Max Pain price is the strike price at which the total payoff of all options (calls and puts) written on a particular stock, and with the same expiration date, is the lowest. We construct a measure of (potential) Max Pain gain/loss, sort stock prices according to this measure, and find that a...

The literature has demonstrated that historically stocks with skewness-like characteristics -- lotteryness-- have been the target of a type of investors willing to pay a premium to achieve exposure to skewness. We show that, nevertheless, it is mostly stocks without options the ones that have...