Tuesday, April 21, 2015

Historical Max Pain

A great number of people have asked about the historical max pain values. Recent;y this website has begun recording the daily AAPL max pain values and comparing them with the daily stock price.

Currently, only AAPL stock has this historical max pain data. Why? The data for this website is gathered on demand from Yahoo finance. This means no one requests the max pain value for a particular stock one day, then there would be no value to record. Second, there are storage space concerns when attepting to store such data for every stock ticker.

I choose AAPL stock because it is the poster child for max pain. AAPL trades more options than any other stock. More option contracts means more common stock bought as a hedge by the option writer. A larger hedge has more effect on the stock price when it is rebalanced.

That said, how is AAPL doing? Here is the chart for mid March to mid April. The unbroken gray line is the stock price. The broken blue line indicates the max pain for that week.

On Friday 3/21/2014, Firday 3/28/2014 and Friday 4/18/2014 max pain was correct. On Friday 4/4/2014 and Friday 4/11/2014 it was incorrect. The week of 4/4/2014 was the week where the Russian and Ukraine conflict arose, driving down stocks Thursday and Friday.



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Saturday, July 04, 2015 4:15 PM
Maximum_Pain_cm
$SPY OI for maturity 07/02/2015. 185.00 Highest put. 213.00 Highest call.
http://t.co/Ey92x1O2vD
Saturday, July 04, 2015 4:00 PM
Maximum_Pain_cm
$SPY Max Pain is 211.00 for maturity 07/02/2015. Price = 207.31.
http://t.co/4cYXr3kUqm
Saturday, July 04, 2015 2:15 PM
Maximum_Pain_cm
$AGN OI for maturity 07/02/2015. 297.50 Highest put. 300.00 Highest call.
http://t.co/TnbSvcLn8O
Saturday, July 04, 2015 2:00 PM
Maximum_Pain_cm
$AGN Max Pain is 300.00 for maturity 07/02/2015. Price = 307.51.
http://t.co/tSG8XsGgNU