ATS Options History — March 2024 In March 2024, ATS traded between $33.75 and $38.50. ATM implied volatility averaged 45.6%. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 18.4% (HV 20d: 27.2%). Max pain ranged from $22.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.18.
Notable Days 2024-03-28 : Highest Volume — 58 contracts2024-03-13 : Largest IV drop — 68.7% change2024-03-20 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $36.71 $33.75 $38.50 $38.50 $33.75 Max Pain $36.50 $22.50 $40.00 $40.00 $22.50 ATM IV 45.6% 22.8% 108.2% 40.0% 36.4% Expected Move 8.8% 6.5% 11.7% 11.5% 10.4% HV 20d 27.2% 20.7% 32.3% 31.0% 31.5% HV 60d 28.2% 26.6% 30.2% 30.2% 29.4% Term Structure 0.5% -8.9% 13.5% -6.5% -7.3% VWIV 117.3% 117.3% 117.3% 117.3% 117.3% Skew 25d 4.4% -18.5% 55.3% 55.3% -10.2% Skew 10d 15.8% -9.7% 66.0% 66.0% -9.7% Call IV 25d 32.7% 18.3% 53.4% 38.0% 37.9% Put IV 25d 37.1% 26.9% 93.3% 93.3% 27.6% Bid-Ask Spread % 105.77 99.94 116.05 116.05 106.59 Gamma HHI 0.52 0.43 0.59 0.57 0.44 Net GEX 4.6K 3.3K 6.2K 4.8K 3.3K Net DEX -49.5K -72.4K -23.3K -43.3K -37.1K Net VEX -412 -468 -353 -394 -353 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.18 0.00 1.42 0.00 1.42 Total Volume 4.55 0 58 0 58 Total OI 89.9 80 97 80 97
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 2024-03-01 $38.50 $40.00 40.0% 11.5% 31.0% 0.0% 0.0% 55.3% -6.5% 4.8K -43.3K -394 0.00 116.05 N/A N/A 0 0 66 14 2024-03-04 $37.48 $40.00 60.5% 8.3% 31.8% 0.0% 0.0% -18.5% -0.1% 3.6K -46.6K -397 0.00 100.33 N/A N/A 6 0 66 14 2024-03-05 $37.17 $40.00 58.8% 7.0% 31.8% 0.0% 0.0% -0.9% 9.0% 4.2K -47.7K -433 0.00 101.13 N/A N/A 0 0 72 14 2024-03-06 $37.21 $40.00 52.0% 7.3% 30.8% 0.0% 0.0% 0.3% 13.5% 4.0K -42.9K -427 0.00 100.86 N/A N/A 0 0 72 14 2024-03-07 $37.98 $40.00 67.5% 9.5% 32.3% 0.0% 0.0% 31.8% -8.9% 4.3K -55.4K -446 0.00 104.66 N/A N/A 0 0 72 14 2024-03-08 $37.73 $40.00 55.6% 8.4% 28.6% 0.0% 0.0% -2.2% -3.5% 4.6K -58.8K -444 0.00 101.78 N/A N/A 0 0 72 14 2024-03-11 $36.73 $40.00 92.3% 8.0% 29.1% 0.0% 0.0% -10.0% -0.3% 4.0K -23.3K -362 0.00 102.04 N/A N/A 6 0 72 14 2024-03-12 $36.66 $40.00 108.2% 7.7% 29.1% 0.0% 0.0% -13.7% 0.7% 4.4K -36.2K -393 0.00 99.94 N/A N/A 0 0 78 14 2024-03-13 $36.19 $40.00 33.8% 9.7% 27.6% 0.0% 0.0% 7.7% -7.8% 4.6K -41.2K -413 0.00 103.98 N/A N/A 0 2 78 14 2024-03-14 $36.81 $40.00 29.0% 8.3% 27.5% 0.0% 0.0% 1.7% -2.0% 4.7K -42.7K -388 0.00 107.49 N/A N/A 1 0 78 14 2024-03-15 $36.58 $40.00 30.4% 8.7% 23.2% 0.0% 0.0% 10.1% 1.5% 4.5K -30.3K -384 0.00 104.51 N/A N/A 12 0 79 14 2024-03-18 $36.34 $40.00 23.9% 6.9% 23.2% 0.0% 0.0% 5.6% 8.4% 4.9K -52.0K -392 0.00 106.17 N/A N/A 0 0 82 9 2024-03-19 $35.89 $40.00 37.9% 10.9% 20.7% 0.0% 0.0% -14.1% -4.8% 4.7K -64.3K -468 0.00 107.47 N/A N/A 0 0 82 9 2024-03-20 $36.94 $40.00 40.7% 11.7% 23.3% 0.0% 0.0% 17.4% -5.5% 5.0K -72.4K -466 0.00 107.23 N/A N/A 0 0 82 9 2024-03-21 $37.17 $40.00 23.8% 6.8% 23.4% 0.0% 0.0% -2.5% 5.1% 5.8K -63.2K -440 0.00 106.60 N/A N/A 2 0 82 9 2024-03-22 $37.13 $40.00 22.8% 6.5% 23.3% 0.0% 117.3% 8.7% 9.9% 6.2K -64.6K -428 0.00 106.71 N/A N/A 1 0 84 9 2024-03-25 $36.92 $22.50 34.2% 9.8% 23.1% 0.0% 0.0% 12.3% 7.8% 5.5K -69.7K -431 0.00 109.60 N/A N/A 0 0 85 9 2024-03-26 $35.49 $22.50 32.6% 9.3% 26.9% 0.0% 0.0% 4.1% 2.2% 3.6K -43.7K -362 0.00 109.29 N/A N/A 3 0 85 9 2024-03-27 $35.61 $22.50 31.8% 9.1% 26.0% 0.0% 0.0% 5.6% -2.1% 4.6K -54.4K -416 0.00 112.97 N/A N/A 0 0 88 9 2024-03-28 $33.75 $22.50 36.4% 10.4% 31.5% 0.0% 0.0% -10.2% -7.3% 3.3K -37.1K -353 1.42 106.59 N/A N/A 24 34 88 9
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