The Pinning Effect

Near expiration, market makers hedging their options books tend to buy dips and sell rallies around the strikes with the most open interest. That hedging can "pin" the index near a particular strike into the close. This dashboard estimates where that pin is most likely to be, refreshing every 5 minutes from the options chain.

Max Pain

For every candidate settlement price K, the engine adds up what all open calls and puts would pay out: Σ call_OI × max(0, K − strike) + put_OI × max(0, strike − K). Max Pain is the K with the smallest total payout, meaning the price where the most option value expires worthless. Only strikes within spot ± max(4 × ATM straddle, 5%) are searched, so deep out-of-the-money positions can't pull it to levels price can't reach.

PIN

The predicted settlement price. It starts from max pain, and max pain's weight rises smoothly through the day: 0.55 + 0.37 × time_fraction, so 55% at the open → 92% at the close. The call wall only counts if it's within 2.5% of spot (tightening to 0.8% by the close). Finally, PIN is capped so it's never farther from spot than the remaining expected move allows.

Call Wall / Put Wall / PCR

Call Wall is the strike with the highest call OI, which tends to act as resistance. Put Wall is the strike with the highest put OI, which tends to act as support. PCR is total put OI ÷ total call OI: above 1 leans defensive, and near 1 is balanced.

Zero Gamma / Major +Vol / Major −Vol

Zero Gamma is the price where total dealer gamma flips from positive to negative. Above it, moves tend to be dampened and pin-friendly. Below it, moves tend to accelerate. Major +Vol and Major −Vol are the strikes with the largest call and put gamma from today's traded volume. Unlike open interest, these update intraday and show where today's flow is building magnets.

Confidence

Conf is a 0–100% score: proximity (how close max pain is to spot) + a time bonus of up to +15 near the close + a data-quality adjustment (GOOD 0, PARTIAL −5, POOR −15). The tightest setups happen when PIN, Max Pain, Zero Gamma and both volume levels all fall within a few strikes of each other.

Full formulas, a worked max pain example, and a step-by-step breakdown of a live SPX card: