A Options History — January 2013

In January 2013, A traded between $29.96 and $32.40. ATM implied volatility averaged 23.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.7% (HV 20d: 23.1%). Max pain ranged from $27.18 to $27.90. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-01-02: Highest Volume — 39,643 contracts
  • 2013-01-10: Largest IV spike — 19.3% change
  • 2013-01-30: Highest IV Rank — 18.6%
  • 2013-01-30: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.26$29.96$32.40$29.96$32.03
Max Pain$27.83$27.18$27.90$27.90$27.90
ATM IV23.8%19.9%27.7%22.3%26.6%
Expected Move7.1%6.1%7.9%6.4%7.6%
HV 20d23.1%17.3%26.7%26.3%17.3%
HV 60d26.0%24.6%27.0%26.8%24.6%
IV Rank9.2%0.0%18.6%4.3%16.1%
IV Percentile18.9%0.0%49.2%4.8%43.3%
Term Structure0.7%-2.9%4.1%3.6%-2.6%
VWIV25.6%22.3%30.7%24.3%27.5%
Skew 25d4.5%3.4%5.6%3.7%3.8%
Skew 10d9.9%6.5%13.7%7.6%10.5%
Call IV 25d22.9%20.0%25.6%21.0%25.5%
Put IV 25d27.3%23.4%29.7%24.7%29.3%
Bid-Ask Spread %8.096.1614.3912.396.16
Gamma HHI0.330.220.540.220.29
Net GEX7.0M4.2M9.5M8.0M5.2M
Net DEX-153.8M-191.2M-125.9M-131.3M-141.1M
Net VEX-503.8K-556.5K-484.5K-556.5K-499.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.042.700.040.13
Total Volume5,955.85786839,64339,6431,712
Total OI157,502.048121,518185,398174,976128,308

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$29.96$27.9022.3%6.4%26.3%4.3%24.3%3.7%3.6%8.0M-131.3M-556.5K0.0412.39N/AN/A38,1891,454114,17060,806
2013-01-03$30.06$27.9021.3%6.1%26.3%2.0%22.3%3.4%4.1%8.0M-136.7M-541.0K0.5614.39N/AN/A972541113,80861,378
2013-01-04$30.66$27.1819.9%6.9%26.6%0.0%26.5%5.5%2.4%7.5M-145.4M-507.6K0.897.75N/AN/A2,3502,096106,63161,533
2013-01-07$30.44$27.1820.7%7.2%26.5%2.1%24.3%5.6%1.8%7.4M-137.0M-500.4K0.716.68N/AN/A1,9661,395107,23162,190
2013-01-08$30.19$27.9021.3%7.5%26.1%3.3%30.7%5.4%1.4%7.3M-125.9M-500.1K1.047.23N/AN/A426442107,82963,061
2013-01-09$31.01$27.9020.3%7.1%26.7%1.0%24.7%4.9%1.9%7.5M-162.1M-486.2K2.707.56N/AN/A1,0812,919107,94263,272
2013-01-10$31.24$27.9024.2%6.9%25.2%10.3%24.8%5.0%2.3%7.3M-171.2M-490.3K0.527.55N/AN/A5,3572,792108,36265,166
2013-01-11$31.07$27.9024.8%7.1%24.8%11.7%25.7%4.8%2.0%7.8M-167.6M-516.3K0.266.79N/AN/A1,815474111,43667,058
2013-01-14$31.14$27.9023.7%6.8%23.5%9.2%26.0%4.6%2.3%8.1M-170.3M-511.1K0.398.15N/AN/A2,448960112,30167,255
2013-01-15$30.93$27.9024.8%7.1%23.9%11.8%24.3%4.7%1.9%8.1M-163.6M-499.5K0.477.15N/AN/A3,5441,669112,84467,256
2013-01-16$30.79$27.9023.8%6.8%23.0%9.5%23.4%5.0%2.6%8.4M-158.1M-503.7K0.426.36N/AN/A1,722728114,82168,262
2013-01-17$31.38$27.9024.7%7.1%23.3%11.6%25.1%4.7%1.9%8.8M-184.0M-493.4K0.617.29N/AN/A5,8303,584113,94068,551
2013-01-18$31.58$27.9023.3%6.7%21.7%8.2%23.9%4.8%2.3%9.5M-191.2M-501.0K0.257.60N/AN/A4,1381,021114,39171,007
2013-01-22$31.93$27.9022.7%6.5%21.2%6.7%25.4%4.1%-0.4%6.9M-146.4M-505.8K1.598.90N/AN/A1,7952,85679,11842,400
2013-01-23$31.69$27.9024.8%7.1%21.2%11.8%24.9%4.5%-1.5%6.1M-142.4M-493.1K0.157.32N/AN/A10,1681,55980,33644,019
2013-01-24$31.95$27.9024.6%7.0%21.3%11.3%26.0%3.8%-1.6%6.9M-162.8M-502.2K0.997.97N/AN/A2,9022,86786,08945,002
2013-01-25$32.40$27.9025.3%7.3%21.3%13.0%25.5%3.4%-1.9%4.9M-166.2M-490.0K0.538.91N/AN/A3,2221,71180,84147,251
2013-01-28$32.32$27.9026.4%7.6%21.0%15.5%26.4%3.9%-2.4%4.2M-153.2M-484.5K0.827.29N/AN/A1,4581,19977,63148,375
2013-01-29$31.93$27.9026.5%7.6%19.9%15.9%28.5%4.0%-2.6%4.6M-139.3M-499.5K1.277.38N/AN/A8161,03978,43149,316
2013-01-30$31.76$27.9027.7%7.9%18.5%18.6%27.3%4.0%-2.9%4.9M-133.6M-497.2K0.839.02N/AN/A1,01484278,62649,299
2013-01-31$32.03$27.9026.6%7.6%17.3%16.1%27.5%3.8%-2.6%5.2M-141.1M-499.6K0.136.16N/AN/A1,51519778,96049,348