This post contains spoilers from Stranger Things 5 volume 2 from this point forward.
After the first volume of the final season completely blew our minds with the shocking reveal about Will, Stranger Things 5 volume 2 was beyond primed to keep the unbelievable revelations coming a mile a minute. That's exactly what happened as the second batch of episodes provided new details about Vecna's evil plan and found Max and Holly plotting their escape from Camazots.
Since being taken by Vecna back in season 4, Max has been trapped in what Holly had dubbed Camazots, inspired by her favorite book A Wrinkle in Time. She's been there for a long time while her body remained in a coma back in Hawkins. She's been trapped there long enough that she was losing hope about finding a way out, though she still believed there was a way.
As we first saw in season 4, Max ran through an eerie red landscape with water and an unmistakably haunting vibe. There have been understandable questions about exactly what this "red lair" is in Stranger Things and where it's located. Thankfully, Stranger Things 5 volume 2 offers further explanations about what this realm is and where Max and Holly have been trapped.

Max and Holly are trapped in Vecna's mind in Stranger Things 5
As explained and revealed throughout Stranger Things 5, Max and Holly have been taken into an alternate dimension that exists in Vecna's mind. It's slightly confusing that they can both be in the same place since their bodies are in different locations. Max's body remains unconscious in Hawkins, while Vecna has taken Holly and the other children into the Abyss.
The red lair that Max and Holly run through in season 5 episode 6, "Escape from Camazots," appears to be a lobby of sorts into the actual parts of Vecna's mind. By venturing out of the cave where Max has found safety from Henry, Max and Holly are able to go follow various memories that eventually take them back to the red lair, the space where they can see and run toward the portals that return them to their bodies and wake up their minds.
Max and Holly venture through memories, including the one where Holly was taken by the demogorgon. While watching the scene play out in her house, she blames herself for her parents getting injured because she just stood there. Max assures her that there's nothing she could have done. But living that memory again provides more insight into where they are.
The pair try to find their way out after Holly's theory that they could possibly escape through one of Henry's memories. When they leave the cave and roam the desert, they search for a possible "secret passage" though one of Henry's traumatic memories. Holly discovers that the shape on the cap of her looking glass matches the opening of the cave. That's where they find a tunnel to a mine shaft. Inside, they find a man with a briefcase. He shoots a young Henry, and Henry kills him with a rock.
Max and Holly dig through a stack of rocks in the back of the mine shaft tunnel and find their way out into the red lair. "Running Up That Hill" once again opens up a portal for Max to escape, but Holly needs her own portal. She can't escape through Max's. Combined with Max's pep talk and Holly believing in herself as Holly the Heroic opens up a portal for her the red lobby to Vecna's mind prison.
Hopefully, no one else will be banished to Henry's mind and have to fight through the horrifying red lair again once the team destroys Vecna's plan to merge worlds. But we'll have to see what happens for the rest of the children that Henry has trapped in his mind. Make sure you have a song picked out just in case you ever find yourself running through a red hellscape.
