#Expiration & max pain
4 public posts on this topic.
Record
I put Friday's net call flow through one more filter — separating direction from expiration cleanup
Net call flow fell all day, yet the S&P 500 finished higher. A year of data suggests Friday's net call number carries expiration-driven selling that has little to do with direction.
Record
Max pain and the butterfly on expiration day — I close while price passes the center
On August expiration, max pain landed within 4 points of the close, and with my center 110 points below it that was exactly why the position went to zero. Three others aimed at the same expiration followed max pain instead, and that number was 218 points wrong. Seven positions, written down.
Record
AM settlement lands on a third number — the day I met SET
Not Thursday's close, not Friday's open. It is built from the opening print of all 500 components, and it can be a price the index never traded that day.
Theory
Max pain is a curve, not a number — and sources disagree
A single max pain figure hides two things: the shape of the curve, and how stale the open interest is.