A Options History — June 2013

In June 2013, A traded between $30.26 and $32.55. ATM implied volatility averaged 25.1%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.9% (HV 20d: 21.1%). Max pain ranged from $31.47 to $32.90. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2013-06-11: Highest Volume — 30,152 contracts
  • 2013-06-20: Largest IV spike — 17.5% change
  • 2013-06-20: Highest IV Rank — 21.9%
  • 2013-06-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.41$30.26$32.55$32.55$30.59
Max Pain$32.37$31.47$32.90$31.47$31.47
ATM IV25.1%22.3%27.7%25.9%22.3%
Expected Move7.2%6.4%7.9%7.4%6.4%
HV 20d21.1%16.6%23.8%22.4%21.7%
HV 60d24.2%23.4%25.1%23.8%24.4%
IV Rank16.4%10.6%21.9%18.2%10.6%
IV Percentile44.6%20.2%68.7%52.4%20.2%
Term Structure3.1%-0.2%5.2%-0.2%5.2%
VWIV25.6%22.6%28.2%26.8%22.7%
Skew 25d3.5%2.8%4.2%3.1%3.5%
Skew 10d7.4%6.0%9.5%6.7%7.1%
Call IV 25d24.2%21.2%26.2%25.3%21.5%
Put IV 25d27.7%24.6%30.2%28.5%24.9%
Bid-Ask Spread %9.707.1315.898.538.72
Gamma HHI0.110.090.140.100.13
Net GEX-706.9K-4.0M1.8M1.8M-3.4M
Net DEX6.2M-46.2M72.5M-46.2M43.4M
Net VEX-780.6K-873.7K-649.9K-677.9K-854.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.365.731.261.38
Total Volume5,921.9567830,1522,2781,197
Total OI169,073.65142,708197,063142,708179,998

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$32.55$31.4725.9%7.4%22.4%18.2%26.8%3.1%-0.2%1.8M-46.2M-677.9K1.268.53N/AN/A1,0071,27165,67077,038
2013-06-04$32.49$31.4726.2%7.5%22.4%18.8%25.4%2.8%0.3%1.8M-45.0M-674.2K1.667.69N/AN/A1,8193,02465,73877,093
2013-06-05$31.85$31.4726.6%7.6%23.8%19.6%26.9%3.4%0.2%841.6K-19.3M-676.7K1.117.64N/AN/A1,2181,34866,73479,213
2013-06-06$32.20$31.4726.5%7.6%23.7%19.4%26.5%2.9%0.4%1.2M-30.6M-679.2K0.3615.89N/AN/A5,2841,91566,87279,847
2013-06-07$32.30$32.9024.3%7.5%23.6%14.9%26.0%3.9%2.9%1.5M-36.0M-663.7K2.2310.72N/AN/A1,1312,52667,31680,284
2013-06-10$32.00$32.9024.9%7.4%23.8%16.2%26.5%3.6%3.0%499.0K-19.2M-658.5K2.839.63N/AN/A1,2553,54767,63881,969
2013-06-11$31.76$32.9025.6%7.6%23.3%17.6%26.0%4.1%3.2%358.6K-10.9M-649.9K0.968.90N/AN/A15,34414,80868,20882,587
2013-06-12$31.42$32.9024.9%7.4%22.5%16.1%28.2%3.3%3.7%-223.4K34.4K-849.2K1.1110.10N/AN/A2,8443,15281,98296,451
2013-06-13$31.82$32.9025.8%7.4%18.2%18.1%25.8%3.4%3.6%405.9K-15.9M-853.8K0.708.96N/AN/A63544382,18497,898
2013-06-14$31.47$32.9025.5%7.3%17.8%17.3%25.2%3.3%3.7%-325.0K377.1K-839.4K1.127.13N/AN/A9871,10982,36698,036
2013-06-17$31.75$32.9025.1%7.2%17.5%16.5%24.8%3.1%4.1%226.7K-12.0M-819.7K0.668.43N/AN/A80253082,77798,443
2013-06-18$32.05$32.9023.7%6.8%16.6%13.5%23.7%3.2%4.2%1.0M-28.1M-805.9K2.329.19N/AN/A1,1112,57882,96998,647
2013-06-19$31.13$32.9023.5%6.7%18.7%13.3%23.7%2.8%4.2%-1.1M18.3M-785.0K5.7312.07N/AN/A2,23512,79983,59699,286
2013-06-20$30.27$32.9027.7%7.9%20.5%21.9%27.5%4.0%2.8%-3.1M72.5M-848.9K1.1214.09N/AN/A6,0326,74582,535109,879
2013-06-21$30.74$32.1925.2%7.2%21.5%16.7%25.5%3.6%3.8%-4.0M51.1M-873.7K3.108.84N/AN/A1,7825,52185,093111,970
2013-06-24$30.26$32.1926.3%7.5%22.0%19.0%26.3%3.8%3.7%-2.7M55.5M-855.4K0.768.90N/AN/A78859771,708100,466
2013-06-25$30.39$32.1924.8%7.1%20.6%16.0%26.8%4.0%4.2%-2.6M50.4M-846.1K2.997.98N/AN/A1,1353,39472,648100,551
2013-06-26$30.29$32.1924.0%6.9%20.6%14.3%24.8%4.2%4.2%-3.2M57.5M-841.3K1.929.03N/AN/A2,0023,84672,858102,866
2013-06-27$30.82$32.1922.3%6.4%21.9%10.7%22.6%3.4%5.2%-3.2M38.4M-858.3K0.7311.48N/AN/A39128773,505106,554
2013-06-28$30.59$31.4722.3%6.4%21.7%10.6%22.7%3.5%5.2%-3.4M43.4M-854.8K1.388.72N/AN/A50269573,479106,519