Justa - I failed to further analyze the QQQ's.
Sorry. Last I looked I had either 37 or 39 (more precicely absolute max at 40 based on huge number of calls at that strike).
I will check now.
I did look at IQUATO first, just to check the bars.
There is little difference between 36 and 39 and a 3 point range is not that useful. Yes they show 37 as the favorite.
Still not sure why they do not have it at 40. But I will concur that they are all close.
Let's look at this another way and see if the conclusions are any different.
At every single strike from 30 to 39, the puts outweigh the CALLs. Only at 40 do the calls outweigh the PUTS. That places the absolute max this can get to at 40, but again not very useful either. However, my eyeball really suggests that 40 is Max Pain. Is QQQ 40 possible?
Let's try a pivot around 37 and see what happens.
Let's further assume the "reasonable range" is 32-40.
At 37, the puts from 32 to 37 will expire worthless:
40K + 60K + 100K + 114K + 91K + 114K (519K)
At 37, the 38, 39, and 40 puts will finish in the $.
70K + 58K + 96K (224K) puts would close in the money vs a close at 40.
At 37, the Calls from 40, 39, 38, 37 will expire worthless)
129K + 52K + 57K + 99K (337K) calls expire worthless.
At 37, the calls at 32, 33, 34, 35, and 36 are in the money.
28K + 14K + 40K + 82K + 55K (219K) calls in the money.
So at 37 that puts 219K + 224K (443K) options in the money
So at 37 that puts 337K + 519K (856K) options bite the big one. Nearly a 2-1 ratio and something "da boys" can be quite proud of, especially since it kills the second biggest combined strike (as well as the single biggest position on either side).
However at 40, we would have an additional 70K + 58K+ 96K puts go up in smoke (224K).
However at 40 we would now have the calls at 37 38 and 39 all be worth something, 99K + 57K + 52K (208K).
That is a net gain to "da boys" if they could pull it off, but probably not worth the additional energy it would take to produce such a mammoth rally.
37 and 40 also are the two single biggest strikes in volume.
There is a tendency to gravitate towards the the bigger volume strikes. TECHNICALLY I still read pain at 40, but a careful analysis of the possibilities and the capital it would take to get to that target in this environment does not seem plausible. If Zeev is buying the index breakout, however, (if it happens), he might beg to differ.
With such wide differences between strikes of similar nature, one should pick the more reasonable candidate. That would be 37. This month the QQQ's are messier than usual and any price 37 or higher would have to be considered a success.
M |
