Options Max Pain & Open Interest Wall — Expiry Analysis

Expiry— · Countdown— · Source—

Max Pain Level

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option writer target strike

Current Price

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underlying last

Distance to Max Pain

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% from current → max pain

Call Wall (Resistance)

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strike with highest call OI

Put Wall (Support)

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strike with highest put OI

Call Wall

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— from spot

Put Wall

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— from spot

Gamma Neutral

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— from spot

Max Pain

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— from spot

Open Interest Distribution by Strike (±10% range)

Call OI

Put OI

Max Pain

Current Price

Strike	Call OI	Put OI	Net OI

Max Pain Interpretation

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Methodology

Max pain = the strike price at which aggregate dollar losses for all option buyers is maximised (i.e. aggregate dollar gains for option writers are maximised). Computed as arg min over all strikes K of: Σ callOI × max(0, K − K_i) + Σ putOI × max(0, K_i − K). Reference: Ni, Pearson & Poteshman (2005), Journal of Financial Economics 78(1).

Call wall = strike with maximum call open interest (dealer short-gamma → resistance). Put wall = strike with maximum put open interest (dealer long-gamma → support). Gamma neutral is a heuristic approximation of the GEX zero-crossing (gamma-exposure-weighted midpoint); not a traded level.

METHODOLOGY_HASH: —

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