Option levels — Max Pain, walls, the expected-move corridor — are not invented: they are recalculated every day from the official CME data on options on futures. This article answers three questions: what exactly is in that data, how levels are calculated from it, and how to read them without doing the math by hand.
What the exchange publishes every day
After each trading day the exchange publishes data for every instrument. For options on a future this is a table of rows: series (expiration date), strike, type (call or put) and a few numbers:
- Open interest — how many contracts remain open at the end of the day at that strike;
- volume — how many contracts traded during the day;
- settlement price (premium) — used by the exchange to calculate variation margin;
- daily change — how open interest and price moved.
For the future itself the exchange publishes the settlement price, volume and open interest. One instrument has many series: weekly, monthly and quarterly, and for indices daily ones too. That means hundreds or thousands of rows per market each day — impractical to read by hand, and exactly that volume is turned into a few clear lines on a chart.
How rows become levels
Walls
For each series, the strikes with the largest open interest are taken separately for calls and puts. These are the walls: places where market participants hold the most positions. The larger the open interest relative to neighboring strikes, the more visible the wall.
Max Pain
For each strike, the total payout to option holders across the whole series is calculated as if price expired exactly there. The strike with the smallest total is Max Pain. It marks the center of the series' positioning; it does not promise where price will close.
Put/call ratio (PCR)
Put open interest divided by call open interest. The number depends on the series' makeup, so it is compared with the instrument's own history and its change over days — see the separate article on PCR.
Expected move
From option prices near the current price (at the money) the implied volatility is derived — the size of move the market is pricing in before expiration. It gives ±1σ and ±2σ corridors around price. This is an estimate of range, not of direction.
Inflows and outflows
Comparing today's open interest with yesterday's at each strike shows where positions were added and where they shrank. More in the article on inflows and outflows.
Gamma profile
From open interest and implied volatility, a model estimates how participants' gamma would change as price moves; the Gamma-Flip level marks where the total gamma changes sign. It is a model estimate: open interest does not tell buyer from seller.
When it updates
The exchange publishes data after the trading day ends and the recalculation takes time, so the levels on the chart are the result of the previous day, not a picture of the current minute. By the morning of a new day the indicator already holds a fresh recalculation; during the day the levels stay put and only price moves. For a picture as it trades there is a separate Live layer.
Example: S&P 500, results of October 29, 2026
E-mini S&P 500 futures (ES) settled at 7,754.25. The monthly series expiring October 30 held 195,348 open calls and 597,235 puts (PCR 3.06). From those rows: Max Pain 7,750, expected move ±1σ of 7,707.5 to 7,801, the largest call wall at 8,000 (11,456 contracts) and the largest put strike in the near zone at 7,500 (22,526). The most visible daily change was in the 7,650 puts: +5,872 contracts. Current values by market are in the Analytics section, for example the S&P 500 and gold.
What the OLIMP indicator shows
The OLIMP indicator loads this daily data and draws Max Pain, walls, the expected move and inflows right on the MetaTrader 5 chart. The general way to read the lines is in Option levels: what they are and how to read them.
What this data does not show
- Who is buyer and who is seller. The same put can be portfolio protection, part of a spread or a stand-alone position.
- Intraday positions. Open interest is counted at the end of the trading day.
- Intentions. The data describes where positions sit, not what will be done with them.
Questions and answers
Where do the levels come from?
From the official daily CME data on options on futures: open interest, volume and settlement prices for every strike and series.
Why do levels not change during the day?
They are calculated from the results of the trading day. Price moves during the day; the position of walls and Max Pain changes after the next recalculation.
Can I calculate Max Pain myself?
Yes: for each strike, add up the payouts on all calls and puts of the series and find the minimum. The indicator does it automatically for all series at once.
Why are there so many series?
Each has its own expiration date — weekly, monthly, quarterly. Levels differ between series, and that is normal: the series answer for different horizons.
This article describes open positions based on exchange data and is not investment advice.