MAX Options History — September 2022 In September 2022, MAX traded between $7.95 and $9.45. ATM implied volatility averaged 91.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 28.6% (HV 20d: 62.6%). Max pain ranged from $7.50 to $17.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2022-09-28 : Highest Volume — 66 contracts2022-09-14 : Largest IV drop — 51.5% change2022-09-13 : Highest IV Rank — 30.0%2022-09-15 : Largest Expected Move — 28.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.45 $7.95 $9.45 $8.29 $8.75 Max Pain $9.72 $7.50 $17.50 $7.50 $7.50 ATM IV 91.2% 68.6% 141.3% 95.0% 80.6% Expected Move 22.9% 17.5% 28.0% 27.2% 23.1% HV 20d 62.6% 45.7% 106.9% 106.9% 63.9% HV 60d 75.4% 74.3% 76.7% 74.7% 76.1% IV Rank 12.7% 5.0% 30.0% 14.1% 9.1% IV Percentile 69.6% 18.3% 97.2% 87.3% 54.4% Term Structure -10.3% -40.7% 26.9% -9.9% -19.8% VWIV 77.0% 59.1% 91.5% 91.5% 59.1% Skew 25d 20.9% -19.1% 44.0% 44.0% 20.8% Skew 10d 45.8% 6.5% 97.6% 77.6% 36.7% Call IV 25d 74.7% 56.9% 107.9% 107.9% 79.8% Put IV 25d 95.6% 57.6% 151.8% 151.8% 100.6% Bid-Ask Spread % 109.11 78.77 133.02 88.44 85.42 Gamma HHI 0.44 0.28 0.66 0.51 0.66 Net GEX 27 -50 399 -50 399 Net DEX -537 -21.5K 3.1K 1.9K -20.1K Net VEX -31 -49 -24 -37 -47 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.00 5.00 5.00 0.27 Total Volume 18.952 0 66 12 66 Total OI 29.095 22 63 26 63
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 2022-09-01 $8.29 $7.50 95.0% 27.2% 106.9% 14.1% 0.0% 44.0% -9.9% -50 1.9K -37 5.00 88.44 N/A N/A 2 10 11 15 2022-09-02 $8.36 $7.50 88.9% 25.5% 85.7% 12.0% 0.0% 38.1% -35.9% 0 1.3K -31 0.00 109.19 N/A N/A 0 0 12 11 2022-09-06 $7.95 $0.00 109.0% 20.3% 84.6% 18.9% 0.0% 20.3% 15.0% -17 665 -28 1.50 112.02 N/A N/A 10 15 12 11 2022-09-07 $8.44 $0.00 103.3% 19.4% 60.8% 16.9% 0.0% 26.3% -2.4% -8 1.6K -28 1.50 124.64 N/A N/A 10 15 12 11 2022-09-08 $8.87 $0.00 104.8% 17.5% 62.4% 17.4% 0.0% 25.1% -2.5% -10 1.2K -29 0.00 123.86 N/A N/A 0 0 12 11 2022-09-09 $8.88 $0.00 112.2% 18.3% 60.5% 20.0% 0.0% 15.8% -4.3% -6 943 -29 0.00 126.29 N/A N/A 0 0 12 11 2022-09-12 $8.93 $0.00 98.0% 23.8% 59.7% 15.1% 0.0% 14.9% -14.3% -19 502 -30 0.00 102.35 N/A N/A 0 0 12 11 2022-09-13 $8.32 $0.00 141.3% 23.4% 64.4% 30.0% 0.0% 14.8% 26.9% 1 754 -30 1.25 101.00 N/A N/A 12 15 12 11 2022-09-14 $8.31 $0.00 68.6% 19.7% 63.7% 5.0% 0.0% -19.1% -40.7% -16 1.3K -29 0.00 109.25 N/A N/A 2 0 11 11 2022-09-15 $8.12 $0.00 97.7% 28.0% 63.7% 15.0% 0.0% 20.5% -19.5% -13 1.4K -30 0.00 115.66 N/A N/A 0 0 13 11 2022-09-16 $8.09 $0.00 80.4% 23.0% 63.4% 9.0% 0.0% 27.2% -9.9% -27 2.3K -25 1.36 128.54 N/A N/A 11 15 13 11 2022-09-19 $8.16 $0.00 80.6% 23.1% 61.9% 9.1% 0.0% 29.2% -9.7% -28 3.1K -25 0.00 121.26 N/A N/A 0 0 12 10 2022-09-20 $8.23 $0.00 82.6% 23.7% 55.8% 9.8% 0.0% 30.9% -8.3% -28 3.0K -25 0.00 133.02 N/A N/A 0 0 12 10 2022-09-21 $8.16 $0.00 84.7% 24.3% 48.7% 10.5% 91.5% 8.4% -8.9% -18 3.0K -24 0.00 124.33 N/A N/A 8 0 12 10 2022-09-22 $8.20 $17.50 73.9% 21.2% 47.3% 6.8% 82.6% 26.6% -18.0% -18 2.5K -25 0.00 100.05 N/A N/A 3 0 20 10 2022-09-23 $8.21 $10.00 89.8% 25.7% 47.1% 12.3% 0.0% 19.4% -38.8% 20 1.4K -30 0.00 78.77 N/A N/A 0 0 23 10 2022-09-26 $8.47 $10.00 76.1% 21.8% 45.7% 7.6% 70.1% 7.1% -23.9% 26 1.6K -30 0.64 102.83 N/A N/A 22 14 23 10 2022-09-27 $8.53 $10.00 79.9% 22.9% 45.7% 8.9% 73.5% 34.3% 22.6% 29 1.5K -31 0.64 95.60 N/A N/A 22 14 23 10 2022-09-28 $9.45 $10.00 82.5% 23.7% 58.3% 9.8% 89.8% -8.4% -12.8% 48 276 -34 0.27 94.32 N/A N/A 52 14 23 10 2022-09-29 $8.81 $7.50 84.8% 24.3% 63.9% 10.5% 72.5% 42.9% -2.0% 307 -21.5K -49 0.27 114.57 N/A N/A 52 14 53 10 2022-09-30 $8.75 $7.50 80.6% 23.1% 63.9% 9.1% 59.1% 20.8% -19.8% 399 -20.1K -47 0.27 85.42 N/A N/A 52 14 53 10
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