MAX Options History — September 2021 In September 2021, MAX traded between $18.52 and $23.09. ATM implied volatility averaged 70.3%. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 12.7% (HV 20d: 57.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.54.
Notable Days 2021-09-28 : Highest Volume — 207 contracts2021-09-28 : Largest IV spike — 38.4% change2021-09-28 : Largest Expected Move — 26.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.51 $18.52 $23.09 $22.27 $18.69 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 70.3% 58.6% 93.1% 73.7% 70.5% Expected Move 20.3% 16.8% 26.7% 21.1% 20.2% HV 20d 57.6% 44.0% 65.6% 62.8% 44.5% HV 60d 51.1% 50.0% 52.2% 52.1% 50.6% Term Structure 0.1% -23.8% 25.5% 4.2% -8.9% VWIV 69.7% 51.0% 92.4% 86.9% 92.4% Skew 25d 8.2% -10.9% 40.5% 24.9% 13.4% Skew 10d 17.5% -14.5% 74.3% 32.7% 19.2% Call IV 25d 69.2% 58.7% 92.9% 65.0% 65.8% Put IV 25d 77.4% 58.5% 117.9% 89.9% 79.1% Bid-Ask Spread % 122.96 109.84 135.59 122.78 128.67 Gamma HHI 0.29 0.22 0.65 0.24 0.65 Net GEX 1.5K -7.5K 3.0K 1.9K -7.5K Net DEX -29.1K -84.6K 192.4K -45.4K 192.4K Net VEX -485 -922 -258 -297 -922 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.54 0.00 102.50 0.00 102.50 Total Volume 27.333 0 207 5 0 Total OI 247.524 162 507 162 507
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 2021-09-01 $22.27 $20.00 73.7% 21.1% 62.8% 0.0% 0.0% 24.9% 4.2% 1.9K -45.4K -297 0.00 122.78 N/A N/A 5 0 147 15 2021-09-02 $22.59 $20.00 69.3% 19.5% 63.0% 0.0% 0.0% 17.1% 1.7% 1.8K -43.9K -275 0.00 118.81 N/A N/A 7 0 147 16 2021-09-03 $23.09 $20.00 64.2% 24.0% 64.1% 0.0% 86.9% 15.3% -11.3% 2.0K -58.7K -323 2.00 116.93 N/A N/A 1 2 152 16 2021-09-07 $21.90 $20.00 80.8% 20.7% 65.5% 0.0% 0.0% 10.3% -1.9% 2.0K -57.1K -319 0.89 123.08 N/A N/A 82 73 155 16 2021-09-08 $21.35 $20.00 76.9% 22.1% 65.2% 0.0% 0.0% 6.8% -7.5% 1.8K -45.2K -299 0.00 135.59 N/A N/A 6 0 155 18 2021-09-09 $21.49 $20.00 58.6% 16.8% 65.6% 0.0% 0.0% -4.9% -0.2% 817 -17.0K -353 0.00 120.90 N/A N/A 22 0 189 46 2021-09-10 $21.42 $20.00 58.8% 16.9% 64.9% 0.0% 0.0% -0.8% 5.7% 483 -8.2K -347 0.00 120.88 N/A N/A 0 2 185 46 2021-09-13 $21.24 $20.00 62.4% 17.9% 64.9% 0.0% 0.0% 1.9% 19.9% 753 -4.7K -310 0.00 119.71 N/A N/A 10 0 183 46 2021-09-14 $20.26 $20.00 79.6% 22.8% 60.5% 0.0% 0.0% 10.2% -8.6% 687 10.8K -296 0.00 121.45 N/A N/A 0 0 183 48 2021-09-15 $20.52 $20.00 59.2% 17.0% 57.3% 0.0% 52.7% -0.2% 0.5% 764 27.0K -258 0.00 127.03 N/A N/A 30 0 182 48 2021-09-16 $20.85 $20.00 72.3% 20.7% 57.8% 0.0% 62.3% -7.0% 0.0% 1.8K 19.8K -281 0.08 128.83 N/A N/A 51 4 182 48 2021-09-17 $20.82 $20.00 65.2% 18.7% 54.8% 0.0% 51.0% 4.6% 0.5% 1.7K -3.3K -349 0.00 124.60 N/A N/A 40 0 212 48 2021-09-20 $19.29 $20.00 79.3% 22.7% 58.5% 0.0% 0.0% -8.2% 5.3% 2.2K -66.5K -627 0.00 121.59 N/A N/A 3 0 212 19 2021-09-21 $19.46 $20.00 68.7% 19.7% 58.3% 0.0% 0.0% -10.9% -4.7% 2.8K -63.9K -656 0.00 121.77 N/A N/A 0 0 251 19 2021-09-22 $19.45 $20.00 79.2% 22.7% 57.3% 0.0% 0.0% 4.3% 1.0% 3.0K -84.6K -743 0.00 124.27 N/A N/A 0 0 254 19 2021-09-23 $19.45 $20.00 60.5% 17.3% 57.0% 0.0% 72.7% -0.9% 25.5% 2.6K -75.8K -718 0.10 118.01 N/A N/A 10 1 254 19 2021-09-24 $19.94 $20.00 66.8% 19.2% 54.4% 0.0% 0.0% 14.4% -11.3% 2.8K -60.9K -634 0.00 109.84 N/A N/A 18 0 254 19 2021-09-27 $19.37 $20.00 67.3% 19.3% 45.2% 0.0% 0.0% 33.7% 9.3% 2.9K -80.3K -708 0.00 125.70 N/A N/A 0 0 264 20 2021-09-28 $18.52 $20.00 93.1% 26.7% 44.0% 0.0% 92.4% 40.5% -23.8% 2.9K -83.8K -794 102.50 123.21 N/A N/A 2 205 282 20 2021-09-29 $18.75 $20.00 69.8% 20.0% 44.6% 0.0% 0.0% 7.6% 5.8% 2.8K -62.2K -682 0.00 128.42 N/A N/A 0 0 282 20 2021-09-30 $18.69 $20.00 70.5% 20.2% 44.5% 0.0% 0.0% 13.4% -8.9% -7.5K 192.4K -922 0.00 128.67 N/A N/A 0 0 282 225
« Aug 2021 | All History | Oct 2021 » Home MAX History September 2021