| |
Pain Strikes™ show the
strike price
of each option month with the highest
open interest (most pain if prices move against the strike).
Pain Strikes™ for
in-the-money and out-of-the-money options (both
puts and calls) are provided. The corresponding open
interest is also shown.
In the example below, a tabular view of the
Option summary by option month for Ten Year T-Note calls (CZ) is
shown along with the Pain Strikes™ as of 1/4/2005. The Pain
Strike is 114 for out-of-the-money calls. It has 218,306
open interest for this strike. The lower table confirms the
open interest activity by strike price along with all the other
strikes traded that session and the associated open interest.
Also notice that standard greeks (delta, gamma, theta, etc.) are
included by strike for analysis purposes. |
|