MAX Options History — October 2021 In October 2021, MAX traded between $16.54 and $19.25. ATM implied volatility averaged 79.3%. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 12.9% (HV 20d: 66.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.11.
Notable Days 2021-10-18 : Highest Volume — 201 contracts2021-10-04 : Largest IV spike — 55.8% change2021-10-04 : Largest Expected Move — 25.2%Monthly Statistics Metric Avg Min Max Open Close Price $18.09 $16.54 $19.25 $17.86 $17.63 Max Pain $22.38 $20.00 $22.50 $20.00 $22.50 ATM IV 79.3% 59.1% 127.3% 81.7% 76.6% Expected Move 21.2% 16.9% 25.2% 23.4% 22.0% HV 20d 66.4% 45.4% 71.2% 45.4% 68.3% HV 60d 58.2% 51.1% 59.8% 51.1% 59.5% Term Structure -2.1% -26.7% 15.8% -26.7% -2.5% VWIV 67.3% 53.2% 77.6% 53.2% 76.0% Skew 25d 5.8% -7.9% 38.1% 16.7% -4.6% Skew 10d 17.5% 2.9% 55.0% 5.0% 15.3% Call IV 25d 67.1% 46.0% 85.2% 54.2% 85.2% Put IV 25d 72.9% 60.0% 112.4% 70.8% 80.6% Bid-Ask Spread % 111.55 102.93 134.75 134.75 113.60 Gamma HHI 0.56 0.26 0.76 0.61 0.57 Net GEX -316 -15.1K 8.3K -5.8K 7.4K Net DEX 26.2K -261.3K 291.7K 230.6K -200.6K Net VEX -902 -1.2K -649 -813 -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 0.19 0.00 0.18 Total Volume 49.238 0 201 12 97 Total OI 475.714 275 525 507 470
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 2021-10-01 $17.86 $20.00 81.7% 23.4% 45.4% 0.0% 53.2% 16.7% -26.7% -5.8K 230.6K -813 0.00 134.75 N/A N/A 12 0 282 225 2021-10-04 $16.54 $22.50 127.3% 25.2% 49.1% 0.0% 0.0% 38.1% -8.4% -3.1K 200.1K -792 0.00 122.95 N/A N/A 0 0 282 225 2021-10-05 $18.43 $22.50 73.3% 24.3% 64.3% 0.0% 0.0% -7.9% -17.2% -7.6K 206.2K -885 0.09 112.27 N/A N/A 22 2 280 225 2021-10-06 $17.81 $22.50 88.4% 20.4% 64.6% 0.0% 73.2% 3.3% 2.3% -6.0K 238.0K -795 0.00 107.70 N/A N/A 0 2 280 225 2021-10-07 $18.88 $22.50 81.8% 23.0% 68.8% 0.0% 0.0% 20.7% -5.0% -7.4K 166.0K -921 0.00 102.93 N/A N/A 0 0 299 224 2021-10-08 $18.25 $22.50 82.9% 22.4% 69.5% 0.0% 70.5% -4.8% -4.3% -7.0K 223.3K -860 0.00 109.39 N/A N/A 2 0 299 226 2021-10-11 $17.65 $22.50 109.5% 21.9% 70.0% 0.0% 0.0% -3.0% 0.5% -5.0K 219.2K -782 0.00 107.75 N/A N/A 0 0 294 226 2021-10-12 $18.09 $22.50 99.1% 20.1% 69.5% 0.0% 67.8% 9.6% 2.2% -6.9K 244.5K -754 0.00 109.35 N/A N/A 0 2 296 226 2021-10-13 $18.76 $22.50 74.1% 21.2% 70.8% 0.0% 0.0% 1.5% 2.4% -11.0K 206.6K -771 0.00 107.33 N/A N/A 1 0 296 226 2021-10-14 $19.20 $22.50 71.8% 20.6% 71.2% 0.0% 0.0% 6.0% 11.6% -15.1K 175.3K -829 0.00 106.66 N/A N/A 0 0 296 227 2021-10-15 $19.25 $22.50 74.7% 21.4% 71.2% 0.0% 71.3% 8.2% -3.2% 2.9K 291.7K -774 0.00 107.12 N/A N/A 1 0 296 227 2021-10-18 $19.18 $22.50 76.4% 21.9% 65.9% 0.0% 0.0% 12.0% -4.8% 2.9K -96.9K -748 0.00 106.05 N/A N/A 201 0 257 18 2021-10-19 $18.52 $22.50 59.1% 16.9% 66.9% 0.0% 0.0% -2.8% 6.7% 2.7K -74.5K -649 0.00 110.78 N/A N/A 0 0 258 18 2021-10-20 $18.16 $22.50 67.8% 19.4% 67.2% 0.0% 62.6% 4.9% -0.2% 7.9K -232.8K -1.2K 0.17 109.57 N/A N/A 89 15 459 8 2021-10-21 $18.82 $22.50 61.6% 17.7% 68.6% 0.0% 64.3% 1.8% 15.8% 8.3K -261.3K -1.2K 0.17 109.72 N/A N/A 89 15 463 8 2021-10-22 $18.26 $22.50 63.1% 18.1% 68.5% 0.0% 57.5% 5.1% 4.5% 8.2K -252.3K -1.2K 0.19 113.23 N/A N/A 81 15 463 8 2021-10-25 $17.62 $22.50 79.7% 22.8% 68.9% 0.0% 75.1% -1.7% -2.4% 7.3K -226.0K -1.1K 0.18 113.64 N/A N/A 82 15 461 8 2021-10-26 $17.03 $22.50 77.2% 22.1% 68.2% 0.0% 77.6% -2.1% -1.2% 6.8K -200.4K -1.0K 0.18 113.61 N/A N/A 82 15 461 8 2021-10-27 $16.69 $22.50 60.4% 17.3% 68.1% 0.0% 60.1% 0.6% -0.7% 6.6K -152.3K -886 0.18 114.97 N/A N/A 82 15 462 8 2021-10-28 $17.25 $22.50 78.4% 22.5% 69.5% 0.0% 66.3% 20.9% -13.5% 7.0K -153.1K -877 0.18 109.24 N/A N/A 82 15 462 8 2021-10-29 $17.63 $22.50 76.6% 22.0% 68.3% 0.0% 76.0% -4.6% -2.5% 7.4K -200.6K -1.0K 0.18 113.60 N/A N/A 82 15 462 8
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