A Options History — August 2013

In August 2013, A traded between $32.80 and $34.31. ATM implied volatility averaged 30.7%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 13.2% (HV 20d: 17.5%). Max pain ranged from $31.47 to $33.62. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2013-08-22: Highest Volume — 42,606 contracts
  • 2013-08-15: Largest IV drop — 63.9% change
  • 2013-08-14: Highest IV Rank — 96.1%
  • 2013-08-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.40$32.80$34.31$32.93$33.36
Max Pain$32.97$31.47$33.62$31.47$33.62
ATM IV30.7%21.0%63.3%32.2%22.1%
Expected Move7.0%6.0%9.3%9.2%6.3%
HV 20d17.5%14.5%19.5%19.0%14.5%
HV 60d19.8%18.8%21.7%21.7%18.8%
IV Rank28.1%8.0%96.1%31.3%10.3%
IV Percentile53.4%11.1%99.6%88.9%25.4%
Term Structure0.3%-6.4%2.5%-6.2%2.1%
VWIV24.6%20.9%33.5%33.5%22.5%
Skew 25d2.5%1.8%3.3%2.3%2.5%
Skew 10d5.3%3.4%7.0%5.8%5.2%
Call IV 25d23.8%20.5%31.8%31.7%21.7%
Put IV 25d26.3%22.7%34.0%33.9%24.2%
Bid-Ask Spread %7.204.9511.4410.789.21
Gamma HHI0.150.120.250.140.12
Net GEX3.5M2.1M5.3M3.1M2.4M
Net DEX-73.1M-131.4M-32.1M-74.9M-32.1M
Net VEX-692.3K-806.6K-611.8K-806.6K-629.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.146.364.890.18
Total Volume7,445.04574642,6066,8622,747
Total OI170,216.818120,895212,367206,064125,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$32.93$31.4732.2%9.2%19.0%31.3%33.5%2.3%-6.2%3.1M-74.9M-806.6K4.8910.78N/AN/A1,1655,69791,892114,172
2013-08-02$33.18$31.4732.3%9.3%17.4%31.5%32.4%2.1%-6.4%3.8M-90.5M-792.1K0.189.78N/AN/A1,53227192,457113,333
2013-08-05$32.86$33.6235.3%7.5%17.9%37.7%26.5%3.3%-0.5%3.4M-74.6M-765.6K0.975.82N/AN/A47746193,294112,944
2013-08-06$32.96$33.6236.0%7.5%17.9%39.3%25.9%3.3%-0.4%3.7M-80.7M-757.9K6.365.88N/AN/A7004,45393,588113,104
2013-08-07$33.10$32.9036.4%7.5%17.1%40.1%26.2%3.1%-0.3%4.3M-91.0M-749.8K4.425.92N/AN/A4732,08793,876110,299
2013-08-08$32.80$32.9037.3%7.4%17.3%41.9%25.9%3.3%-0.4%3.6M-72.2M-744.5K0.354.95N/AN/A55219493,967111,402
2013-08-09$33.06$32.9039.0%7.5%17.5%45.5%26.6%3.2%-0.4%4.2M-88.1M-733.3K0.735.05N/AN/A65847894,173111,497
2013-08-12$33.23$32.9047.6%7.8%17.4%63.4%27.8%3.2%-0.7%4.5M-97.9M-700.4K0.375.02N/AN/A3,6681,36794,379111,696
2013-08-13$33.56$32.9053.9%7.8%17.6%76.6%27.1%2.8%-0.7%5.0M-117.6M-694.4K0.296.04N/AN/A4,5141,29094,858112,128
2013-08-14$33.27$32.9063.3%8.0%17.7%96.1%28.2%2.8%-1.4%4.5M-101.1M-700.2K0.628.14N/AN/A6,3193,91795,759112,814
2013-08-15$33.59$32.9022.8%6.5%17.9%11.8%23.1%1.8%1.7%5.3M-131.4M-649.1K0.176.59N/AN/A23,0053,86498,504113,863
2013-08-16$33.47$32.9021.5%6.2%17.9%9.0%21.5%2.0%2.5%3.6M-108.8M-611.8K0.326.28N/AN/A16,9595,34594,807115,545
2013-08-19$33.22$32.9022.0%6.3%17.5%10.1%21.5%2.1%1.5%2.1M-39.7M-672.3K6.225.44N/AN/A8535,30461,48364,128
2013-08-20$33.64$32.9021.0%6.0%17.9%8.0%20.9%2.2%1.9%2.6M-50.8M-682.1K0.306.15N/AN/A1,99859161,98666,489
2013-08-21$33.54$32.9021.5%6.2%17.8%9.0%22.1%2.1%1.9%2.5M-49.6M-682.4K0.586.96N/AN/A3,0031,75363,34266,619
2013-08-22$34.31$32.9021.4%6.1%19.5%8.9%21.4%1.9%1.8%3.2M-74.4M-692.3K0.6811.44N/AN/A25,40417,20265,17367,584
2013-08-23$34.11$32.9021.1%6.0%17.5%8.1%21.3%2.1%2.0%3.5M-58.6M-638.6K0.297.05N/AN/A87925262,81258,083
2013-08-26$34.05$32.9021.0%6.0%17.3%8.0%21.1%2.2%2.1%3.7M-57.6M-630.8K2.177.99N/AN/A1,2602,73363,46258,229
2013-08-27$33.60$33.6222.7%6.5%17.6%11.4%22.3%2.1%1.6%3.1M-42.9M-627.2K0.178.92N/AN/A3,68862964,19159,612
2013-08-28$33.43$33.6222.1%6.3%17.7%10.3%21.9%2.3%1.9%3.0M-37.0M-638.9K1.287.75N/AN/A1,3621,74565,44559,886
2013-08-29$33.48$33.6222.0%6.3%14.6%10.1%21.9%2.2%2.1%2.9M-37.2M-630.0K0.147.23N/AN/A2,57736565,19661,223
2013-08-30$33.36$33.6222.1%6.3%14.5%10.3%22.5%2.5%2.1%2.4M-32.1M-629.6K0.189.21N/AN/A2,32841964,08461,392