Study of Max Pain Hits & Misses
By augieboo
This is a little study I have undertaken of the successes and/or failures of
options expiration “Max Pain” from December of 2000 through July of 2002.
The information is presented in tabular form. Below the table, I have included
some comments on my study by the number one Max Pain expert I know of,
Mishedlo. In addition, I have included some links to information about Max
Pain, in case you are not familiar with the concept.
Methodology:
1. I downloaded the QQQ High & Low data from Yahoo Finance.
2. I determined Max Pain for each month by checking the Max Pain archive
at BCA Software, -- http://www.ez-pnf.com -- which gives data only for the
closing day of expiration. I called a “Hit” if QQQ printed that price at any time
during expiry week – whether on an intraday or closing basis. I called a “Miss”
if QQQ remained either above or below Max Pain during the entire week.
3. Color Coding. I used the following color scheme:
-- If Max Pain was hit during the week, then the Max Pain Target is highlighted
with green. For weeks when Max Pain was hit, I highlighted, in green, both the
high and low price on each day which bracketed the Max Pain target.
-- If QQQ missed Max Pain High, i.e., the price of QQQ remained above Max
Pain throughout the entire week, I highlighted the Max Pain target with yellow.
-- If QQQ missed Max Pain Low, i.e., the price of QQQ remained below Max
Pain throughout the entire week, I highlighted the Max Pain target with pale blue.
Total Months in Study: 22
Breakdown
Hits: 13
Misses: 9
====================
Break Down of Hits:
By # of Days Hit:
5 days hit 0
4 days hit 2
3 days hit 4
2 days hit 3
1 day hit 4
By Day of Week Hit:
Mondays 8
Tuesdays 8
Wednesdays 7
Thursdays 5
Fridays 2
Break Down of Misses:
High 4
Low 5
Day |
Date |
High |
Low |
Max Pain Target |
|
|
|
|
|
Fri |
18-Oct-2002 |
23.85 |
22.93 |
22.00 |
Thu |
17-Oct-2002 |
23.81 |
22.58 |
|
Wed |
16-Oct-2002 |
23.16 |
22.07 |
|
Tue |
15-Oct-2002 |
23.63 |
23.18 |
|
Mon |
14-Oct-2002 |
22.50 |
21.78 |
|
|
|
|
|
|
Fri |
20-Sept-2002 |
21.90 |
21.48 |
24.00 |
Thu |
19-Sept-2002 |
22.13 |
21.55 |
|
Wed |
18-Sept-2002 |
22.55 |
21.78 |
|
Tue |
17-Sept-2002 |
23.21 |
22.18 |
|
Mon |
16-Sept-2002 |
23.05 |
22.37 |
|
|
|
|
|
|
Fri |
16-Aug-2002 |
25.0000 |
23.7310 |
23.00 |
Thu |
15-Aug-2002 |
24.5500 |
23.7200 |
|
Wed |
14-Aug-2002 |
24.2000 |
22.4700 |
|
Tue |
13-Aug-2002 |
23.8700 |
22.5500 |
|
Mon |
12-Aug-2002 |
23.4800 |
22.9000 |
|
|
|
|
|
|
Fri |
19-Jul-2002 |
24.7100 |
23.8000 |
25.00 |
Thu |
18-Jul-2002 |
25.5700 |
24.5200 |
|
Wed |
17-Jul-2002 |
26.4400 |
24.8900 |
|
Tue |
16-Jul-2002 |
26.0270 |
24.9000 |
|
Mon |
15-Jul-2002 |
25.6400 |
23.7500 |
|
|
|
|
|
|
Fri |
21-Jun-2002 |
26.7800 |
25.6500 |
30.00 |
Thu |
20-Jun-2002 |
27.4500 |
25.6700 |
|
Wed |
19-Jun-2002 |
28.3239 |
27.2500 |
|
Tue |
18-Jun-2002 |
29.1500 |
28.2800 |
|
Mon |
17-Jun-2002 |
28.7500 |
27.9100 |
|
|
|
|
|
|
Fri |
17-May-2002 |
33.4110 |
32.4700 |
32.00 |
Thu |
16-May-2002 |
33.0500 |
32.2200 |
|
Wed |
15-May-2002 |
33.6300 |
31.8500 |
|
Tue |
14-May-2002 |
32.6500 |
31.8700 |
|
Mon |
13-May-2002 |
30.9800 |
29.6750 |
|
|
|
|
|
|
Fri |
19-Apr-2002 |
35.0600 |
34.3800 |
35.00 |
Thu |
18-Apr-2002 |
35.1500 |
34.0000 |
|
Wed |
17-Apr-2002 |
35.5000 |
34.4500 |
|
Tue |
16-Apr-2002 |
35.2200 |
34.4170 |
|
Mon |
15-Apr-2002 |
33.9600 |
33.2000 |
|
|
|
|
|
|
Fri |
15-Mar-2002 |
37.3300 |
36.5960 |
37.00 |
Thu |
14-Mar-2002 |
37.4000 |
36.7200 |
|
Wed |
13-Mar-2002 |
37.6600 |
36.0000 |
|
Tue |
12-Mar-2002 |
38.0000 |
37.3200 |
|
Mon |
11-Mar-2002 |
39.1900 |
38.0600 |
|
|
|
|
|
|
Fri |
15-Feb-2002 |
36.9100 |
35.6400 |
38.00 |
Thu |
14-Feb-2002 |
37.5700 |
36.0000 |
|
Wed |
13-Feb-2002 |
37.1500 |
36.6100 |
|
Tue |
12-Feb-2002 |
36.9800 |
36.0400 |
|
Mon |
11-Feb-2002 |
36.8100 |
35.2500 |
|
|
|
|
|
|
Fri |
18-Jan-2002 |
39.4500 |
38.2200 |
40.00 |
Thu |
17-Jan-2002 |
39.9770 |
39.0100 |
|
Wed |
16-Jan-2002 |
39.9400 |
38.7700 |
|
Tue |
15-Jan-2002 |
40.7500 |
39.5600 |
|
Mon |
14-Jan-2002 |
40.6800 |
39.7000 |
|
|
|
|
|
|
Fri |
21-Dec-2001 |
39.7100 |
39.1500 |
39.00 |
Thu |
20-Dec-2001 |
40.3000 |
38.6800 |
|
Wed |
19-Dec-2001 |
41.3200 |
40.3200 |
|
Tue |
18-Dec-2001 |
41.5000 |
40.1600 |
|
Mon |
17-Dec-2001 |
41.2400 |
40.0200 |
|
|
|
|
|
|
Fri |
16-Nov-2001 |
39.6800 |
38.9200 |
35.00 |
Thu |
15-Nov-2001 |
40.1100 |
38.9500 |
|
Wed |
14-Nov-2001 |
40.2400 |
38.7400 |
|
Tue |
13-Nov-2001 |
39.5000 |
38.6300 |
|
Mon |
12-Nov-2001 |
38.3500 |
36.3000 |
|
|
|
|
|
|
Fri |
19-Oct-2001 |
33.7500 |
32.0000 |
31.00 |
Thu |
18-Oct-2001 |
33.5400 |
32.4000 |
|
Wed |
17-Oct-2001 |
36.0000 |
32.3000 |
|
Tue |
16-Oct-2001 |
35.1000 |
34.0700 |
|
Mon |
15-Oct-2001 |
34.5500 |
33.6600 |
|
|
|
|
|
|
Fri |
21-Sep-2001 |
28.9700 |
27.2000 |
35.00 |
Thu |
20-Sep-2001 |
30.0900 |
28.8000 |
|
Wed |
19-Sep-2001 |
31.0000 |
28.2600 |
|
Tue |
18-Sep-2001 |
32.5000 |
30.3700 |
|
Mon |
17-Sep-2001 |
32.8000 |
31.0900 |
|
|
|
|
|
|
Fri |
17-Aug-2001 |
38.8000 |
37.7100 |
43.00 |
Thu |
16-Aug-2001 |
39.5900 |
38.0410 |
|
Wed |
15-Aug-2001 |
40.9300 |
39.0700 |
|
Tue |
14-Aug-2001 |
41.7000 |
40.5400 |
|
Mon |
13-Aug-2001 |
41.3400 |
40.2000 |
|
|
|
|
|
|
Fri |
15-Jun-2001 |
43.1000 |
41.2810 |
46.00 |
Thu |
14-Jun-2001 |
44.4000 |
42.0000 |
|
Wed |
13-Jun-2001 |
46.7500 |
44.5200 |
|
Tue |
12-Jun-2001 |
46.8000 |
44.2300 |
|
Mon |
11-Jun-2001 |
47.0000 |
45.4900 |
|
|
|
|
|
|
Fri |
18-May-2001 |
48.3800 |
47.0900 |
45.00 |
Thu |
17-May-2001 |
48.7900 |
47.2600 |
|
Wed |
16-May-2001 |
47.5200 |
44.0600 |
|
Tue |
15-May-2001 |
46.3000 |
44.5800 |
|
Mon |
14-May-2001 |
45.3600 |
44.1100 |
|
|
|
|
|
|
Fri |
20-Apr-2001 |
49.4400 |
43.0500 |
41.00 |
Thu |
19-Apr-2001 |
48.7500 |
45.5800 |
|
Wed |
18-Apr-2001 |
51.0000 |
43.2000 |
|
Tue |
17-Apr-2001 |
42.7000 |
39.9000 |
|
Mon |
16-Apr-2001 |
42.4300 |
40.0600 |
|
|
|
|
|
|
Fri |
16-Mar-2001 |
42.7969 |
40.5469 |
46.00 |
Thu |
15-Mar-2001 |
45.2969 |
42.0469 |
|
Wed |
14-Mar-2001 |
45.1875 |
42.2969 |
|
Tue |
13-Mar-2001 |
44.7344 |
42.1250 |
|
Mon |
12-Mar-2001 |
44.9375 |
41.7969 |
|
|
|
|
|
|
Fri |
16-Feb-2001 |
56.8594 |
54.5156 |
60.00 |
Thu |
15-Feb-2001 |
60.4844 |
58.2969 |
|
Wed |
14-Feb-2001 |
57.7500 |
54.1094 |
|
Tue |
13-Feb-2001 |
59.1719 |
54.9688 |
|
Mon |
12-Feb-2001 |
57.9375 |
55.6094 |
|
|
|
|
|
|
Fri |
19-Jan-2001 |
68.3125 |
65.5625 |
61.00 |
Thu |
18-Jan-2001 |
66.7500 |
62.6875 |
|
Wed |
17-Jan-2001 |
65.6094 |
63.1250 |
|
Tue |
16-Jan-2001 |
62.9219 |
60.5625 |
|
|
|
|
|
|
Fri |
15-Dec-2000 |
65.6250 |
62.5625 |
70.00 |
Thu |
14-Dec-2000 |
69.6875 |
65.2500 |
|
Wed |
13-Dec-2000 |
73.5000 |
68.3125 |
|
Tue |
12-Dec-2000 |
73.8750 |
71.3125 |
|
Mon |
11-Dec-2000 |
74.7813 |
70.9531 |
|
Mishedlo’s comments on my study:
You should … note that 4 of the months that missed were
in the panic fall and the huge
snapback rally that followed.
Take that anomaly out and the record is even better.
Those were the biggest % misses as well.
Looking back even June came close intraweek.
It took horrid news from INTC to sink it.
FEB missed as well (a historically bad month).
All in all this matches what I would have thought.
Note that Max pain could have hit during Feb but by the close
the target number could have changed!
2-1 is not a bad ratio and if you throw out the sheer panic and
snapback it is closer to 12-3
(12-2 if you give me FEB).
Mish Explains Max Pain
http://www.investorshub.com/boards/read_msg.asp?message_id=407468
More Mish On Max Pain
http://www.investorshub.com/boards/read_msg.asp?message_id=414856
Mish On P/C Ratio And How It Relates And/Or Compares To Max Pain Analysis
http://www.investorshub.com/boards/read_msg.asp?message_id=411031
