PARTIAL · weak, BTC/ETH
Hypothesis
Near large monthly option expiries, spot gravitates toward the "max-pain" strike (where most options expire worthless), tradeable in the final hours.
Math
$$ \text{max-pain} = \arg\min_{K}\ \sum_{\text{calls}}\text{OI}\cdot(S-K)^+ + \sum_{\text{puts}}\text{OI}\cdot(K-S)^+ $$
Method
Deribit BTC/ETH monthly expiries, measure spot drift toward max-pain in the final 24–48h vs control days.
Results
| Weak pull toward max-pain | detectable on big expiries |
| Magnitude | small, noisy |
| Only BTC/ETH, monthly | low frequency |
A weak, real-ish pull on the largest BTC/ETH monthly expiries, but small, noisy, and rare (12 events/yr × 2 names). Filed as discretionary expiry-day context, not a system — far too few events to validate.
Max-pain pinning is real where dealer gamma is large and concentrated. In crypto that is two names, twelve times a year — context, not a strategy.