Etiqueta: stock price clustering
No Max Pain, No Max Gain: Stock Return Predictability at Options Expiration.
with Ilias Filippou and Fernando Zapatero. Abstract. Max Pain price is the strike price at which the total payoff of all options (calls and puts) written on a particular stock, and with the same expiration date, is the lowest. We construct a measure of (potential) Max Pain gain/loss, sort stocks according to this measure, and find…