KOSPI200 Max Pain

This screen aggregates remaining contracts in the nearest monthly standard KOSPI200 index options to calculate the index expiration price that minimizes total losses for option sellers. That price is Max Pain. The summary at the top displays the expiration date, Max Pain, KOSPI200 closing price, and the gap between them. Below, it presents total loss bars by strike price, call and put open interest distribution, and daily Max Pain trends for the current expiration. The bottom section shows gamma, delta, vanna, and theta exposures calculated by assuming market maker positions.

In options markets, unsettled remaining contracts are called open interest, tracked separately for calls and puts at each strike price. Assuming a settlement price at expiration equals a specific strike price, option sellers pay out the amount by which the settlement price is above the strike price for calls, or below the strike price for puts. Multiplying this payout by open interest and summing it across all strike prices yields total losses at that settlement price. Max Pain is the strike price with the lowest total loss. Amounts displayed on screen multiply contract counts by 250,000 KRW, the contract multiplier for KOSPI200 options. Candidate prices are restricted to actual traded strike prices.

The summary gap shows how far the current closing price is from Max Pain. In the total loss bars by strike price, the lowest bar indicates Max Pain. By default, it shows a range of plus or minus 10 percent around at-the-money, which can be switched to the full range. The open interest distribution plots calls on top and puts on the bottom, aggregated in 25-point increments to highlight contract concentration at a glance. Strike prices with heavy open interest are often cited as price levels where index movement stalls near expiration, though prices do not always behave this way. The trend chart shows how Max Pain changes daily within the same expiration cycle, resetting when expiration shifts.

All four metrics are secondary indicators calculated by multiplying open interest at each strike price by sensitivities from the Black-Scholes model and summing the results. Determining direction requires assuming option dealers have sold calls and bought puts, which is a common industry assumption rather than a verified fact.

• Gamma: Indicates whether dealer hedging reduces or amplifies volatility as prices move. Positive values indicate dampening, while negative values indicate amplifying.
• Delta: Indicates whether dealer positions lean toward index gains or declines. This screen displays positive values when call open interest is higher and negative values when put open interest is higher.
• Vanna: Indicates the direction hedge demand shifts when implied volatility changes.
• Theta: Indicates whether dealers gain or lose time value as time passes with price and volatility held constant, converted to a daily basis.

Implied volatility by strike price uses the average of calls and puts, excluding strike prices without implied volatility from calculation. The risk-free interest rate is an approximation fixed at 3 percent per year, while remaining time to maturity divides remaining calendar days by 365.

Single-stock options are excluded because low trading volume can easily concentrate positions in specific contracts, focusing exclusively on KOSPI200 index options. Night sessions are omitted because open interest is counted twice alongside regular sessions. Weekly options expiring every week are also excluded, tracking only the nearest monthly standard contract. Standard monthly option expiration occurs on the second Thursday of the month. On the second Thursday of March, June, September, and December, single-stock futures and options expirations coincide, commonly referred to as quadruple witching day.

Open interest and implied volatility by strike price are retrieved from daily option trading data via the KRX Open API. This daily data is finalized after market close. Automatic updates run twice a day, around 3:35 PM KST and around 9:32 AM KST the next morning, recalculating values based on the most recent trading day. The date at the top of the screen represents the base date, and an indicator appears if data is outdated.

Max Pain is calculated using only current remaining contracts, with no guarantee that the index will converge on that price at expiration. Open interest merely represents total call and put contracts, without showing who holds which position. Because the four exposures are estimated based on dealer position assumptions, they may differ from actual positions, and using a fixed risk-free rate also introduces errors. Values can change significantly as expiration approaches, and trends reset when expiration moves to a new cycle. This screen summarizes the current structure of the options market, does not indicate future index movement, and is not investment advice.