苍海泛舟
方显英雄本色-- 股市投资探讨
A explanation about high call volume of SPX on Friday:
The high call volume of SPX on Friday is suspicious at this critial time. Because most of those calls are bought shortly after market open. ( > 41,000 calls out of 68,000) And it was too far off the money to make any money for a call contract which will expire in a week. So this is most likely insititution investors' action to hedge their heavy short position.
After checking SPY, I found the Max Pain of SPY is currently located at 1200. And second to it is 1250. This make a lot of sense. The SPX still has good chance to revisit 1200 next week.
Some of supporting points:
1. SPY has a raising wedge with declined volume in past three days which is bearish.
2. Used to be leading sector Tech sector is continuiously weakening. The lead stocks in tech sector AAPL, RIMM, GOOG are all under or near the critial support level.
3. The strongest sector in past 4 weeks RUT can not break above strong resistance around 760.
4. Retail and Home builder sectors are also at strong resistance level.
5. The last resort of Investment bank GS just closed below ascending long term trend line. This is significant. Because this is the first time for GS weekly closed below long term trend line. If GS ER or outlook is not good ( GS will report ER Tuesday before market open) that will cause another sell off in financials and push market lower.
6. VIX still remains high at 25. 66 The fear of market falling is not relieved at all.
7. SPX tested 7/15 low twice within a week. ( 9/5 1217 and 9/11 1211 ) This shows the strong market intension to test 1200 and to create a new low.
8. SPX can not break and stay above critical support level around 1263-1270 three days in a row and weekly closed below it.
9. Too many "Experts" called bottom and many has been expecting a big rally in the market.
10. LEH's uncertainty. If LEH has a deal on Monday, market could have a rally for short term, if not, big down wave is expected.
Combining all of above, I don't see a rosy picture of the market, just opposite of it. There is no reason to be optimistic at this juncture. Be aware the potential risks.
Don't be cautht without guard.
JMHO
Now the question is, how deep the market can plunge? Is today going to be a short-term bottom? Looks like there is strong support there.
Thank you for your explaination about how to caculate max pain. I still have some Sep's put of QQQQ, it's under the water, hopefully I can get out before OE.
Max-Pain calculation is pretty easy. You just add up all calls and puts for each strick price, the highest total number is Max-Pain-Point. You can check Yahoo/financials it has same number as CBOE. In this case SPY Sep. 120 puts: 274,797 and calls:19,983 total:294,780
SPY 129 puts:52,014 and calls: 68672, total: 120,686
which is way lower than SPY 120. So SPY 120 is Max-Pain
For any number on website, you need to verify it before trust. Otherwise, you may be misleaded.
In addition, the Max-Pain is a moving target, so it will be more reliable when it is close to expiration day.
Take care.
I GOT THE SAME THING(129) FROM THIS WEBSITE:
http://www.optionpain.com/MaxPain/Max-Pain.php
and where you got data. let's do the numbers: SPY
120: total 295K
121: 212K
125: 214K
129: 120K
130: 195K
which one is Max Pain?
太具有指导性了！