Posted by hillsyde on 20th of Dec 2009 at 09:04 am
Here is a link to an older study that makes the case for MaxPain
option price "pinning" on Options Expiration day relating only to a
group of "suspect manipulated stocks". What I think is a telling,
is when the S&P 500 stock index options "pin" on OE day......
what does that suggest to you?.......
Ok, then non-pinned are stocks those exempt from manipulation (I
initially assumed the opposite). Take two mining stocks then, IAG
and GDX. The former was pinned on Friday to 15, yet its January max
pain comes at 17.5. There is no difference for GDX, both show 46 or
47 as the max pain prices.
Two inferences from this are:
1. Widely traded stocks are more prone to manipulation (the
intuition suggested me the opposite, yet GOOG, SPY are fine
examples). IYR and CSIQ then are not.
2. IAG could close at 17.5 on January's OE day, that's a 12%
gain from its close on Friday. Easy money, huh?
Punching a few stocks tickers, I found one egregious exception
to that maximum pain rule. Ticker: CSIQ, for December 2009 option
expiration the max pain is at 20 and it closed at 26.86, at its
extreme. I have long noticed that its price is irrational, and this
is a proof of its price manipulation.
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More MaxPain
Posted by hillsyde on 19th of Dec 2009 at 05:41 am
Yup, amazing how that works out. With GDX there were more calls at 47 so it closed at 46.29........ This site works pretty good for MaxPain...
Price "pinning" on OE day
Posted by hillsyde on 20th of Dec 2009 at 09:04 am
Here is a link to an older study that makes the case for MaxPain option price "pinning" on Options Expiration day relating only to a group of "suspect manipulated stocks". What I think is a telling, is when the S&P 500 stock index options "pin" on OE day...... what does that suggest to you?.......
http://www.fma.org/Orlando/Papers/MaxP.pdf
Ok, then non-pinned are stocks
Posted by junkie on 20th of Dec 2009 at 12:16 pm
Ok, then non-pinned are stocks those exempt from manipulation (I initially assumed the opposite). Take two mining stocks then, IAG and GDX. The former was pinned on Friday to 15, yet its January max pain comes at 17.5. There is no difference for GDX, both show 46 or 47 as the max pain prices.
Two inferences from this are:
1. Widely traded stocks are more prone to manipulation (the intuition suggested me the opposite, yet GOOG, SPY are fine examples). IYR and CSIQ then are not.
2. IAG could close at 17.5 on January's OE day, that's a 12% gain from its close on Friday. Easy money, huh?
Opps - for got the site
Posted by hillsyde on 19th of Dec 2009 at 05:42 am
here it is....
http://www.optionpain.com/OptionPain/Option-Pain.php
one recommendation is to monitor
Posted by vnathwani on 19th of Dec 2009 at 06:32 pm
one recommendation is to monitor how max pain works over the coming 6+ months. (i say 6 just so you have some history of performance)
A few months ago, I think it was 30 or so S&P Points on the wrong side by options expiry v where max pain was
This may be offset by good months such as this month but thought i would throw it out there as a possible issue over a given # of months testing
Punching a few stocks tickers,
Posted by junkie on 19th of Dec 2009 at 10:32 am
Punching a few stocks tickers, I found one egregious exception to that maximum pain rule. Ticker: CSIQ, for December 2009 option expiration the max pain is at 20 and it closed at 26.86, at its extreme. I have long noticed that its price is irrational, and this is a proof of its price manipulation.