A Options History — December 2013

In December 2013, A traded between $37.86 and $41.41. ATM implied volatility averaged 21.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.9% (HV 20d: 25.0%). Max pain ranged from $39.34 to $41.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-12-19: Highest Volume — 16,159 contracts
  • 2013-12-06: Largest IV drop — 8.5% change
  • 2013-12-19: Highest IV Rank — 12.2%
  • 2013-12-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.90$37.86$41.41$38.06$40.91
Max Pain$40.28$39.34$41.13$41.13$41.13
ATM IV21.1%19.3%23.0%20.9%20.6%
Expected Move8.1%7.9%8.3%8.2%8.2%
HV 20d25.0%15.4%34.0%33.7%16.9%
HV 60d24.8%24.0%25.3%24.9%24.5%
IV Rank8.2%4.4%12.2%7.7%7.2%
IV Percentile19.2%1.6%42.1%11.9%12.3%
Term Structure3.9%0.2%5.7%0.5%5.7%
VWIV29.8%25.5%36.3%30.2%28.8%
Skew 25d1.7%0.9%2.5%2.4%1.1%
Skew 10d3.9%1.3%7.6%5.1%5.6%
Call IV 25d21.1%19.5%23.1%20.0%21.3%
Put IV 25d22.8%21.4%24.5%22.4%22.4%
Bid-Ask Spread %9.193.5015.673.507.94
Gamma HHI0.260.210.470.210.22
Net GEX3.4M2.4M6.5M2.5M3.2M
Net DEX-98.6M-162.1M-51.3M-57.0M-82.5M
Net VEX-529.7K-630.4K-446.9K-453.9K-618.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.142.390.640.75
Total Volume3,492.76252616,1598391,179
Total OI112,899.81101,084136,846101,084112,783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$38.06$41.1320.9%8.2%33.7%7.7%0.0%2.4%0.5%2.5M-57.0M-453.9K0.643.50N/AN/A51232749,51251,572
2013-12-03$37.86$41.1319.9%8.2%33.8%5.6%0.0%1.8%0.9%2.4M-51.3M-458.8K0.426.79N/AN/A95339749,64951,554
2013-12-04$38.33$41.1320.5%8.1%34.0%7.0%30.2%1.7%1.1%2.8M-64.7M-446.9K1.0410.05N/AN/A5,1845,40549,73951,705
2013-12-05$38.27$41.1321.1%8.2%33.9%8.1%31.1%2.2%0.2%2.6M-61.5M-514.4K0.537.68N/AN/A34418253,03055,995
2013-12-06$39.22$41.1319.3%8.0%33.8%4.4%29.1%2.5%4.5%3.2M-87.1M-505.9K0.8411.00N/AN/A1,00884753,02956,018
2013-12-09$39.38$39.3420.4%8.0%33.6%6.7%27.5%1.8%4.5%3.6M-95.1M-483.7K0.998.60N/AN/A1,0141,00453,32156,146
2013-12-10$39.59$39.3420.1%8.0%33.5%6.1%0.0%1.7%4.4%3.6M-98.5M-481.3K2.3910.05N/AN/A6811,62752,95856,116
2013-12-11$39.23$39.3420.2%8.0%33.7%6.3%0.0%1.7%4.8%2.8M-86.5M-479.3K1.688.25N/AN/A25342552,84257,402
2013-12-12$39.53$39.3421.3%8.0%33.8%8.5%31.0%1.9%4.2%2.8M-92.6M-488.2K1.179.12N/AN/A9161,07552,87157,535
2013-12-13$39.46$39.3421.3%8.1%33.2%8.7%31.6%2.1%4.6%2.7M-92.0M-484.9K0.758.34N/AN/A61746053,13758,183
2013-12-16$39.51$39.3421.6%8.1%15.4%9.2%0.0%1.7%4.4%2.5M-93.9M-468.1K0.938.87N/AN/A3,9473,66853,06058,315
2013-12-17$40.32$39.3422.4%7.9%15.6%10.8%25.5%1.9%4.8%3.8M-120.9M-514.2K0.1910.33N/AN/A6,3621,22656,57461,841
2013-12-18$41.41$39.3422.1%8.0%17.7%10.3%31.6%2.0%4.8%5.2M-162.1M-497.0K0.1413.78N/AN/A3,80754260,28962,275
2013-12-19$41.04$39.3423.0%8.0%17.9%12.2%0.0%1.4%4.0%6.5M-153.4M-505.3K0.4315.67N/AN/A11,2804,87961,16961,845
2013-12-20$40.74$39.3422.1%8.2%18.1%10.3%28.7%1.5%4.4%5.6M-150.0M-624.3K0.518.32N/AN/A3,3541,72770,53666,310
2013-12-23$41.16$41.1321.7%8.3%18.1%9.4%0.0%0.9%4.8%3.3M-118.6M-630.4K0.377.64N/AN/A1,43453457,54759,633
2013-12-24$40.94$41.1321.6%8.2%17.3%9.3%28.6%1.4%4.6%3.3M-114.4M-626.6K0.847.52N/AN/A42435657,47359,699
2013-12-26$41.10$41.1321.4%8.2%17.1%8.9%36.3%1.1%4.5%3.4M-118.5M-620.0K0.687.83N/AN/A1,11675457,65160,009
2013-12-27$40.89$41.1321.2%8.2%17.4%8.4%28.7%1.1%4.8%3.2M-83.9M-616.1K1.8811.99N/AN/A30657649,85560,598
2013-12-30$41.00$41.1320.4%8.3%17.2%6.8%28.9%1.3%5.6%3.3M-86.2M-607.0K0.649.68N/AN/A1,6131,03349,99261,128
2013-12-31$40.91$41.1320.6%8.2%16.9%7.2%28.8%1.1%5.7%3.2M-82.5M-618.2K0.757.94N/AN/A67250750,95261,831