Zero-Day Max Pain Pin
SPY trades at 754.86 on the 2026-11-03 expiry which places it 1.14 points or 0.15 percent below the 756.00 max pain strike because that level records the highest combined option market value of 43397878 across strikes from 550 to 950.
The 0.15 percent gap means hedging flows concentrate around 756.00 into settlement because any material move away from the peak value strike would increase aggregate payouts for the options surface.
Expiry Surface Comparison
The next listed expiry on 2026-11-04 shows max pain at 762.00 which sits 7.14 points or 0.95 percent above spot because the surface resets after today’s 0-day series expires and creates a secondary magnet 6 points higher than the current pin.
Strikes such as 765.00 repeat across the following ten expiries which means those levels sit between 10.14 and 14.14 points above current price and would require a 1.34 to 1.87 percent advance before they become the dominant reference.
| Strike | Distance | Implication |
|---|---|---|
| 756.00 | 1.14 points / 0.15 percent | Peak option market value pins price near level because aggregate payouts reach their lowest combined point here |
| 762.00 | 7.14 points / 0.95 percent | Next session magnet which means any close above 756.00 opens room for follow through toward the higher strike |
Greeks Data Availability
The Greeks data slice is empty so no gamma exposure or delta figures are available which leaves positioning analysis reliant solely on the max pain strike and its 43397878 peak value.
Change From Prior Session
Yesterday’s 02 Nov 2026 zero-day max pain sat at 758.00 versus spot 753.01 which means the pin has shifted 2 points lower overnight while the gap to spot narrowed from 4.99 points to 1.14 points because the surface rolled into the new front expiry.
Scenario Triggers and Weights
Pin holds at 756.00 carries 55 weight because the 0.15 percent distance and peak option market value of 43397878 force hedging to defend that strike into close. Upside break above 756.00 carries 25 weight because the next expiry magnet at 762.00 would then pull price 6 points higher on the subsequent session. Downside move below 754.00 carries 20 weight because the surface lacks secondary support until the 745.00 level on the December expiry which sits 9.86 points lower.
Risk and Experience Watchpoints
Risk stands at 30 percent because the empty Greeks slice removes visibility into delta and gamma flows that normally confirm the pin strength.
| Level | Focus from Tape |
|---|---|
| Beginner | Track how the 1.14 point gap to max pain narrows or widens into settlement because that distance signals whether the 43397878 value peak continues to dominate. |
| Intermediate | Compare the 756.00 strike against the 762.00 next-expiry level because a close above 756.00 shifts the surface reference and changes the 0.95 percent distance metric. |
| Advanced | Monitor the full 550 to 950 strike range for any migration of the 43397878 peak value because a shift would alter the cause-and-effect link between option market value and price pinning. |
Price sits 1.14 below max pain of 756.00 on expiry day which pins action near that strike.
This is analysis, not financial advice. Always manage your risk.
