Option Chain Analyzer: Max Pain, PCR & OI

About the Option Chain Analyzer: Max Pain, PCR & OI

Load an option chain you exported — a CSV or Excel file, or a table pasted from your broker or exchange — and see what is in it: the max pain strike and its payout curve, the put-call ratio by open interest and by volume (in total and by strike), open interest and its change at every strike for calls and puts, the strikes with the most open interest, the IV smile and a skew figure, and the at-the-money straddle with the 1σ move it implies. Load a second snapshot of the same chain to see how open interest changed between the two.

The reader handles the layouts chains come in: calls on the left and puts on the right of the strike column, or one row per option with a call/put column; several expiries in one file; “-” placeholders; thousands separators and decimal commas; implied volatility in percent or as a fraction. A mapping panel shows what it found, and you can fix any column before anything is worked out. You type the price of the underlying and the days to expiry.

Everything here describes the open interest, volume and prices in the file you loaded. It labels no level and no direction and predicts nothing; the file is read in your browser and never uploaded.

Common uses

• See where the open interest of a chain is concentrated, and what the options would pay at each expiry price.
• Compare put-call ratios by open interest and by volume for one expiry.
• Check how open interest at each strike changed between this morning’s and this evening’s snapshot.
• Read the IV smile and the skew of a chain without a charting subscription.

The formulas

• Pain at an expiry price Sₖ = Σ call OIⱼ × max(Sₖ − Kⱼ, 0) + Σ put OIⱼ × max(Kⱼ − Sₖ, 0): what every option in the chain would pay its holders if the price settled at Sₖ, in price points × contracts (the contract multiplier is the same for all and cancels).
• Max pain is the listed strike with the lowest pain. Max pain is the expiry price at which the options in this chain would pay their holders least. It describes the open interest; it does not predict where the price will settle.
• Put-call ratio = Σ puts ÷ Σ calls, by open interest or by volume; Cboe’s daily put/call ratios divide put volume by call volume in the same way. A strike’s ratio is its put OI ÷ its call OI. Open interest is the number of contracts still open.
• Skew = the implied volatility at 95% of the price − the one at 105%, each read from the out-of-the-money side (puts below the price, calls above) and interpolated between strikes.
• The straddle’s 1σ move ≈ (at-the-money call + put) ÷ √(2/π), about ÷ 0.7979 (Brenner and Subrahmanyam); with the days to expiry it gives a volatility a year.

Reading the results

• Open interest counts contracts still open at the end of the day the file was saved; change in OI is what your file’s own column says, or the difference between your two snapshots.
• The put-call ratio compares how many puts and calls are open or traded. It describes positions in the file; both sides of every contract hold opposite views, so it says nothing certain about direction.
• The IV smile shows how implied volatility differs across strikes; the skew sums it up in one number.

What it leaves out

Anything not in your file: other expiries (unless you load them one at a time), prices after the file was saved, and the trades behind the open interest — who bought and who sold. Max pain is worked out at the listed strikes only, so uneven strike steps can move it. The straddle shortcut is accurate near the money.

Limitations

• One expiry at a time: a file with several expiries is read one expiry at a time.
• You type the price of the underlying; the file’s own value is not read.
• Export formats are read through the mapping panel: no broker’s layout is assumed.
• It describes the file you load and uses no market data: it says nothing about where any price is going.

Privacy

Everything happens in your browser. What you enter or open here is not uploaded or stored by MySmartCoPilot.