0% -4.3% 12.4% 1.8K -81.0K -469 0.00 104.64 N/A N/A 1 0 74 30 2021-07-07 $37.60 $35.00 119.7% 21.3% 48.6% 0.0% 74.1% -20.3% 3.7% 1.6K -78.3K -479 0.00 109.31 N/A N/A 0 12 75 30 2021-07-08 $37.14 $35.00 85.2% 21.0% 47.2% 0.0% 0.0% -8.2% 1.4% 823 -49.9K -500 0.00 105.41 N/A N/A 2 0 75 40 2021-07-09 $34.87 $35.00 96.7% 19.7% 50.2% 0.0% 0.0% -5.3% 0.4% 646 -37.1K -459 2.20 101.64 N/A N/A 15 33 75 40 2021-07-12 $34.75 $35.00 118.3% 21.8% 49.0% 0.0% 75.7% -13.0% -1.4% -3.6K 29.2K -524 0.75 101.83 N/A N/A 8 6 79 71 2021-07-13 $32.96 $35.00 151.7% 21.4% 51.0% 0.0% 83.3% -11.8% 8.8% -2.8K 27.0K -519 0.00 108.18 N/A N/A 0 5 86 72 2021-07-14 $32.42 $35.00 65.9% 18.9% 49.3% 0.0% 68.8% -12.0% 16.5% -2.8K 62.8K -474 0.67 109.88 N/A N/A 3 2 86 72 2021-07-15 $32.50 $35.00 66.6% 19.1% 47.2% 0.0% 66.8% 12.5% -8.8% 26 93.9K -453 1.00 107.86 N/A N/A 4 4 87 74 2021-07-16 $32.41 $35.00 66.0% 18.9% 44.3% 0.0% 0.0% 14.1% 9.0% -46 90.4K -455 1.00 107.39 N/A N/A 2 2 91 76 2021-07-19 $32.86 $35.00 84.8% 24.3% 45.1% 0.0% 82.8% -12.4% -10.9% -51 1.0K -447 0.00 105.14 N/A N/A 1 0 59 41 2021-07-20 $34.07 $35.00 75.9% 21.8% 47.4% 0.0% 80.3% 7.6% -9.8% -16 -9.4K -453 0.00 106.37 N/A N/A 10 0 60 41 2021-07-21 $34.62 $35.00 71.5% 20.5% 48.0% 0.0% 0.0% 10.2% -9.8% 825 -39.0K -512 0.00 113.48 N/A N/A 0 0 70 41 2021-07-22 $33.56 $35.00 72.5% 20.8% 47.7% 0.0% 0.0% 7.2% 1.0% 727 -32.6K -492 0.00 104.24 N/A N/A 0 0 70 41 2021-07-23 $32.69 $35.00 72.6% 20.8% 46.2% 0.0% 73.5% 7.9% -7.2% 652 -24.8K -465 1.00 112.53 N/A N/A 1 1 70 41 2021-07-26 $33.42 $35.00 79.7% 22.8% 47.5% 0.0% 0.0% 0.9% -19.9% 442 -16.2K -444 0.00 104.57 N/A N/A 4 0 70 41 2021-07-27 $32.92 $35.00 65.0% 18.6% 42.3% 0.0% 0.0% 16.9% -2.2% 162 -4.0K -421 0.00 116.24 N/A N/A 0 0 70 42 2021-07-28 $33.81 $35.00 79.1% 22.7% 43.0% 0.0% 58.9% -13.8% -12.9% 649 -24.4K -447 0.00 122.06 N/A N/A 0 1 70 42 2021-07-29 $33.51 $35.00 76.2% 21.8% 42.3% 0.0% 0.0% 0.8% -13.1% 796 -35.1K -462 0.00 124.23 N/A N/A 0 0 70 42 2021-07-30 $33.15 $35.00 76.2% 21.8% 41.4% 0.0% 0.0% -6.8% -9.2% 400 -13.9K -430 0.00 121.82 N/A N/A 28 0 70 42
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