Max Pain Results For September

For the entire September-expiration month I tracked the options activity for some of the most traded symbols in the US market. These included SPY, IWM, XLF, QQQQ, and DIA.

For the most part of the month the price of these symbols was well below their max pain values (as computed by iqauto). However, on expiration day, the average difference between price and max pain value jumped quite significantly to very close to zero (+0.05%).

Last month, there were changes during the day that moved max pain values closer to the stock price and vice-versa. This month, the action was almost entirely on the stock prices, which is quite remarkable as the last day began with the average difference between price and max pain value down -4.47% (and it was -9.43% on Wednesday)

The average difference for all symbols tracked is show on the chart below:




This month was indeed remarkable. Max pain values looked completely off all month, yet in the end they somehow managed to be correct - on average.


Individual Symbols: