MAX Options History — December 2023

In December 2023, MAX traded between $10.23 and $11.72. ATM implied volatility averaged 50.9%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 5.4% (HV 20d: 45.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2023-12-14: Highest Volume — 60 contracts
2023-12-15: Largest IV spike — 20.6% change
2023-12-07: Highest IV Rank — 9.7%
2023-12-05: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.97	$10.23	$11.72	$10.23	$11.16
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	50.9%	41.0%	60.1%	54.1%	41.0%
Expected Move	15.1%	11.7%	27.6%	15.5%	11.7%
HV 20d	45.5%	35.6%	65.9%	65.1%	42.9%
HV 60d	61.9%	61.1%	63.1%	61.8%	62.6%
IV Rank	5.6%	1.1%	9.7%	7.0%	1.1%
IV Percentile	10.0%	0.8%	29.0%	13.1%	0.8%
Term Structure	4.5%	-12.1%	29.3%	-1.9%	29.3%
VWIV	50.0%	40.1%	69.2%	69.2%	47.5%
Skew 25d	10.2%	-1.8%	60.7%	60.7%	4.5%
Skew 10d	14.5%	-20.1%	118.3%	118.3%	7.1%
Call IV 25d	47.3%	43.4%	53.9%	46.5%	43.4%
Put IV 25d	57.5%	46.6%	107.2%	107.2%	48.0%
Bid-Ask Spread %	97.55	67.66	115.91	82.78	115.50
Gamma HHI	0.58	0.37	0.87	0.84	0.42
Net GEX	4.1K	2.8K	7.6K	4.9K	3.5K
Net DEX	-156.3K	-233.9K	-95.3K	-104.3K	-131.3K
Net VEX	-309	-367	-239	-288	-338
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.36	0.00	0.00
Total Volume	14.4	0	60	0	4
Total OI	285.9	233	367	258	288

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
2023-12-01	$10.23	$10.00	54.1%	15.5%	65.1%	7.0%	0.0%	60.7%	-1.9%	4.9K	-104.3K	-288	0.00	82.78	N/A	N/A	0	0	214	44
2023-12-04	$10.59	$10.00	58.7%	15.3%	65.9%	9.1%	0.0%	2.4%	1.4%	4.5K	-134.8K	-262	0.00	95.76	N/A	N/A	15	0	214	44
2023-12-05	$10.45	$10.00	57.9%	27.6%	51.9%	8.7%	69.2%	23.3%	-12.1%	4.6K	-114.4K	-239	0.02	109.91	N/A	N/A	50	1	199	44
2023-12-06	$10.27	$10.00	55.6%	15.3%	48.1%	7.7%	0.0%	-1.8%	2.4%	6.4K	-133.0K	-296	0.00	102.98	N/A	N/A	25	0	247	43
2023-12-07	$10.57	$10.00	60.1%	15.8%	48.0%	9.7%	0.0%	2.6%	0.6%	6.2K	-168.5K	-324	0.00	74.96	N/A	N/A	20	0	272	43
2023-12-08	$10.97	$10.00	58.3%	15.5%	48.1%	8.9%	46.6%	7.5%	0.9%	5.0K	-201.9K	-290	0.00	91.52	N/A	N/A	0	1	267	43
2023-12-11	$11.08	$10.00	47.2%	15.0%	47.4%	3.9%	0.0%	7.8%	7.9%	2.8K	-221.7K	-241	0.00	112.18	N/A	N/A	0	0	267	45
2023-12-12	$10.82	$10.00	47.1%	15.0%	47.5%	3.9%	46.8%	4.2%	3.9%	3.5K	-207.3K	-254	0.00	67.66	N/A	N/A	10	0	267	45
2023-12-13	$10.47	$10.00	51.6%	14.8%	39.0%	5.9%	0.0%	7.2%	14.7%	7.6K	-185.8K	-267	0.00	113.34	N/A	N/A	20	0	277	45
2023-12-14	$10.66	$10.00	44.2%	12.7%	35.6%	2.6%	40.1%	34.1%	15.3%	4.5K	-207.2K	-262	0.02	115.91	N/A	N/A	59	1	287	45
2023-12-15	$10.93	$10.00	53.3%	15.3%	36.2%	6.7%	0.0%	7.3%	-3.1%	3.1K	-233.9K	-343	0.00	106.96	N/A	N/A	1	0	322	45
2023-12-18	$10.73	$10.00	52.7%	15.1%	37.3%	6.4%	0.0%	3.6%	0.1%	3.1K	-95.3K	-321	0.00	112.58	N/A	N/A	0	0	204	29
2023-12-19	$11.40	$10.00	49.1%	14.1%	41.3%	4.8%	51.5%	3.7%	1.5%	3.1K	-124.5K	-335	0.12	96.90	N/A	N/A	25	3	204	29
2023-12-20	$11.16	$10.00	52.9%	15.2%	42.5%	6.5%	55.3%	4.7%	-0.4%	3.4K	-121.1K	-344	1.36	105.19	N/A	N/A	11	15	219	30
2023-12-21	$11.57	$10.00	46.0%	13.2%	43.1%	3.4%	46.0%	7.9%	6.4%	3.0K	-144.9K	-366	0.00	105.58	N/A	N/A	1	0	229	45
2023-12-22	$11.55	$10.00	47.5%	13.6%	43.1%	4.0%	47.5%	8.2%	3.3%	3.2K	-143.7K	-367	0.40	74.65	N/A	N/A	5	2	230	45
2023-12-26	$11.50	$10.00	47.6%	13.6%	43.0%	4.1%	47.5%	9.5%	2.7%	3.3K	-142.5K	-353	0.25	74.99	N/A	N/A	4	1	235	47
2023-12-27	$11.72	$10.00	47.1%	13.5%	43.2%	3.9%	0.0%	-0.3%	4.9%	3.2K	-156.5K	-347	0.00	102.15	N/A	N/A	13	0	235	46
2023-12-28	$11.59	$10.00	46.6%	13.4%	41.4%	3.7%	0.0%	6.5%	11.5%	3.3K	-153.6K	-349	0.00	89.48	N/A	N/A	1	0	238	46
2023-12-29	$11.16	$10.00	41.0%	11.7%	42.9%	1.1%	0.0%	4.5%	29.3%	3.5K	-131.3K	-338	0.00	115.50	N/A	N/A	4	0	242	46