Max pain is the strike price at which the total value of all open options would be lowest at expiry — the point where option buyers, in aggregate, would lose the most and option writers would pay out the least.
How it is calculated
For each possible expiry price (each strike), add up what every open call and put would be worth if the index settled there:
- each call is worth (settlement − strike) × call OI, if positive
- each put is worth (strike − settlement) × put OI, if positive
The strike where that total is smallest is max pain.
The theory, and the reality
The idea is that, near expiry, price is "pulled" toward max pain as large option writers hedge. In practice:
- price often ends away from max pain, especially on trending days or after news;
- max pain moves as OI changes through the day;
- it is a description of where open positions sit, not a target.
Many traders use it as one reference level alongside OI walls and volatility, rather than as a prediction.
The NEOGreeks terminal shows max pain for the selected expiry and whether price is above or below it, and records when price crosses it during the session.