A Options History — July 2013

In July 2013, A traded between $30.82 and $33.48. ATM implied volatility averaged 26.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.5% (HV 20d: 20.5%). Max pain ranged from $30.76 to $31.47. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2013-07-10: Highest Volume — 18,673 contracts
  • 2013-07-11: Largest IV spike — 23.7% change
  • 2013-07-31: Highest IV Rank — 30.2%
  • 2013-07-31: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.41$30.82$33.48$31.18$32.00
Max Pain$31.05$30.76$31.47$31.47$31.47
ATM IV26.0%20.6%31.6%21.3%31.6%
Expected Move7.8%6.1%9.1%6.1%9.1%
HV 20d20.5%15.5%24.2%23.0%16.5%
HV 60d22.2%20.3%25.1%24.7%21.0%
IV Rank18.4%7.2%30.2%8.5%30.2%
IV Percentile55.6%8.3%88.1%11.5%88.1%
Term Structure-1.2%-6.0%5.8%5.5%-6.0%
VWIV27.6%21.4%32.6%22.3%32.6%
Skew 25d3.2%2.5%4.1%2.5%3.1%
Skew 10d6.7%5.0%8.9%5.0%5.7%
Call IV 25d26.0%20.7%30.9%20.7%30.9%
Put IV 25d29.2%23.2%34.0%23.2%34.0%
Bid-Ask Spread %9.268.2010.858.9010.85
Gamma HHI0.130.120.140.130.12
Net GEX1.6M-3.1M4.6M-2.5M1.3M
Net DEX-50.5M-107.0M33.4M16.9M-24.2M
Net VEX-850.4K-922.1K-781.0K-845.4K-813.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.114.690.781.39
Total Volume4,266.68275518,6734,8382,100
Total OI200,662.318180,595217,229180,665205,219

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$31.18$31.4721.3%6.1%23.0%8.5%22.3%2.5%5.5%-2.5M16.9M-845.4K0.788.90N/AN/A2,7192,11973,672106,993
2013-07-02$30.82$31.4721.8%6.3%23.3%9.7%21.4%2.7%5.6%-3.1M33.4M-831.6K0.539.03N/AN/A87846873,722106,873
2013-07-03$30.88$31.4722.0%6.3%22.4%10.0%21.9%2.8%5.8%-2.9M30.4M-817.9K0.269.50N/AN/A1,00225674,255107,179
2013-07-05$31.64$30.7620.8%7.8%23.9%7.5%29.2%4.1%-0.5%-1.3M-2.6M-803.2K2.378.29N/AN/A22854174,551107,248
2013-07-08$31.73$30.7621.8%7.8%23.9%9.6%26.3%3.9%-0.9%-1.1M-6.9M-794.7K0.678.20N/AN/A1,9151,29074,611107,308
2013-07-09$31.90$30.7620.6%7.6%23.7%7.2%26.3%4.1%-0.7%-438.0K-18.8M-781.0K1.239.23N/AN/A8,33310,21276,079107,756
2013-07-10$32.41$30.7620.8%7.6%24.2%7.6%26.1%3.8%-0.7%1.3M-49.3M-845.6K1.079.83N/AN/A9,0189,65583,444114,512
2013-07-11$32.70$30.7625.8%7.4%24.0%17.9%27.7%3.9%-0.7%2.5M-71.5M-918.4K0.268.25N/AN/A2,41062291,329121,616
2013-07-12$32.73$30.7626.0%7.4%23.6%18.3%29.1%4.1%-0.7%2.5M-70.1M-922.1K0.228.50N/AN/A4,7691,03691,682121,563
2013-07-15$32.98$30.7627.6%7.9%23.2%21.8%27.2%3.1%-1.7%3.1M-85.7M-920.7K0.118.86N/AN/A6,26471292,592121,285
2013-07-16$32.84$30.7627.6%7.9%23.2%21.7%27.2%3.0%-1.8%3.4M-80.2M-915.3K0.868.53N/AN/A60351695,145121,304
2013-07-17$32.63$30.7627.5%7.9%23.2%21.4%28.0%3.1%-1.8%3.2M-72.5M-893.4K1.6210.42N/AN/A45373494,993121,469
2013-07-18$32.83$30.7627.0%7.8%20.4%20.6%26.7%3.2%-1.7%3.7M-83.8M-880.8K0.3110.49N/AN/A2,04964295,086121,791
2013-07-19$33.05$30.7626.8%7.7%16.9%20.0%26.7%2.9%-1.6%4.1M-97.4M-865.5K0.338.69N/AN/A1,16638695,425121,804
2013-07-22$33.48$30.7626.8%7.7%16.7%20.0%28.8%2.9%-2.2%4.6M-107.0M-829.6K3.168.75N/AN/A1,0783,40489,524106,613
2013-07-23$33.24$30.7628.2%8.1%15.6%23.0%27.8%3.4%-3.0%4.1M-94.6M-843.2K4.699.77N/AN/A1,5147,10089,946107,610
2013-07-24$33.45$31.4727.9%8.0%15.6%22.4%27.7%2.6%-3.1%3.4M-97.3M-848.8K0.259.64N/AN/A2,19955890,452113,488
2013-07-25$33.38$31.4728.7%8.2%15.5%24.0%29.0%2.5%-3.6%3.6M-95.7M-846.4K0.618.37N/AN/A47028590,723112,865
2013-07-26$32.62$31.4729.2%8.4%17.7%25.2%31.3%2.6%-3.7%2.3M-57.3M-848.6K2.9510.62N/AN/A4751,40290,831112,929
2013-07-29$32.43$31.4731.1%8.9%17.5%29.1%31.4%2.9%-4.7%2.1M-46.4M-826.2K1.009.92N/AN/A52352191,043113,255
2013-07-30$32.08$31.4731.4%9.0%17.1%29.7%31.8%2.9%-5.3%1.3M-30.1M-818.2K0.989.16N/AN/A62861491,284113,502
2013-07-31$32.00$31.4731.6%9.1%16.5%30.2%32.6%3.1%-6.0%1.3M-24.2M-813.4K1.3910.85N/AN/A8781,22291,478113,741