Tuesday, April 21, 2015

VIX Option Max Pain

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 the price.

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 options.

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 calls.

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Tuesday, December 01, 2015 9:30 AM
$IDRA Max Pain = 3.00. Maturity = 12/18/2015. Previous close = 3.90.
Tuesday, December 01, 2015 9:15 AM
$VRX high open interest range is 86.50 to 100.00 for option expiration 12/04/2015. https://t.co/VrVd4tnxUM
Tuesday, December 01, 2015 9:00 AM
$IBM Max Pain = 137.00. Maturity = 12/04/2015. Previous close = 139.44.
Tuesday, December 01, 2015 8:30 AM
$BIDU Max Pain = 200.00. Maturity = 12/04/2015. Previous close = 217.97.
Tuesday, December 01, 2015 8:15 AM
$UA high open interest range is 88.00 to 87.00 for option expiration 12/04/2015. https://t.co/pRxdeadTXl
Tuesday, December 01, 2015 8:02 AM
$UA Max Pain = 89.00. Maturity = 12/04/2015. Previous close = 86.25.