MAX Options History — September 2024

In September 2024, MAX traded between $16.73 and $18.37. ATM implied volatility averaged 50.9%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 8.3% (HV 20d: 42.5%). 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 19 of 20 days. Put/call ratio averaged 8.73.

Notable Days

  • 2024-09-24: Highest Volume — 1,077 contracts
  • 2024-09-06: Largest IV spike — 89.3% change
  • 2024-09-06: Highest IV Rank — 17.5%
  • 2024-09-10: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.58$16.73$18.37$17.37$18.37
Max Pain$12.75$12.50$15.00$15.00$12.50
ATM IV50.9%37.2%70.4%40.0%61.6%
Expected Move14.4%10.9%18.1%11.5%17.6%
HV 20d42.5%39.3%50.6%44.2%40.5%
HV 60d52.0%47.5%55.6%53.6%47.7%
IV Rank9.0%3.1%17.5%4.3%13.7%
IV Percentile24.4%1.6%63.9%2.8%48.0%
Term Structure16.7%-24.1%38.2%23.5%10.7%
VWIV45.0%30.2%55.0%38.9%30.2%
Skew 25d7.7%-14.6%36.6%4.4%19.0%
Skew 10d0.6%-22.7%55.7%-3.2%-0.4%
Call IV 25d40.5%29.4%57.2%35.8%44.4%
Put IV 25d48.2%30.0%85.4%40.2%63.4%
Bid-Ask Spread %103.5289.24122.52103.6689.55
Gamma HHI0.510.390.780.480.39
Net GEX47.0K6.6K101.8K20.5K80.6K
Net DEX-2.2M-3.7M-997.6K-1.4M-3.7M
Net VEX-7.9K-9.3K-6.9K-6.9K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.730.00128.000.020.02
Total Volume219.0501,077128121
Total OI3,824.753,3374,5143,3373,869

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$17.37$15.0040.0%11.5%44.2%4.3%0.0%4.4%23.5%20.5K-1.4M-6.9K0.02103.66N/AN/A12531,9741,363
2024-09-04$17.27$15.0042.9%12.3%43.8%5.6%38.9%4.8%22.1%24.5K-1.5M-7.3K0.00106.05N/AN/A4602,0981,364
2024-09-05$17.16$12.5037.2%12.4%42.8%3.1%0.0%20.8%6.5%24.0K-1.4M-7.2K2.98116.13N/AN/A421252,1401,364
2024-09-06$16.84$12.5070.4%13.1%43.1%17.5%0.0%31.8%11.0%15.2K-997.6K-7.6K0.79114.42N/AN/A3172502,1001,489
2024-09-09$17.95$12.5050.8%13.6%42.2%9.0%0.0%27.1%33.7%20.1K-1.6M-8.2K1.01112.25N/AN/A1251262,1171,739
2024-09-10$16.73$12.5053.8%18.1%50.6%10.3%0.0%-1.3%38.2%6.6K-1.2M-7.9K0.00110.91N/AN/A902,2421,615
2024-09-11$17.04$12.5057.1%16.4%46.5%11.8%0.0%2.6%11.8%14.7K-1.3M-8.0K0.0097.84N/AN/A002,2401,615
2024-09-12$17.24$12.5054.5%15.6%43.9%10.6%52.6%5.9%10.4%36.2K-1.6M-7.6K0.0098.09N/AN/A302,2401,605
2024-09-13$17.48$12.5059.9%17.2%42.6%12.9%0.0%5.1%10.0%31.9K-1.6M-7.6K15.6395.42N/AN/A81252,2431,605
2024-09-16$17.57$12.5057.0%16.3%42.4%11.7%0.0%-14.6%4.3%40.7K-1.8M-7.0K0.0089.24N/AN/A032,2451,480
2024-09-17$17.55$12.5055.0%15.8%42.0%10.8%55.0%6.0%11.9%46.7K-1.8M-6.9K0.01104.17N/AN/A46752,2451,479
2024-09-18$17.62$12.5049.0%14.1%41.8%8.3%0.0%36.6%32.9%50.3K-2.2M-7.6K0.03122.52N/AN/A11032,5391,478
2024-09-19$17.77$12.5053.6%15.4%41.7%10.2%0.0%14.6%14.6%55.0K-2.5M-7.8K0.00106.94N/AN/A51002,6491,477
2024-09-20$17.66$12.5037.9%10.9%41.3%3.5%46.1%-3.9%32.9%66.3K-2.8M-8.5K0.00106.29N/AN/A10403,0371,477
2024-09-23$17.59$12.5038.4%11.0%39.3%3.7%30.9%10.1%33.9%67.3K-2.7M-8.2K0.00102.93N/AN/A52613,000563
2024-09-24$18.17$12.5050.9%14.6%40.4%9.1%47.9%-2.6%14.9%78.3K-3.4M-9.3K0.0093.94N/AN/A1,07523,401563
2024-09-25$18.17$12.5040.0%11.5%40.0%4.4%52.9%0.6%18.0%77.1K-3.5M-9.3K0.00105.00N/AN/A1603,419565
2024-09-26$17.85$12.5050.6%14.5%40.4%8.9%50.7%-5.9%16.8%81.2K-3.1M-9.1K128.0095.35N/AN/A11283,426565
2024-09-27$18.12$12.5056.9%16.3%40.7%11.6%0.0%-7.3%-24.1%101.8K-3.3M-7.8K0.0099.78N/AN/A053,427438
2024-09-30$18.37$12.5061.6%17.6%40.5%13.7%30.2%19.0%10.7%80.6K-3.7M-8.3K0.0289.55N/AN/A11923,427442