ATS Options History — December 2023 In December 2023, ATS traded between $38.84 and $44.02. ATM implied volatility averaged 43.7%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 10.1% (HV 20d: 33.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.73.
Notable Days 2023-12-19 : Highest Volume — 43 contracts2023-12-13 : Largest IV drop — 68.6% change2023-12-01 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $41.69 $38.84 $44.02 $39.98 $43.26 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 43.7% 22.3% 114.3% 59.6% 27.2% Expected Move 9.2% 6.4% 17.1% 17.1% 7.8% HV 20d 33.6% 26.9% 47.4% 45.0% 31.7% HV 60d 39.4% 38.2% 40.1% 40.1% 38.2% Term Structure -0.3% -24.4% 14.1% -24.4% 13.5% VWIV 34.4% 34.4% 34.4% 34.4% 34.4% Skew 25d 5.5% -7.3% 22.5% 11.2% 6.8% Skew 10d 9.3% -11.6% 61.6% 61.6% 7.9% Call IV 25d 35.0% 24.5% 73.9% 73.9% 27.4% Put IV 25d 40.6% 25.6% 85.1% 85.1% 34.2% Bid-Ask Spread % 118.45 109.02 126.45 118.74 112.56 Gamma HHI 0.62 0.49 0.72 0.71 0.49 Net GEX 481 -599 1.2K 867 -491 Net DEX -29.1K -42.1K -21.6K -24.0K -23.5K Net VEX -185 -362 -94 -105 -348 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.00 2.91 0.00 0.00 Total Volume 2.35 0 43 0 0 Total OI 27.25 11 58 11 58
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-12-01 $39.98 $0.00 59.6% 17.1% 45.0% 0.0% 0.0% 11.2% -24.4% 867 -24.0K -105 0.00 118.74 N/A N/A 0 0 11 0 2023-12-04 $40.48 $0.00 69.7% 9.5% 44.2% 0.0% 0.0% -1.8% -23.7% 919 -27.2K -102 0.00 126.45 N/A N/A 0 0 11 0 2023-12-05 $38.84 $0.00 51.6% 10.5% 47.4% 0.0% 0.0% 1.4% -5.5% 881 -23.0K -101 0.00 117.65 N/A N/A 0 0 11 0 2023-12-06 $39.56 $0.00 50.0% 12.5% 47.4% 0.0% 0.0% -3.7% -14.6% 844 -24.7K -102 0.00 123.26 N/A N/A 0 0 11 0 2023-12-07 $39.27 $0.00 57.3% 11.3% 36.1% 0.0% 0.0% -1.2% -7.8% 867 -22.0K -102 0.00 125.63 N/A N/A 0 0 11 0 2023-12-08 $38.89 $0.00 56.4% 8.6% 31.3% 0.0% 0.0% -7.3% 4.0% 772 -21.6K -101 0.00 124.15 N/A N/A 0 0 11 0 2023-12-11 $39.98 $0.00 92.1% 10.5% 29.8% 0.0% 0.0% 2.8% -11.4% 1.0K -24.1K -100 0.00 123.19 N/A N/A 0 0 11 0 2023-12-12 $39.75 $0.00 114.3% 11.0% 29.5% 0.0% 0.0% 4.4% -5.5% 821 -22.5K -100 0.00 124.03 N/A N/A 0 0 11 0 2023-12-13 $41.45 $0.00 35.9% 10.3% 26.9% 0.0% 0.0% 11.3% -4.4% 903 -28.9K -99 0.00 117.45 N/A N/A 0 0 11 0 2023-12-14 $42.74 $0.00 26.6% 7.6% 28.6% 0.0% 34.4% 22.5% 5.7% 862 -32.8K -94 0.00 117.02 N/A N/A 1 0 11 0 2023-12-15 $42.72 $40.00 26.5% 7.6% 28.6% 0.0% 0.0% -0.1% 3.3% 956 -37.0K -95 0.00 117.08 N/A N/A 1 0 12 0 2023-12-18 $42.77 $40.00 22.3% 6.4% 28.1% 0.0% 0.0% 0.1% 13.2% 1.2K -38.0K -103 0.00 116.71 N/A N/A 0 0 13 0 2023-12-19 $43.97 $40.00 26.8% 7.7% 29.2% 0.0% 0.0% 13.1% 9.9% 1.1K -42.1K -97 2.91 114.50 N/A N/A 11 32 13 0 2023-12-20 $43.00 $40.00 31.5% 9.0% 30.9% 0.0% 0.0% 18.9% -5.1% -599 -23.9K -362 0.00 116.61 N/A N/A 0 0 24 32 2023-12-21 $43.23 $40.00 23.5% 6.7% 30.9% 0.0% 0.0% -1.3% 7.7% -211 -31.4K -350 0.00 115.19 N/A N/A 0 0 24 32 2023-12-22 $43.05 $40.00 23.9% 6.9% 31.0% 0.0% 0.0% 9.1% 7.0% -583 -24.3K -355 0.00 109.02 N/A N/A 1 0 24 32 2023-12-26 $44.02 $40.00 24.4% 7.0% 31.6% 0.0% 0.0% 12.5% 14.1% -108 -40.0K -325 0.00 118.89 N/A N/A 0 0 25 32 2023-12-27 $43.37 $40.00 28.6% 8.2% 32.2% 0.0% 0.0% 6.3% 9.6% -201 -36.8K -325 0.00 115.96 N/A N/A 0 0 25 32 2023-12-28 $43.48 $40.00 26.2% 7.5% 32.0% 0.0% 0.0% 5.7% 7.5% -231 -34.7K -325 0.00 114.90 N/A N/A 0 1 25 32 2023-12-29 $43.26 $40.00 27.2% 7.8% 31.7% 0.0% 0.0% 6.8% 13.5% -491 -23.5K -348 0.00 112.56 N/A N/A 0 0 25 33
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