A Options History — January 2014

In January 2014, A traded between $40.21 and $43.58. ATM implied volatility averaged 25.5%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.7% (HV 20d: 17.8%). Max pain ranged from $41.13 to $41.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2014-01-03: Highest Volume — 6,752 contracts
  • 2014-01-16: Largest IV spike — 50.5% change
  • 2014-01-31: Highest IV Rank — 33.2%
  • 2014-01-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.04$40.21$43.58$40.21$41.60
Max Pain$41.13$41.13$41.13$41.13$41.13
ATM IV25.5%17.5%33.1%22.7%33.1%
Expected Move8.2%8.0%8.3%8.3%8.2%
HV 20d17.8%13.2%23.1%18.2%23.1%
HV 60d24.1%23.0%25.4%24.6%25.4%
IV Rank17.4%0.7%33.2%11.5%33.2%
IV Percentile51.9%0.4%88.9%43.3%88.9%
Term Structure-0.6%-4.6%5.5%4.7%-4.6%
VWIV30.6%27.9%36.9%27.9%28.0%
Skew 25d2.5%0.7%3.5%1.6%3.1%
Skew 10d5.5%3.6%7.2%3.6%5.1%
Call IV 25d26.7%21.6%32.1%22.2%32.1%
Put IV 25d29.2%22.3%35.2%23.7%35.1%
Bid-Ask Spread %8.165.8512.218.707.12
Gamma HHI0.250.220.290.220.23
Net GEX3.6M2.7M4.8M3.1M3.5M
Net DEX-100.8M-144.6M-66.6M-67.9M-79.4M
Net VEX-598.9K-633.3K-570.2K-614.0K-621.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.102.511.321.17
Total Volume2,575.0954366,7521,0673,441
Total OI108,026.8188,761123,358113,25597,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$40.21$41.1322.7%8.3%18.2%11.5%27.9%1.6%4.7%3.1M-67.9M-614.0K1.328.70N/AN/A46060751,05262,203
2014-01-03$40.72$41.1320.9%8.2%18.2%7.7%28.4%0.7%5.5%3.2M-79.2M-617.4K0.958.09N/AN/A3,4683,28451,28862,436
2014-01-06$40.52$41.1322.0%8.2%18.4%10.0%35.8%2.1%0.6%3.4M-79.5M-633.3K0.468.65N/AN/A29913754,24065,506
2014-01-07$41.09$41.1321.1%8.3%17.1%8.1%29.2%2.6%0.8%3.6M-94.4M-615.0K0.668.37N/AN/A79552654,19165,350
2014-01-08$41.77$41.1321.1%8.2%17.8%8.3%36.9%2.3%0.8%3.8M-108.6M-623.0K0.655.85N/AN/A78751054,70865,787
2014-01-09$41.78$41.1320.8%8.2%17.8%7.6%35.5%2.4%0.7%3.8M-111.5M-604.2K0.538.54N/AN/A39321054,84865,913
2014-01-10$42.15$41.1319.9%8.0%17.3%5.7%28.3%2.6%0.8%4.0M-119.0M-599.6K0.726.86N/AN/A1,07877454,92965,923
2014-01-13$42.15$41.1322.7%8.1%17.3%11.6%29.9%2.7%0.8%3.9M-121.4M-591.4K0.477.55N/AN/A1,95991155,68466,655
2014-01-14$42.83$41.1321.3%8.1%17.8%8.6%29.1%2.7%0.6%4.5M-136.4M-585.5K0.206.27N/AN/A2,75054156,12467,234
2014-01-15$43.16$41.1317.5%8.1%17.8%0.7%0.0%2.8%0.9%4.8M-142.1M-584.1K0.208.52N/AN/A3,89977955,76166,975
2014-01-16$43.28$41.1326.4%8.1%16.8%19.2%0.0%2.6%0.2%4.5M-143.6M-570.2K0.156.95N/AN/A5,27981155,18067,003
2014-01-17$43.43$41.1326.4%8.1%14.4%19.3%28.1%2.5%0.3%3.7M-144.6M-571.3K0.108.31N/AN/A3,11930855,90967,154
2014-01-21$43.53$41.1327.3%8.1%13.8%21.1%28.2%2.6%-1.6%3.4M-109.6M-572.2K0.3110.10N/AN/A1,24138947,84440,917
2014-01-22$43.58$41.1327.5%8.1%13.2%21.5%0.0%2.6%-1.8%3.5M-110.3M-575.1K0.598.75N/AN/A55832948,12241,129
2014-01-23$42.54$41.1327.8%8.1%16.2%22.0%29.5%2.5%-1.9%3.3M-91.7M-589.8K0.508.51N/AN/A78639048,32541,349
2014-01-24$41.39$41.1330.1%8.2%19.1%27.0%29.2%2.7%-3.1%2.7M-70.4M-600.5K2.5112.21N/AN/A5621,41148,71941,445
2014-01-27$41.70$41.1330.2%8.2%19.2%27.2%32.7%3.4%-2.8%3.0M-74.6M-596.7K0.6710.21N/AN/A1,21181148,89142,039
2014-01-28$41.56$41.1331.9%8.2%19.1%30.8%33.1%2.7%-4.0%2.9M-72.0M-601.0K0.265.94N/AN/A2,11154749,53542,491
2014-01-29$41.24$41.1332.8%8.3%19.4%32.5%29.9%3.5%-4.0%2.9M-66.6M-614.5K0.518.21N/AN/A91846650,82742,740
2014-01-30$42.57$41.1332.3%8.0%22.3%31.4%0.0%2.3%-4.3%3.5M-94.7M-597.7K0.307.66N/AN/A4,0321,19051,18543,008
2014-01-31$41.60$41.1333.1%8.2%23.1%33.2%28.0%3.1%-4.6%3.5M-79.4M-621.4K1.177.12N/AN/A1,5871,85454,36843,576