A Options History — May 2013

In May 2013, A traded between $29.55 and $33.44. ATM implied volatility averaged 34.5%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 10.0% (HV 20d: 24.4%). Max pain ranged from $30.04 to $31.47. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2013-05-14: Highest Volume — 55,586 contracts
  • 2013-05-15: Largest IV drop — 59.1% change
  • 2013-05-13: Highest IV Rank — 100.0%
  • 2013-05-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.75$29.55$33.44$29.55$32.51
Max Pain$30.76$30.04$31.47$30.04$31.47
ATM IV34.5%22.2%65.1%36.6%26.1%
Expected Move7.9%6.4%10.5%10.5%7.5%
HV 20d24.4%20.5%29.3%29.3%22.4%
HV 60d24.1%22.8%25.0%24.7%23.8%
IV Rank37.5%10.4%100.0%43.7%18.6%
IV Percentile62.6%19.4%100.0%92.1%53.6%
Term Structure-0.7%-7.0%2.9%-6.8%-0.1%
VWIV27.9%22.6%38.8%36.0%25.9%
Skew 25d3.5%2.9%5.1%4.4%2.9%
Skew 10d7.9%5.6%11.4%9.3%6.2%
Call IV 25d26.3%21.4%34.7%34.7%24.9%
Put IV 25d29.8%24.6%39.1%39.1%27.8%
Bid-Ask Spread %7.855.0918.345.896.88
Gamma HHI0.110.090.170.130.10
Net GEX187.6K-4.5M7.1M-3.6M1.8M
Net DEX-36.4M-141.4M52.2M50.7M-45.8M
Net VEX-674.6K-710.4K-606.8K-650.5K-686.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.164.733.570.55
Total Volume11,887.578455,5867,2681,047
Total OI171,320.182128,761234,746164,234142,593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$29.55$30.0436.6%10.5%29.3%43.7%36.0%4.4%-6.8%-3.6M50.7M-650.5K3.575.89N/AN/A1,5915,67766,54697,688
2013-05-02$29.67$30.0436.2%10.4%28.3%42.6%36.9%5.1%-7.0%-4.0M51.0M-656.9K3.896.60N/AN/A1,8027,00767,751101,667
2013-05-03$29.72$30.0434.7%10.0%28.3%39.3%38.8%5.1%-6.5%-4.5M52.2M-656.2K4.736.09N/AN/A2,56312,11967,925105,282
2013-05-06$30.04$30.0440.6%8.2%28.6%52.5%28.8%4.0%0.3%-3.9M36.0M-663.7K1.9613.42N/AN/A4,7049,23869,711107,846
2013-05-07$30.33$30.0441.5%8.1%28.7%54.6%28.4%3.9%0.2%-3.3M21.1M-677.7K2.678.72N/AN/A2,0595,50072,071111,072
2013-05-08$30.72$30.0446.2%8.3%28.6%65.1%29.3%3.8%-0.4%-2.7M4.1M-690.7K0.547.73N/AN/A3,8492,07272,799114,368
2013-05-09$30.87$30.0455.6%9.0%25.3%86.3%32.1%4.0%-1.7%-2.3M-3.4M-691.6K1.477.99N/AN/A7,45610,95273,785114,468
2013-05-10$31.21$30.0453.5%8.7%24.5%81.4%30.8%3.6%-1.6%-1.7M-23.2M-705.1K1.129.01N/AN/A4,3274,82676,631119,684
2013-05-13$30.79$30.0465.1%9.0%20.7%100.0%30.9%3.6%-2.1%-2.4M-2.7M-667.5K0.889.56N/AN/A13,21011,56476,998120,371
2013-05-14$31.45$30.0457.1%8.2%21.8%83.2%29.0%3.3%-0.9%195.7K-50.6M-640.1K1.9218.34N/AN/A19,03136,55582,450122,395
2013-05-15$32.68$30.0423.4%6.6%22.9%12.9%23.8%3.2%2.2%5.1M-141.4M-606.8K0.368.53N/AN/A39,71714,44388,141131,374
2013-05-16$32.18$31.4723.0%6.6%23.5%12.1%23.8%3.1%2.8%7.1M-118.5M-689.7K0.345.27N/AN/A7,5282,56198,809135,937
2013-05-17$32.59$31.4722.2%6.4%23.7%10.4%22.6%3.1%2.9%3.1M-136.9M-673.2K0.248.59N/AN/A3,87791495,682136,288
2013-05-20$33.15$31.4723.7%6.8%24.0%13.6%24.1%3.0%0.6%2.2M-68.7M-660.5K1.855.37N/AN/A2,8745,30459,99868,763
2013-05-21$33.44$31.4724.0%6.9%23.5%14.3%24.6%3.1%0.5%2.0M-74.0M-677.9K0.435.56N/AN/A2,9991,28361,36473,227
2013-05-22$33.08$31.4724.8%7.1%24.2%15.8%24.8%3.2%0.4%1.8M-62.6M-691.1K0.795.09N/AN/A1,4481,13961,91774,293
2013-05-23$32.72$31.4724.3%7.0%24.6%14.8%24.6%3.3%0.4%1.6M-51.2M-701.6K0.4810.74N/AN/A2,1811,05162,42975,073
2013-05-24$32.61$31.4723.9%6.9%20.5%14.0%24.0%3.2%0.8%1.5M-47.0M-710.4K0.166.06N/AN/A67411062,93875,735
2013-05-28$33.21$31.4725.1%7.2%21.0%16.6%24.3%3.0%-0.0%2.0M-67.4M-679.3K0.435.34N/AN/A2,8001,19263,16975,692
2013-05-29$32.94$31.4725.1%7.2%21.5%16.6%25.0%3.0%-0.0%2.2M-61.0M-682.3K0.806.14N/AN/A77962165,19476,541
2013-05-30$32.94$31.4725.3%7.2%21.4%16.8%24.9%3.0%-0.1%2.2M-60.5M-681.9K0.675.70N/AN/A52735465,63276,747
2013-05-31$32.51$31.4726.1%7.5%22.4%18.6%25.9%2.9%-0.1%1.8M-45.8M-686.8K0.556.88N/AN/A67737065,65876,935