The VIX option max pain data is now available. Â Several users have emailed us asking for the VIX option data. Â If you are one of them, you'll pleased that the data is finally here.
Use the ticker symbol ^VIX to get the data. Â 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. Â Therefore the max pain value itself may not be useful. Â Buying or selling the VIX or VIX options doesn't affect the market volatility. Â So hedging won't affect the price.
But, the open interest is certaintly valuable. Â The sheer number of open contracts is amazing. Â 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. Â That volume even puts AAPL options to shame. Â The AAPL April monthy maturity has one strike with 40,000 calls and one with 40,000 puts. Â The rest are peanuts. Â 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? Â It means there's an awful lot of money tied up in VIX options.
Plus, consider how many more calls are open than puts. Â The put-call ratio is 0.40. Â Many investors believe market volatility will go up. Â Most of the calls are between the 17 and 25 strikes. Â There is also a large number of 30 strike calls.