ATS Options History — May 2024

In May 2024, ATS traded between $30.77 and $34.81. ATM implied volatility averaged 42.5%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.2% (HV 20d: 31.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2024-05-08: Highest Volume — 351 contracts
  • 2024-05-15: Largest IV drop — 66.1% change
  • 2024-05-14: Highest IV Rank — 63.9%
  • 2024-05-01: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.73$30.77$34.81$32.46$31.69
Max Pain$31.82$30.00$35.00$30.00$30.00
ATM IV42.5%22.8%80.3%62.0%48.0%
Expected Move10.0%6.4%17.8%17.8%13.8%
HV 20d31.4%28.0%34.1%33.6%33.7%
HV 60d30.5%27.9%32.0%31.5%32.0%
IV Rank23.7%2.7%63.9%44.4%29.5%
IV Percentile57.1%3.3%97.3%95.6%76.6%
Term Structure-7.9%-30.3%8.5%-13.4%-23.3%
VWIV37.8%22.8%57.1%42.4%41.5%
Skew 25d3.8%-23.1%41.9%26.4%-7.5%
Skew 10d7.1%-39.0%61.8%19.9%12.3%
Call IV 25d37.1%24.1%50.1%47.6%46.4%
Put IV 25d40.9%23.9%76.6%74.0%39.0%
Bid-Ask Spread %107.4294.79122.51103.37122.51
Gamma HHI0.380.310.670.310.40
Net GEX21.0K7.9K72.2K17.8K10.9K
Net DEX-175.7K-421.8K-40.0K-169.5K-100.0K
Net VEX-1.6K-2.4K-1.2K-1.8K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.800.000.13
Total Volume35.0910351470
Total OI1,696.1821,3751,9031,3751,817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$32.46$30.0062.0%17.8%33.6%44.4%42.4%26.4%-13.4%17.8K-169.5K-1.8K0.00103.37N/AN/A4701,31956
2024-05-02$32.38$30.0033.6%9.6%33.2%14.2%40.7%-0.4%-3.5%17.8K-151.5K-1.7K0.08107.89N/AN/A1211,36156
2024-05-03$31.97$30.0049.0%14.1%33.1%30.6%0.0%-23.1%-22.3%15.0K-120.0K-1.5K0.00109.48N/AN/A031,36056
2024-05-06$32.72$35.0046.8%8.7%34.1%28.3%0.0%-1.5%-3.3%18.1K-160.4K-1.6K0.0098.38N/AN/A011,36058
2024-05-07$32.92$35.0042.6%6.4%34.0%23.8%0.0%5.0%1.4%19.4K-169.7K-1.7K0.00117.21N/AN/A101,36059
2024-05-08$33.19$35.0050.4%7.0%31.5%32.0%0.0%-3.9%-2.1%21.1K-197.4K-1.7K0.0098.46N/AN/A35011,36059
2024-05-09$33.52$35.0044.3%7.7%31.2%25.6%49.4%1.3%-6.5%31.3K-264.7K-2.4K1.20107.31N/AN/A10121,71060
2024-05-10$33.67$35.0040.3%7.7%28.3%21.4%49.4%9.0%-0.7%28.5K-225.9K-1.8K0.0096.98N/AN/A201,71072
2024-05-13$33.66$35.0054.1%10.3%28.0%36.1%34.4%-4.0%-10.2%27.7K-241.8K-1.8K3.8094.79N/AN/A5191,71072
2024-05-14$33.23$35.0080.3%7.1%28.7%63.9%57.1%10.1%8.5%23.7K-198.2K-1.8K0.38100.55N/AN/A37141,70780
2024-05-15$32.91$35.0027.3%7.8%29.2%7.5%33.5%-4.0%-1.5%24.1K-207.1K-1.8K0.5195.06N/AN/A49251,73689
2024-05-16$34.50$30.0025.5%7.3%29.9%5.6%26.2%8.0%-1.1%35.4K-388.5K-1.8K0.25102.43N/AN/A2051,780107
2024-05-17$34.81$30.0028.2%8.1%28.7%8.5%40.6%41.9%-5.2%72.2K-421.8K-1.7K1.61110.51N/AN/A23371,796107
2024-05-20$34.59$30.0022.8%6.5%28.7%2.7%22.8%18.6%1.2%22.1K-257.3K-1.7K0.60102.64N/AN/A531,70162
2024-05-21$32.88$30.0033.6%9.6%31.0%14.2%24.9%15.6%1.4%14.8K-140.6K-1.4K0.44116.88N/AN/A941,70561
2024-05-22$32.64$30.0031.2%9.0%30.8%11.7%30.9%2.6%-4.0%13.9K-129.3K-1.4K1.25111.53N/AN/A451,70761
2024-05-23$31.64$30.0047.4%13.6%32.4%28.9%36.0%8.3%-16.9%11.1K-90.1K-1.4K0.00121.58N/AN/A1501,70966
2024-05-24$31.85$30.0026.8%7.7%32.4%7.0%0.0%-6.8%4.3%11.5K-96.7K-1.4K0.00103.34N/AN/A0361,71466
2024-05-28$31.16$30.0044.0%12.6%33.0%25.3%0.0%-19.6%-30.3%8.8K-52.0K-1.2K0.00100.67N/AN/A001,714101
2024-05-29$30.77$30.0051.6%14.8%32.6%33.4%41.5%-0.5%-29.7%7.9K-42.8K-1.2K0.13121.42N/AN/A1521,714101
2024-05-30$30.82$30.0045.8%13.1%31.9%27.2%0.0%8.1%-17.3%8.0K-40.0K-1.2K0.00120.17N/AN/A001,715102
2024-05-31$31.69$30.0048.0%13.8%33.7%29.5%0.0%-7.5%-23.3%10.9K-100.0K-1.4K0.00122.51N/AN/A001,715102