MAX Options History — December 2021

In December 2021, MAX traded between $14.39 and $16.50. ATM implied volatility averaged 84.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 20.3% (HV 20d: 64.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.06.

Notable Days

2021-12-06: Highest Volume — 196 contracts
2021-12-15: Largest IV drop — 35.9% change
2021-12-13: Highest IV Rank — 74.8%
2021-12-03: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.35	$14.39	$16.50	$14.87	$15.53
Max Pain	$15.63	$12.50	$17.50	$17.50	$15.00
ATM IV	84.7%	65.6%	128.2%	75.5%	77.5%
Expected Move	21.7%	18.0%	25.9%	21.6%	22.2%
HV 20d	64.4%	48.7%	74.2%	72.0%	60.8%
HV 60d	68.0%	65.7%	69.3%	66.8%	65.7%
IV Rank	27.6%	7.5%	74.8%	31.5%	20.3%
IV Percentile	61.7%	14.4%	98.4%	81.0%	53.9%
Term Structure	-0.4%	-16.2%	14.3%	2.7%	-13.0%
VWIV	81.9%	64.1%	112.5%	90.9%	73.5%
Skew 25d	15.0%	-4.3%	30.9%	11.4%	16.5%
Skew 10d	20.3%	-2.7%	60.4%	11.4%	26.7%
Call IV 25d	68.9%	50.3%	100.9%	86.8%	74.5%
Put IV 25d	83.9%	63.3%	115.3%	98.2%	91.0%
Bid-Ask Spread %	108.43	94.00	123.31	116.01	97.69
Gamma HHI	0.28	0.17	0.50	0.42	0.18
Net GEX	3.9K	2.2K	7.8K	5.3K	2.8K
Net DEX	-124.0K	-194.3K	-85.6K	-151.5K	-119.8K
Net VEX	-584	-826	-471	-665	-561
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.05	0.07	0.05	0.07
Total Volume	152.273	108	196	158	130
Total OI	420.5	276	520	504	293

Daily Data (22 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
2021-12-01	$14.87	$17.50	75.5%	21.6%	72.0%	0.0%	90.9%	11.4%	2.7%	5.3K	-151.5K	-665	0.05	116.01	N/A	N/A	150	8	496	8
2021-12-02	$14.82	$17.50	75.6%	21.7%	67.4%	0.0%	69.6%	20.5%	-11.4%	4.2K	-116.3K	-556	0.05	114.46	N/A	N/A	160	8	496	8
2021-12-03	$14.39	$17.50	90.2%	25.9%	67.0%	0.0%	112.5%	14.4%	-16.2%	4.4K	-116.5K	-575	0.05	119.39	N/A	N/A	160	8	476	8
2021-12-06	$15.46	$0.00	103.4%	20.8%	71.5%	0.0%	0.0%	11.0%	4.3%	5.1K	-124.8K	-548	0.05	111.14	N/A	N/A	186	10	476	8
2021-12-07	$16.08	$0.00	84.1%	22.2%	72.9%	0.0%	0.0%	24.0%	-1.0%	6.7K	-181.1K	-826	0.05	107.18	N/A	N/A	186	10	508	10
2021-12-08	$16.50	$0.00	85.5%	21.6%	73.5%	0.0%	0.0%	11.6%	-9.8%	7.8K	-194.3K	-820	0.06	108.69	N/A	N/A	162	10	508	10
2021-12-09	$16.07	$0.00	87.9%	19.0%	74.1%	31.5%	0.0%	8.2%	2.7%	6.7K	-158.9K	-680	0.06	112.87	N/A	N/A	162	10	509	10
2021-12-10	$15.88	$0.00	96.0%	20.1%	74.2%	40.2%	0.0%	11.3%	12.5%	6.5K	-157.6K	-689	0.06	110.89	N/A	N/A	162	10	509	10
2021-12-13	$15.64	$0.00	128.2%	21.8%	67.5%	74.8%	0.0%	8.2%	4.8%	4.9K	-134.4K	-618	0.06	112.43	N/A	N/A	162	10	509	10
2021-12-14	$15.01	$0.00	115.1%	18.0%	64.6%	60.7%	0.0%	7.4%	11.6%	2.8K	-106.0K	-522	0.06	113.26	N/A	N/A	162	10	510	10
2021-12-15	$14.78	$0.00	73.8%	21.2%	64.4%	16.4%	0.0%	14.5%	10.7%	2.2K	-87.9K	-473	0.06	108.13	N/A	N/A	166	10	510	10
2021-12-16	$14.58	$0.00	80.3%	23.0%	63.4%	23.3%	0.0%	-4.3%	-2.5%	2.8K	-104.3K	-543	0.06	110.75	N/A	N/A	170	10	505	9
2021-12-17	$15.20	$0.00	74.9%	21.5%	65.7%	17.5%	0.0%	20.5%	-5.0%	2.4K	-105.9K	-505	0.07	111.65	N/A	N/A	152	10	509	9
2021-12-20	$14.80	$0.00	78.6%	22.5%	66.1%	21.5%	0.0%	13.8%	-1.8%	2.3K	-105.0K	-512	0.06	123.31	N/A	N/A	123	7	269	7
2021-12-21	$15.33	$0.00	79.7%	22.9%	64.9%	22.7%	0.0%	19.6%	-0.3%	2.4K	-104.5K	-492	0.07	102.84	N/A	N/A	101	7	269	7
2021-12-22	$15.41	$0.00	78.6%	22.5%	58.2%	21.5%	0.0%	16.0%	-14.8%	2.7K	-117.1K	-574	0.06	102.56	N/A	N/A	110	7	289	7
2021-12-23	$15.29	$0.00	65.8%	18.9%	48.7%	7.8%	64.1%	11.4%	12.1%	2.7K	-117.0K	-592	0.07	94.00	N/A	N/A	110	8	289	7
2021-12-27	$15.86	$15.00	80.4%	23.0%	50.1%	23.4%	80.5%	17.2%	-6.8%	2.8K	-119.9K	-552	0.07	98.47	N/A	N/A	107	8	289	8
2021-12-28	$15.96	$15.00	82.8%	23.7%	50.0%	26.0%	95.1%	30.9%	14.3%	2.7K	-115.9K	-575	0.07	98.65	N/A	N/A	107	8	282	8
2021-12-29	$14.64	$15.00	65.6%	18.8%	58.8%	7.5%	67.4%	16.1%	5.7%	2.2K	-85.6K	-471	0.07	99.27	N/A	N/A	113	8	282	8
2021-12-30	$15.59	$12.50	83.9%	24.0%	60.8%	27.1%	83.6%	30.0%	-7.4%	2.8K	-104.2K	-498	0.06	111.90	N/A	N/A	124	8	288	8
2021-12-31	$15.53	$15.00	77.5%	22.2%	60.8%	20.3%	73.5%	16.5%	-13.0%	2.8K	-119.8K	-561	0.07	97.69	N/A	N/A	121	9	285	8