Expected Move and Max Pain

How the expected move is calculated

The basis is the at-the-money straddle: a call and a put at the same strike near the current price, with the same expiry. Together they cost roughly what the market expects the stock to move, on average, by expiration. We take the midpoint of bid and ask for both options and interpolate between the strikes either side of the price, so no intrinsic value slips into the figure.

The straddle price corresponds to about 0.8 standard deviations, so a full one-standard-deviation range would be about a quarter wider. We stick with the straddle figure because it can be read straight off the market and because that is how traders almost always quote the expected move.

When quotes are too wide or one-sided, at weekends or before the open for instance, we fall back to the implied volatility of the at-the-money options and convert it to the same straddle basis. The table then shows "IV" as the method. If nothing plausible can be derived from that either, we show no value rather than a wrong one.

Max pain and its limits

Max pain is the strike at which the options of one expiry would together carry the least intrinsic value, where option buyers as a whole would collect the least. It is computed from open interest per strike and nothing else.

That defines what max pain cannot do. Open interest does not say who bought and who sold, or whether a position is hedged. It is calculated once a day after the close, so during the session the figure is always yesterday's. And the idea that prices get "pulled" to max pain into expiry is an observation with plenty of counterexamples, not a mechanism anyone can rely on. We show max pain because people look for it; it is not a price target.

Below 1,000 open contracts in an expiry we show neither max pain nor the put/call ratio: a handful of positions would decide the result.

Put/call ratio

The put/call ratio divides open puts by open calls across the expiries shown. A high value does not automatically mean the market is about to fall: on index ETFs such as SPY many puts are hedges on large stock portfolios, so the ratio there sits above 1 almost all the time. Comparing a name with its own usual level says more than any fixed threshold.

Data and refresh

The figures come from publicly available, delayed quotes from the US options exchanges and are recalculated at most once an hour; the timestamp on each page says when. We show derived figures only, not option chains. None of this is a recommendation: options price probabilities, not certainties, and actual moves regularly land outside the range.