ATS Options History — September 2024

In September 2024, ATS traded between $25.16 and $30.15. ATM implied volatility averaged 41.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.5% (HV 20d: 31.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2024-09-10: Highest Volume — 105 contracts
2024-09-17: Largest IV spike — 120.3% change
2024-09-05: Highest IV Rank — 45.1%
2024-09-04: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.29	$25.16	$30.15	$25.79	$28.96
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	41.0%	17.2%	118.6%	73.7%	19.6%
Expected Move	9.2%	4.9%	27.6%	21.1%	5.6%
HV 20d	31.5%	23.2%	47.6%	25.7%	47.6%
HV 60d	33.7%	31.1%	38.6%	31.1%	38.6%
IV Rank	10.1%	0.0%	45.1%	24.5%	1.1%
IV Percentile	31.1%	0.0%	97.8%	91.9%	2.9%
Term Structure	-0.3%	-59.7%	15.1%	-37.9%	9.1%
VWIV	26.3%	19.0%	62.5%	31.8%	19.2%
Skew 25d	7.0%	-17.2%	38.5%	-17.2%	6.3%
Skew 10d	16.7%	-3.1%	127.5%	21.0%	1.1%
Call IV 25d	26.9%	19.8%	69.5%	69.5%	20.6%
Put IV 25d	33.9%	19.9%	64.6%	52.3%	26.8%
Bid-Ask Spread %	107.79	94.11	124.94	122.37	94.98
Gamma HHI	0.46	0.19	0.77	0.38	0.57
Net GEX	5.1K	-2.7K	25.2K	-2.0K	18.7K
Net DEX	-27.2K	-267.4K	113.4K	99.5K	-110.7K
Net VEX	-411	-1.2K	-166	-284	-964
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	1.00	0.00	0.50
Total Volume	26.6	0	105	1	6
Total OI	387.4	213	607	213	607

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
2024-09-03	$25.79	$30.00	73.7%	21.1%	25.7%	24.5%	0.0%	-17.2%	-37.9%	-2.0K	99.5K	-284	0.00	122.37	N/A	N/A	0	1	120	93
2024-09-04	$25.16	$30.00	96.2%	27.6%	25.1%	34.8%	0.0%	-16.0%	-59.7%	-1.7K	99.1K	-301	0.00	123.30	N/A	N/A	21	0	120	93
2024-09-05	$25.45	$30.00	118.6%	12.0%	25.4%	45.1%	31.8%	25.7%	15.1%	-1.9K	113.4K	-244	0.00	116.65	N/A	N/A	50	0	141	92
2024-09-06	$25.37	$30.00	64.1%	12.4%	23.2%	20.2%	0.0%	24.3%	10.1%	-1.1K	81.5K	-268	0.00	122.63	N/A	N/A	0	0	191	92
2024-09-09	$26.22	$30.00	111.1%	9.8%	25.2%	41.7%	34.2%	13.1%	-0.0%	-949	82.5K	-261	0.00	111.86	N/A	N/A	0	16	191	92
2024-09-10	$26.24	$30.00	31.3%	7.3%	23.9%	5.1%	25.3%	5.1%	2.3%	-2.4K	96.3K	-167	0.00	107.23	N/A	N/A	105	0	191	106
2024-09-11	$26.45	$30.00	24.6%	7.1%	24.0%	2.0%	24.6%	6.8%	3.1%	-2.7K	103.3K	-166	0.00	107.06	N/A	N/A	8	0	286	106
2024-09-12	$26.33	$30.00	23.8%	6.8%	24.0%	1.7%	0.0%	5.3%	3.4%	-1.9K	85.2K	-213	0.00	108.10	N/A	N/A	11	0	294	106
2024-09-13	$25.79	$30.00	24.1%	6.9%	25.0%	1.8%	23.8%	1.2%	2.8%	-699	-5.5K	-259	0.17	103.40	N/A	N/A	12	2	305	73
2024-09-16	$25.88	$30.00	24.5%	7.0%	25.1%	1.9%	0.0%	1.4%	2.2%	-154	-18.4K	-296	0.00	101.11	N/A	N/A	0	1	314	75
2024-09-17	$27.14	$30.00	53.9%	15.5%	29.5%	15.5%	62.5%	38.5%	-10.5%	2.0K	-50.4K	-493	1.00	124.94	N/A	N/A	1	1	314	75
2024-09-18	$26.93	$30.00	26.7%	7.6%	29.7%	3.0%	26.3%	8.9%	1.3%	136	-37.2K	-259	0.00	109.53	N/A	N/A	11	0	315	76
2024-09-19	$28.48	$30.00	17.2%	4.9%	35.8%	0.0%	20.4%	-0.9%	6.5%	1.4K	-69.8K	-343	0.00	109.00	N/A	N/A	55	0	316	76
2024-09-20	$28.73	$30.00	17.2%	4.9%	35.4%	0.0%	20.6%	-0.6%	5.9%	8.8K	-108.5K	-468	0.00	106.01	N/A	N/A	14	0	359	76
2024-09-23	$28.61	$30.00	18.0%	5.2%	35.4%	0.3%	21.7%	-0.4%	5.5%	10.1K	-109.8K	-441	0.00	100.15	N/A	N/A	10	0	367	76
2024-09-24	$29.74	$30.00	19.3%	5.5%	37.6%	1.0%	19.3%	2.2%	8.3%	16.1K	-178.9K	-511	0.00	94.82	N/A	N/A	46	0	372	76
2024-09-25	$28.45	$30.00	17.3%	5.0%	41.3%	0.0%	19.0%	12.8%	6.8%	10.4K	-100.4K	-365	0.21	94.11	N/A	N/A	48	10	378	76
2024-09-26	$30.15	$30.00	19.1%	5.5%	45.5%	0.9%	19.1%	10.7%	9.9%	25.2K	-267.4K	-707	0.36	96.69	N/A	N/A	70	25	423	86
2024-09-27	$29.87	$30.00	19.1%	5.5%	45.8%	0.8%	0.0%	13.4%	10.3%	23.9K	-247.4K	-1.2K	0.00	101.91	N/A	N/A	8	0	488	111
2024-09-30	$28.96	$30.00	19.6%	5.6%	47.6%	1.1%	19.2%	6.3%	9.1%	18.7K	-110.7K	-964	0.50	94.98	N/A	N/A	4	2	496	111