ATS Options History — February 2024 In February 2024, ATS traded between $37.31 and $43.77. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.3% (HV 20d: 30.8%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.25.
Notable Days 2024-02-06 : Highest Volume — 18 contracts2024-02-27 : Largest IV spike — 63.2% change2024-02-27 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $39.75 $37.31 $43.77 $43.77 $38.02 Max Pain $40.63 $40.00 $50.00 $50.00 $40.00 ATM IV 30.6% 20.2% 52.4% 34.6% 22.1% Expected Move 7.9% 5.8% 12.2% 8.0% 6.3% HV 20d 30.8% 24.9% 35.3% 25.2% 31.8% HV 60d 30.4% 27.4% 35.0% 34.9% 30.2% Term Structure -2.1% -28.2% 8.2% -0.5% 4.2% VWIV 23.7% 21.1% 27.8% 22.6% 23.3% Skew 25d 0.1% -20.6% 11.6% 9.3% 11.6% Skew 10d 1.6% -40.1% 31.0% 31.0% 11.9% Call IV 25d 31.8% 21.1% 52.3% 23.3% 28.5% Put IV 25d 32.0% 25.8% 44.3% 32.6% 40.1% Bid-Ask Spread % 101.02 79.49 115.25 93.18 108.22 Gamma HHI 0.56 0.35 0.81 0.49 0.54 Net GEX -576 -11.8K 4.5K 890 4.5K Net DEX -3.1K -57.5K 97.3K -48.5K -43.7K Net VEX -294 -405 -220 -288 -405 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.25 0.00 3.00 0.00 0.00 Total Volume 5.2 0 18 1 5 Total OI 80.75 50 107 69 80
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 2024-02-01 $43.77 $0.00 34.6% 8.0% 25.2% 0.0% 0.0% 9.3% -0.5% 890 -48.5K -288 0.00 93.18 N/A N/A 1 0 31 38 2024-02-02 $43.38 $0.00 43.8% 8.1% 24.9% 0.0% 0.0% 6.7% 2.8% 398 -45.8K -313 0.00 91.79 N/A N/A 0 0 32 38 2024-02-05 $42.91 $0.00 52.4% 8.2% 25.2% 0.0% 0.0% 6.9% 6.3% -1.1K -29.2K -299 0.00 94.20 N/A N/A 0 0 32 38 2024-02-06 $43.60 $0.00 44.8% 9.4% 25.6% 0.0% 22.6% 9.5% 2.3% 937 -56.7K -273 0.06 102.20 N/A N/A 17 1 32 38 2024-02-07 $42.97 $50.00 22.0% 6.3% 26.4% 0.0% 27.8% 4.3% 6.6% 4.3K -57.5K -288 0.67 98.18 N/A N/A 3 2 49 39 2024-02-08 $41.03 $40.00 24.3% 7.0% 30.8% 0.0% 21.1% -20.6% 0.6% -8.7K -823 -288 0.08 108.51 N/A N/A 12 1 51 41 2024-02-09 $40.18 $40.00 26.0% 7.5% 31.5% 0.0% 0.0% -2.2% 2.7% -5.7K 23.9K -330 0.00 107.66 N/A N/A 1 0 63 41 2024-02-12 $40.01 $40.00 25.2% 7.2% 30.5% 0.0% 0.0% -18.9% 1.0% -11.8K 40.4K -306 0.00 96.63 N/A N/A 0 0 64 41 2024-02-13 $38.78 $40.00 26.0% 7.5% 31.9% 0.0% 0.0% 7.2% 8.2% -7.7K 77.1K -271 0.00 105.27 N/A N/A 1 0 64 41 2024-02-14 $37.89 $40.00 20.2% 5.8% 32.5% 0.0% 0.0% 3.4% 1.5% -3.8K 81.6K -247 0.00 96.89 N/A N/A 5 0 65 41 2024-02-15 $39.36 $40.00 26.9% 7.7% 34.2% 0.0% 0.0% -5.8% -5.3% -4.6K 42.5K -275 0.00 115.25 N/A N/A 2 0 66 41 2024-02-16 $39.35 $40.00 23.3% 6.7% 33.8% 0.0% 23.3% 9.9% 0.3% 2.0K 97.3K -247 3.00 79.49 N/A N/A 1 3 66 41 2024-02-20 $38.05 $40.00 24.2% 6.9% 35.3% 0.0% 0.0% 1.3% -3.7% 1.1K -8.8K -232 0.00 97.31 N/A N/A 0 0 38 12 2024-02-21 $37.64 $40.00 25.6% 7.3% 34.2% 0.0% 0.0% -1.9% -1.9% 1.1K -2.4K -220 0.00 108.14 N/A N/A 5 0 38 12 2024-02-22 $37.55 $40.00 27.3% 7.8% 33.8% 0.0% 0.0% -2.8% -1.7% 1.4K -10.3K -250 0.00 109.33 N/A N/A 15 0 42 12 2024-02-23 $37.31 $40.00 40.0% 11.5% 32.2% 0.0% 0.0% 6.2% -23.8% 3.2K -20.2K -300 0.00 87.80 N/A N/A 2 0 55 12 2024-02-26 $37.64 $40.00 26.2% 7.5% 32.3% 0.0% 0.0% -2.2% -0.7% 3.9K -34.6K -333 0.00 114.08 N/A N/A 3 0 57 12 2024-02-27 $37.44 $40.00 42.7% 12.2% 31.9% 0.0% 0.0% -2.7% -28.2% 4.1K -24.7K -308 0.13 99.34 N/A N/A 15 2 60 12 2024-02-28 $38.08 $40.00 33.5% 9.6% 33.0% 0.0% 0.0% -16.8% -13.4% 4.4K -41.8K -397 0.00 106.84 N/A N/A 7 0 66 14 2024-02-29 $38.02 $40.00 22.1% 6.3% 31.8% 0.0% 0.0% 11.6% 4.2% 4.5K -43.7K -405 0.00 108.22 N/A N/A 5 0 66 14
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