A Options History — April 2013

In April 2013, A traded between $28.98 and $32.01. ATM implied volatility averaged 26.7%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.5% (HV 20d: 25.3%). Max pain ranged from $28.61 to $30.76. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-04-12: Highest Volume — 26,136 contracts
  • 2013-04-11: Largest IV spike — 30.0% change
  • 2013-04-30: Highest IV Rank — 38.0%
  • 2013-04-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.11$28.98$32.01$29.28$29.64
Max Pain$29.91$28.61$30.76$28.61$30.04
ATM IV26.7%20.2%34.1%21.8%34.1%
Expected Move8.0%5.9%9.8%6.3%9.8%
HV 20d25.3%18.6%30.8%19.5%29.3%
HV 60d23.2%20.8%25.3%21.6%25.1%
IV Rank21.5%6.8%38.0%10.4%38.0%
IV Percentile45.5%6.0%82.9%12.3%82.9%
Term Structure-0.6%-4.9%5.1%4.2%-4.9%
VWIV28.2%20.4%34.2%21.9%34.2%
Skew 25d3.5%2.6%4.7%4.4%4.5%
Skew 10d7.4%6.0%9.1%9.1%9.0%
Call IV 25d26.6%19.7%32.1%20.4%32.1%
Put IV 25d30.0%22.8%36.6%24.7%36.6%
Bid-Ask Spread %5.883.897.606.085.40
Gamma HHI0.140.090.210.180.14
Net GEX-1.9M-3.6M1.4M-1.7M-3.6M
Net DEX19.3M-59.0M49.9M37.8M47.2M
Net VEX-580.9K-669.4K-474.4K-484.9K-650.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.122.541.061.17
Total Volume5,906.95556926,1361,7421,263
Total OI134,773.591105,725164,632105,725163,583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$29.28$28.6121.8%6.3%19.5%10.4%21.9%4.4%4.2%-1.7M37.8M-484.9K1.066.08N/AN/A84789543,79861,927
2013-04-02$29.08$28.6120.9%6.0%19.6%8.4%21.4%3.8%4.6%-1.9M44.0M-478.0K2.506.25N/AN/A5091,27144,08562,584
2013-04-03$28.98$28.6120.6%5.9%18.6%7.6%20.5%3.8%5.1%-2.0M47.2M-474.4K0.446.43N/AN/A92440344,27763,170
2013-04-04$29.62$28.6121.1%6.1%19.7%8.9%20.4%3.1%5.0%-1.5M28.5M-490.2K1.005.40N/AN/A1,6311,62644,54662,753
2013-04-05$29.71$30.7620.5%7.5%19.8%7.5%28.3%3.6%0.3%-1.4M24.8M-499.8K2.353.89N/AN/A2,8556,69945,33363,581
2013-04-08$29.80$30.7621.2%7.5%19.8%9.1%26.8%3.8%0.1%-1.8M26.3M-513.7K0.885.18N/AN/A30226746,95269,750
2013-04-09$29.79$30.7621.0%7.7%19.8%8.6%26.5%3.7%-0.5%-1.7M25.6M-509.2K0.256.10N/AN/A3,84995646,99769,764
2013-04-10$30.23$30.7620.2%7.5%20.5%6.8%25.6%3.4%-0.0%-906.7K8.3M-514.2K0.485.87N/AN/A1,54674449,65669,917
2013-04-11$31.37$30.0426.3%7.5%24.3%20.4%26.9%2.7%-0.3%596.3K-30.7M-509.4K0.495.59N/AN/A8,0593,94750,07269,922
2013-04-12$32.01$30.0427.4%7.9%25.2%23.0%30.2%3.3%-1.1%1.4M-59.0M-535.8K2.285.77N/AN/A7,96218,17455,20771,575
2013-04-15$30.79$30.0430.6%8.8%28.9%30.2%30.0%3.7%-2.6%-1.4M-2.8M-647.8K0.607.32N/AN/A2,0471,22759,92487,885
2013-04-16$31.04$30.0430.1%8.6%28.7%29.0%31.9%3.5%-2.5%-1.1M-12.2M-635.3K2.546.82N/AN/A18647359,04087,765
2013-04-17$30.18$30.0429.7%8.5%30.2%28.1%30.7%2.6%-1.1%-2.4M22.0M-624.9K1.317.60N/AN/A3,6994,83359,03987,903
2013-04-18$29.92$30.0430.4%8.7%29.7%29.7%31.3%2.9%-1.4%-3.2M34.3M-639.5K0.955.75N/AN/A3,9653,78460,12291,168
2013-04-19$30.04$30.0429.3%8.4%28.3%27.1%29.0%2.9%-0.6%-3.3M27.5M-655.3K0.806.16N/AN/A99078863,70793,603
2013-04-22$29.94$30.0429.6%8.5%28.1%27.9%29.4%3.0%-2.4%-3.4M37.1M-636.7K0.476.00N/AN/A1,87687956,06887,909
2013-04-23$30.48$30.0428.5%8.2%28.8%25.5%28.0%3.0%-2.3%-2.6M13.9M-647.1K0.125.77N/AN/A3,61043657,68788,305
2013-04-24$30.65$30.0429.1%8.3%28.3%26.7%29.5%3.0%-2.5%-2.0M3.5M-649.3K1.185.58N/AN/A6,2327,34860,59688,492
2013-04-25$30.57$30.0428.8%8.3%28.2%26.1%30.4%2.7%-2.4%-2.0M6.0M-669.4K1.494.84N/AN/A7061,05363,30092,550
2013-04-26$29.54$30.0432.8%9.4%30.8%35.0%33.3%4.2%-3.7%-3.5M49.9M-653.6K1.205.84N/AN/A8,52910,22863,18392,692
2013-04-29$29.66$30.0434.0%9.7%29.5%37.7%33.2%4.7%-4.8%-3.3M45.6M-662.3K1.065.82N/AN/A1,1311,20467,72896,904
2013-04-30$29.64$30.0434.1%9.8%29.3%38.0%34.2%4.5%-4.9%-3.6M47.2M-650.0K1.175.40N/AN/A58268166,30297,281