A Options History — March 2013

In March 2013, A traded between $29.42 and $30.99. ATM implied volatility averaged 20.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.2% (HV 20d: 22.2%). Max pain ranged from $28.61 to $30.04. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2013-03-12: Highest Volume — 9,903 contracts
  • 2013-03-14: Largest IV spike — 14.0% change
  • 2013-03-25: Highest IV Rank — 10.1%
  • 2013-03-04: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.33$29.42$30.99$29.99$30.02
Max Pain$28.68$28.61$30.04$30.04$28.61
ATM IV20.1%17.2%22.0%21.9%19.5%
Expected Move5.9%5.3%6.6%6.3%5.6%
HV 20d22.2%16.9%26.6%26.6%17.8%
HV 60d22.7%21.5%24.1%24.0%21.5%
IV Rank4.5%0.0%10.1%5.5%5.2%
IV Percentile3.4%0.0%9.9%6.7%2.4%
Term Structure4.1%1.1%5.2%1.1%5.2%
VWIV21.0%19.8%22.9%22.7%20.3%
Skew 25d3.8%3.3%4.3%3.6%3.6%
Skew 10d7.9%6.6%9.4%9.4%7.3%
Call IV 25d19.3%17.6%21.6%20.7%18.3%
Put IV 25d23.1%21.0%25.8%24.3%21.9%
Bid-Ask Spread %9.415.3314.7714.7711.28
Gamma HHI0.150.120.210.160.14
Net GEX-1.1M-1.7M1.1M-1.6M-1.1M
Net DEX11.0M-8.2M35.7M22.8M17.7M
Net VEX-505.5K-529.3K-468.8K-494.8K-514.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.153.742.460.42
Total Volume3,440.46269,9032,206626
Total OI107,828.0597,322119,877104,835105,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$29.99$30.0421.9%6.3%26.6%5.5%22.7%3.6%1.1%-1.6M22.8M-494.8K2.4614.77N/AN/A6371,56946,30958,526
2013-03-04$30.06$28.6122.0%6.6%26.1%5.8%22.9%4.2%2.7%-1.7M21.0M-485.0K2.786.42N/AN/A1,6924,70646,67259,373
2013-03-05$30.52$28.6121.8%6.4%25.8%5.2%22.3%4.2%3.0%-1.4M7.3M-503.1K1.557.81N/AN/A1,5102,34646,95663,106
2013-03-06$30.93$28.6121.9%6.4%25.6%5.5%21.7%4.1%3.3%-708.1K-6.8M-501.3K0.816.59N/AN/A2,5142,02447,69862,935
2013-03-07$30.94$28.6120.9%6.2%25.5%3.2%21.8%3.7%3.4%-641.0K-8.2M-493.7K0.995.40N/AN/A57657048,60063,778
2013-03-08$30.78$28.6119.4%5.9%25.6%0.0%20.4%3.8%3.8%-961.0K-3.0M-491.4K1.285.33N/AN/A8721,11448,57863,861
2013-03-11$30.62$28.6119.8%5.7%25.5%1.0%19.8%3.7%4.0%-1.3M2.9M-473.8K2.737.29N/AN/A6051,65048,82163,715
2013-03-12$30.49$28.6119.3%5.8%25.4%0.0%20.6%3.9%4.3%-1.4M4.9M-468.8K0.897.40N/AN/A5,2294,67448,64663,820
2013-03-13$30.76$28.6117.2%5.7%25.7%0.0%20.8%3.4%4.5%-579.6K-7.6M-518.6K0.207.98N/AN/A5,2591,03252,47567,402
2013-03-14$30.99$28.6119.6%5.6%25.8%5.4%20.6%3.5%4.6%8.8K-6.3M-519.7K0.317.93N/AN/A4,3481,36649,68267,721
2013-03-15$30.77$28.6118.7%5.4%25.9%3.5%20.0%3.3%5.2%1.1M-1.6M-523.8K1.0711.21N/AN/A1,7241,85151,43068,418
2013-03-18$30.44$28.6119.1%5.5%17.7%4.3%20.3%3.8%4.4%-1.0M10.6M-521.3K1.189.04N/AN/A1,4611,71740,01457,308
2013-03-19$30.04$28.6120.0%5.7%17.0%6.3%21.5%3.9%4.4%-1.3M20.6M-521.6K3.7411.47N/AN/A6082,27240,88058,397
2013-03-20$30.54$28.6118.4%5.3%16.9%2.8%20.0%3.9%4.9%-1.0M8.5M-529.3K0.7711.57N/AN/A1,00277641,20059,625
2013-03-21$29.79$28.6119.8%5.7%18.4%5.9%20.8%4.1%4.7%-1.5M26.0M-518.9K1.9412.14N/AN/A8561,65941,54759,588
2013-03-22$29.51$28.6121.4%6.1%18.7%9.5%21.0%4.2%4.1%-1.7M33.5M-512.1K0.8410.36N/AN/A1,07490241,96060,869
2013-03-25$29.42$28.6121.7%6.2%18.2%10.1%20.7%4.3%3.9%-1.7M35.7M-500.6K1.829.59N/AN/A7581,38342,15760,984
2013-03-26$29.91$28.6119.6%5.6%18.9%5.4%19.9%3.6%4.8%-1.4M23.5M-507.7K0.5411.76N/AN/A1,24167542,23561,607
2013-03-27$30.11$28.6119.7%5.6%17.9%5.6%20.9%3.6%5.2%-1.3M18.1M-509.5K0.1512.87N/AN/A3,42550542,29061,838
2013-03-28$30.02$28.6119.5%5.6%17.8%5.2%20.3%3.6%5.2%-1.1M17.7M-514.9K0.4211.28N/AN/A44018643,66061,880