XJO Options Report 16th June 25

What is the Expected Move?

The Expected Move, or Implied Move, is a calculation based on Implied Volatility and Options prices to determine the sentimement of the velocity of the change in asset value over a specific timeframe. In theory, the premium of 1 ATM call option and 1 ATM Put Option (1x ATM Straddle) will identify the expected range of an asset over a timeframe.

What is the Max Pain?

Max pain represents the point at which option sellers will experience the least amount of total maximum loss, while option buyers will experience the maximum loss or "max pain". Calculated by moneyness and open interest, it can showcase investor sentiment and derivatives risk levels on any given expiration date.

Max Pain Theory suggests the asset prices tend to lean towards the Max Pain level closest to expiry. As Market Makers are net sellers of options contracts, the assumption is that they will influence the price towards the most profitable level for expiry.