A Options History — September 2013

In September 2013, A traded between $33.57 and $37.30. ATM implied volatility averaged 22.1%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.7% (HV 20d: 16.4%). Max pain ranged from $33.62 to $35.05. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2013-09-19: Highest Volume — 36,176 contracts
  • 2013-09-19: Largest IV spike — 19.2% change
  • 2013-09-19: Highest IV Rank — 16.2%
  • 2013-09-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.50$33.57$37.30$33.57$36.66
Max Pain$33.94$33.62$35.05$33.62$35.05
ATM IV22.1%19.7%24.9%22.4%24.3%
Expected Move6.5%6.0%7.2%6.4%7.0%
HV 20d16.4%14.1%18.5%14.1%18.0%
HV 60d17.8%16.1%19.1%18.8%16.7%
IV Rank10.3%5.2%16.2%10.9%14.9%
IV Percentile26.0%4.4%56.7%29.0%48.8%
Term Structure1.8%0.8%2.6%1.8%1.5%
VWIV23.2%21.6%25.7%22.5%25.7%
Skew 25d2.0%0.7%3.0%2.4%1.7%
Skew 10d5.4%1.5%7.1%6.2%5.4%
Call IV 25d22.3%20.1%25.2%22.0%23.7%
Put IV 25d24.3%22.3%26.1%24.4%25.4%
Bid-Ask Spread %10.105.9016.298.8410.52
Gamma HHI0.150.120.230.120.14
Net GEX5.0M2.9M8.0M2.9M4.9M
Net DEX-100.2M-168.2M-38.2M-38.2M-121.6M
Net VEX-571.7K-627.9K-514.6K-627.9K-533.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.148.400.791.42
Total Volume4,386.561636,1761,3841,598
Total OI137,864.45127,628155,175127,628146,743

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$33.57$33.6222.4%6.4%14.1%10.9%22.5%2.4%1.8%2.9M-38.2M-627.9K0.798.84N/AN/A77261265,96661,662
2013-09-04$34.24$33.6221.3%6.1%15.6%8.6%22.0%2.5%2.4%4.0M-63.3M-615.6K1.2010.48N/AN/A48558266,46161,986
2013-09-05$34.11$33.6221.4%6.1%15.7%8.9%22.3%2.6%2.3%3.8M-58.7M-615.0K0.388.63N/AN/A51319466,74662,356
2013-09-06$33.93$33.6221.8%6.9%15.4%9.6%24.9%3.0%1.5%3.6M-52.4M-619.8K1.257.24N/AN/A31539467,05562,498
2013-09-09$34.30$33.6221.9%6.8%15.6%9.8%23.8%3.0%1.6%4.2M-64.0M-601.6K0.627.96N/AN/A38023667,27562,734
2013-09-10$34.73$33.6220.3%6.5%16.0%6.5%23.0%2.7%1.9%4.8M-81.2M-590.2K0.397.97N/AN/A2,24287067,43162,855
2013-09-11$35.02$33.6219.7%6.4%15.9%5.2%22.9%2.6%1.8%5.2M-91.9M-583.3K0.289.22N/AN/A80522668,11963,448
2013-09-12$34.78$33.6221.9%6.3%15.8%9.8%22.4%2.5%1.8%5.3M-83.4M-583.2K8.405.90N/AN/A5064,25168,37163,476
2013-09-13$34.66$33.6222.1%6.3%15.6%10.2%22.6%2.3%1.9%5.1M-76.7M-590.5K1.137.37N/AN/A9341,05768,53766,805
2013-09-16$34.86$33.6221.4%6.1%15.6%8.8%22.3%2.2%1.9%5.4M-84.4M-566.8K0.9610.95N/AN/A82379368,92067,698
2013-09-17$34.96$33.6221.4%6.1%15.1%8.8%21.7%2.2%1.9%5.6M-89.5M-559.6K0.406.06N/AN/A1,02140869,16768,050
2013-09-18$35.28$33.6220.9%6.0%14.9%7.8%21.6%2.2%2.1%6.0M-104.3M-544.9K0.578.47N/AN/A1,7701,01669,59768,255
2013-09-19$36.47$33.6224.9%7.2%18.3%16.2%25.3%0.7%1.2%4.7M-144.2M-514.6K0.2512.02N/AN/A29,0137,16369,49768,615
2013-09-20$37.30$34.3324.3%7.0%18.3%14.9%24.7%0.7%0.8%8.0M-168.2M-545.6K0.2812.85N/AN/A5,9121,65582,16773,008
2013-09-23$36.96$34.3323.9%6.9%18.5%14.1%24.2%1.6%1.0%5.2M-136.5M-545.4K1.3512.59N/AN/A2,2963,09974,57868,720
2013-09-24$36.91$34.3322.5%6.5%18.5%11.2%23.4%1.3%1.8%5.2M-133.9M-546.1K0.3813.00N/AN/A2,23484275,21971,115
2013-09-25$37.07$34.3322.3%6.4%17.4%10.8%22.6%1.7%1.7%5.4M-140.1M-536.2K0.4415.87N/AN/A1,65173075,93271,320
2013-09-26$37.26$34.3321.7%6.2%17.0%9.3%22.8%1.3%2.4%5.4M-143.5M-549.1K0.1416.29N/AN/A6,77892476,47871,695
2013-09-27$36.93$35.0521.9%6.3%17.7%9.9%23.5%1.7%2.6%4.8M-127.7M-566.1K1.619.75N/AN/A1,0081,62274,51272,222
2013-09-30$36.66$35.0524.3%7.0%18.0%14.9%25.7%1.7%1.5%4.9M-121.6M-533.5K1.4210.52N/AN/A66193774,51572,228