MAX Options History — September 2023 In September 2023, MAX traded between $7.77 and $8.45. ATM implied volatility averaged 61.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 26.0% (HV 20d: 35.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.20.
Notable Days 2023-09-25 : Highest Volume — 32 contracts2023-09-12 : Largest IV spike — 38.4% change2023-09-07 : Highest IV Rank — 27.4%2023-09-27 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.14 $7.77 $8.45 $8.45 $8.30 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 61.7% 48.1% 86.2% 54.4% 66.2% Expected Move 17.0% 12.2% 19.3% 15.6% 19.0% HV 20d 35.7% 32.3% 40.4% 40.4% 34.2% HV 60d 57.1% 53.3% 58.8% 57.2% 53.3% IV Rank 13.3% 5.6% 27.4% 9.1% 15.9% IV Percentile 26.3% 2.8% 78.2% 9.1% 39.3% Term Structure 6.1% -17.6% 29.1% 11.9% -8.6% VWIV 63.2% 61.3% 65.2% 61.3% 65.2% Skew 25d 20.8% -9.6% 107.8% 35.3% 31.4% Skew 10d 53.9% -21.1% 199.7% 108.1% 0.9% Call IV 25d 54.1% 33.0% 80.5% 40.0% 34.3% Put IV 25d 74.9% 51.1% 150.1% 75.3% 65.6% Bid-Ask Spread % 97.71 55.36 141.80 107.25 141.80 Gamma HHI 0.64 0.45 0.84 0.67 0.45 Net GEX 1.9K 389 2.8K 2.3K 1.4K Net DEX -55.0K -94.1K -11.4K -69.9K -69.3K Net VEX -387 -511 -73 -471 -498 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.00 10.00 0.00 0.00 Total Volume 5.5 0 32 6 0 Total OI 498.5 456 524 494 524
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 2023-09-01 $8.45 $7.50 54.4% 15.6% 40.4% 9.1% 0.0% 35.3% 11.9% 2.3K -69.9K -471 0.00 107.25 N/A N/A 6 0 325 169 2023-09-05 $8.43 $7.50 62.7% 12.2% 38.7% 13.9% 0.0% -4.7% 4.9% 2.8K -62.9K -402 0.00 86.23 N/A N/A 0 0 331 169 2023-09-06 $8.30 $7.50 71.4% 16.0% 39.0% 18.9% 0.0% 8.2% -5.4% 1.5K -82.9K -511 0.00 84.54 N/A N/A 0 0 331 169 2023-09-07 $8.09 $7.50 86.2% 19.1% 32.3% 27.4% 0.0% 6.0% 7.1% 2.2K -69.5K -448 0.00 101.41 N/A N/A 3 0 331 159 2023-09-08 $7.77 $7.50 61.2% 17.6% 34.0% 13.0% 0.0% 21.3% 25.7% 389 -11.4K -73 0.00 99.78 N/A N/A 1 0 334 159 2023-09-11 $8.00 $7.50 48.1% 17.9% 33.3% 5.6% 0.0% 22.4% 12.8% 2.2K -60.3K -360 1.00 60.25 N/A N/A 1 1 335 159 2023-09-12 $7.92 $7.50 66.6% 17.6% 33.0% 16.1% 0.0% 36.2% -15.9% 1.9K -43.2K -232 0.00 94.06 N/A N/A 0 0 335 159 2023-09-13 $8.13 $7.50 60.0% 17.2% 34.8% 12.4% 0.0% 9.1% 17.7% 2.1K -74.8K -423 0.00 91.77 N/A N/A 0 3 335 159 2023-09-14 $8.34 $7.50 59.1% 17.0% 34.5% 11.9% 0.0% 26.4% 1.5% 2.3K -94.1K -443 0.00 78.36 N/A N/A 1 0 335 159 2023-09-15 $8.05 $7.50 52.2% 15.0% 36.1% 7.9% 0.0% 4.3% -17.6% 2.2K -49.0K -257 0.00 140.63 N/A N/A 20 0 336 159 2023-09-18 $7.95 $7.50 62.4% 17.9% 34.6% 13.7% 0.0% 7.3% -17.3% 2.1K -40.6K -288 0.00 116.26 N/A N/A 0 23 314 142 2023-09-19 $7.79 $7.50 57.5% 16.5% 34.4% 10.9% 61.3% 107.8% 9.3% 1.5K -29.2K -306 10.00 124.25 N/A N/A 1 10 314 162 2023-09-20 $8.13 $7.50 49.3% 14.1% 38.1% 6.2% 0.0% 7.2% 29.1% 1.2K -57.1K -469 0.00 102.14 N/A N/A 5 0 315 172 2023-09-21 $8.07 $7.50 61.8% 17.7% 36.7% 13.4% 0.0% 3.3% -0.0% 1.8K -37.3K -357 0.00 105.30 N/A N/A 0 0 318 172 2023-09-22 $8.17 $7.50 66.9% 19.2% 36.6% 16.3% 0.0% -9.6% 11.9% 1.7K -48.2K -440 0.00 104.60 N/A N/A 0 0 318 192 2023-09-25 $8.19 $7.50 61.8% 17.7% 36.7% 13.4% 0.0% 40.2% 11.8% 1.8K -45.4K -409 2.20 101.50 N/A N/A 10 22 318 192 2023-09-26 $8.25 $7.50 54.4% 15.6% 36.0% 9.1% 0.0% 36.2% 27.4% 1.8K -48.3K -435 0.00 100.10 N/A N/A 2 0 328 194 2023-09-27 $8.25 $7.50 67.3% 19.3% 35.5% 16.5% 65.2% 2.9% 11.3% 1.8K -54.6K -471 0.00 58.67 N/A N/A 1 0 329 194 2023-09-28 $8.25 $7.50 65.0% 18.6% 35.3% 15.2% 0.0% 25.5% 3.4% 2.0K -52.8K -438 0.00 55.36 N/A N/A 0 0 330 194 2023-09-29 $8.30 $7.50 66.2% 19.0% 34.2% 15.9% 0.0% 31.4% -8.6% 1.4K -69.3K -498 0.00 141.80 N/A N/A 0 0 330 194
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