The VIX option max pain data is now available. Several
users have emailed us asking for the VIX option data. If you
are one of them, you'll pleased that the data is finally here.
Use the ticker symbol ^VIX to get the
data. It will default to the next monthly maturity date, but
you will have the ability to select any available maturity.
The VIX is not a stock, but a derived value of the current
market volatility. Therefore the max pain value itself may
not be useful. Buying or selling the VIX or VIX options
doesn't affect the market volatility. So hedging won't affect
But, the open interest is certaintly valuable. The sheer
number of open contracts is amazing. For example, here is the
4/16/2014 maturity open interest.
There are a large number of stikes that have over 150,000 open
contracts. That volume even puts AAPL options to shame.
The AAPL April monthy maturity has one strike with 40,000 calls and
one with 40,000 puts. The rest are peanuts. So even
that 590 strike at 80,000 open contracts is just half of the
options open on just one VIX strike. What does that
mean? It means there's an awful lot of money tied up in VIX
Plus, consider how many more calls are open than puts. The
put-call ratio is 0.40. Many investors believe market
volatility will go up. Most of the calls are between the 17
and 25 strikes. There is also a large number of 30 strike