MAX Options History — January 2022

In January 2022, MAX traded between $13.81 and $16.21. ATM implied volatility averaged 76.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 17.0% (HV 20d: 59.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.08.

Notable Days

2022-01-13: Highest Volume — 143 contracts
2022-01-13: Largest IV spike — 34.3% change
2022-01-03: Highest IV Rank — 35.3%
2022-01-03: Largest Expected Move — 26.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.73	$13.81	$16.21	$16.21	$14.59
Max Pain	$12.88	$12.50	$15.00	$15.00	$12.50
ATM IV	76.1%	59.0%	91.4%	91.4%	87.2%
Expected Move	21.7%	16.9%	26.2%	26.2%	25.0%
HV 20d	59.0%	46.9%	62.2%	61.2%	50.7%
HV 60d	65.3%	59.3%	66.7%	65.1%	59.3%
IV Rank	18.8%	0.5%	35.3%	35.3%	30.7%
IV Percentile	48.5%	1.3%	85.9%	85.9%	80.7%
Term Structure	-0.1%	-20.8%	20.4%	-9.5%	-5.6%
VWIV	75.7%	57.6%	97.1%	85.4%	85.8%
Skew 25d	6.8%	-13.1%	23.4%	23.4%	-13.1%
Skew 10d	20.9%	1.1%	56.6%	22.5%	17.0%
Call IV 25d	75.7%	57.9%	112.8%	77.0%	112.8%
Put IV 25d	82.5%	65.3%	102.4%	100.4%	99.7%
Bid-Ask Spread %	109.52	90.20	122.19	90.20	111.75
Gamma HHI	0.20	0.17	0.25	0.18	0.21
Net GEX	2.6K	2.2K	3.1K	3.0K	2.6K
Net DEX	-103.0K	-135.4K	-80.6K	-135.4K	-105.3K
Net VEX	-455	-598	-367	-598	-428
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.07	0.11	0.08	0.07
Total Volume	129.85	113	143	131	132
Total OI	312.45	296	332	296	318

Daily Data (20 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
2022-01-03	$16.21	$15.00	91.4%	26.2%	61.2%	35.3%	85.4%	23.4%	-9.5%	3.0K	-135.4K	-598	0.08	90.20	N/A	N/A	121	10	287	9
2022-01-04	$15.46	$15.00	69.5%	19.9%	58.8%	11.8%	74.7%	18.0%	1.9%	2.8K	-111.4K	-515	0.09	97.47	N/A	N/A	112	10	288	10
2022-01-05	$14.39	$15.00	80.1%	23.0%	62.1%	23.1%	82.2%	19.8%	-0.6%	2.3K	-82.2K	-440	0.09	97.15	N/A	N/A	112	10	289	10
2022-01-06	$14.61	$12.50	76.3%	25.3%	61.5%	19.1%	83.9%	2.2%	-6.5%	2.3K	-80.6K	-394	0.10	90.83	N/A	N/A	103	10	289	10
2022-01-07	$14.77	$12.50	80.4%	21.0%	61.2%	23.4%	72.8%	10.2%	5.6%	2.6K	-91.9K	-446	0.10	99.54	N/A	N/A	103	10	288	10
2022-01-10	$15.12	$12.50	81.3%	21.0%	61.9%	24.4%	79.1%	22.3%	-2.4%	2.6K	-91.5K	-435	0.10	100.75	N/A	N/A	103	10	288	10
2022-01-11	$15.43	$12.50	87.5%	22.9%	62.2%	31.1%	82.5%	6.6%	4.6%	2.9K	-119.5K	-543	0.10	111.64	N/A	N/A	103	10	288	10
2022-01-12	$15.34	$12.50	59.0%	16.9%	60.4%	0.5%	59.0%	0.8%	16.6%	2.8K	-99.4K	-421	0.11	118.03	N/A	N/A	103	11	289	10
2022-01-13	$15.28	$12.50	79.3%	22.7%	60.2%	22.3%	80.4%	8.4%	8.4%	2.7K	-110.8K	-486	0.08	118.01	N/A	N/A	132	11	289	11
2022-01-14	$15.41	$12.50	60.5%	17.3%	59.9%	2.0%	57.6%	5.3%	20.4%	3.1K	-128.5K	-517	0.08	118.53	N/A	N/A	132	11	318	11
2022-01-18	$14.81	$12.50	61.0%	17.5%	59.9%	2.6%	62.5%	0.6%	10.1%	2.8K	-114.2K	-431	0.08	122.19	N/A	N/A	132	11	318	11
2022-01-19	$14.82	$12.50	71.8%	20.6%	59.1%	14.2%	68.8%	-4.5%	5.9%	2.9K	-116.8K	-494	0.08	113.38	N/A	N/A	132	11	318	12
2022-01-20	$14.13	$12.50	64.7%	18.6%	59.9%	6.6%	68.2%	-10.2%	-3.4%	2.5K	-108.0K	-475	0.08	113.44	N/A	N/A	132	11	320	12
2022-01-21	$13.81	$12.50	70.6%	20.2%	60.2%	12.9%	72.2%	3.5%	-7.6%	2.2K	-82.5K	-386	0.08	114.34	N/A	N/A	132	11	320	12
2022-01-24	$14.25	$12.50	86.7%	24.8%	61.6%	30.1%	84.6%	11.0%	-6.3%	2.5K	-101.4K	-474	0.07	111.46	N/A	N/A	129	9	310	10
2022-01-25	$14.43	$12.50	81.3%	23.3%	60.0%	24.4%	75.2%	18.6%	-20.8%	2.4K	-99.5K	-403	0.07	116.58	N/A	N/A	123	9	310	10
2022-01-26	$14.04	$12.50	88.7%	25.4%	60.4%	32.3%	97.1%	8.4%	-0.5%	2.4K	-103.9K	-450	0.07	115.49	N/A	N/A	123	9	310	8
2022-01-27	$13.81	$12.50	71.7%	20.5%	52.8%	14.1%	71.8%	7.4%	-9.5%	2.4K	-92.4K	-398	0.07	114.33	N/A	N/A	123	9	310	8
2022-01-28	$13.90	$12.50	72.6%	20.8%	46.9%	15.1%	70.1%	-3.4%	-2.6%	2.4K	-85.2K	-367	0.07	115.23	N/A	N/A	123	9	310	8
2022-01-31	$14.59	$12.50	87.2%	25.0%	50.7%	30.7%	85.8%	-13.1%	-5.6%	2.6K	-105.3K	-428	0.07	111.75	N/A	N/A	123	9	310	8