Sep 28, 2018

Max Pain - Two For Two

Ten days ago I wrote a post about max pain theory, and wrote down two ranges - first for immediate "weekly" expiration on Sep 21, and for the following expiration, Sep 28.
These ranges - 6500-6750 and 6500-7000 appear reasonable given recent market movement, but I would not read too much into them. We'll wait and see what the market actually does.  
Well, the results are in - when I made the prediction, on Sep 18th, the index was trading at around 6250 level, with both forecasts pointing (about 0.8 std) higher. Sep 21 futures settled at 6618.85, very close to middle of the forecast of 6625; Sep 28 futures settled at 6764.52, again very close to middle of the forecast of 6725.

I am intrigued with the results, and will keep monitoring the open interest on Deribit options.

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