On Maximum Pain Theory of Options——Based on Data of SSE 50ETF Options
Based on the data of SSE 50ETF and SSE 50ETF options,the Maximum Pain Theory is used to verify the price prediction of term options,and the relationship between the implied volatility of options and the maximum painful point is discussed.The empirical study show that when the option is close to the maturity date,the price of the option is always close to the maximum painful point,and the implied volatility of the option is the minimum at the maximum painful point.This paper also proves that the maximum painful point of options can significantly produce the"anchoring effect"to the underlying stock price.In addition,the possible reasons for the maximum painful points of options is analyzed,and application of the maximum pain theory to the option trading is discussed.
maximum pain theory"anchoring effect"implied volatilityShanghai Stock Exchange 50ETF Options
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