A Options History — February 2014

In February 2014, A traded between $39.45 and $42.98. ATM implied volatility averaged 29.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 5.3% (HV 20d: 34.8%). Max pain ranged from $41.13 to $41.13. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-02-14: Highest Volume — 88,699 contracts
  • 2014-02-13: Largest IV drop — 26.4% change
  • 2014-02-12: Highest IV Rank — 45.8%
  • 2014-02-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.10$39.45$42.98$40.16$40.72
Max Pain$41.13$41.13$41.13$41.13$41.13
ATM IV29.5%22.3%39.2%37.6%23.6%
Expected Move8.2%8.1%8.4%8.4%8.1%
HV 20d34.8%26.1%42.4%26.1%39.5%
HV 60d26.9%21.0%27.8%26.5%27.8%
IV Rank25.7%10.7%45.8%42.6%13.5%
IV Percentile68.2%39.7%94.8%94.4%46.8%
Term Structure-0.6%-6.7%3.7%-6.7%-0.3%
VWIV29.1%26.8%32.7%32.7%31.4%
Skew 25d1.3%-3.1%4.5%2.5%0.0%
Skew 10d3.5%-4.3%11.1%4.7%0.5%
Call IV 25d27.5%22.9%36.6%36.6%24.1%
Put IV 25d28.9%22.7%39.2%39.2%24.1%
Bid-Ask Spread %7.054.1711.1410.995.87
Gamma HHI0.230.190.280.230.21
Net GEX4.1M983.0K9.3M2.6M5.8M
Net DEX-74.6M-118.3M-22.1M-49.3M-79.5M
Net VEX-753.7K-960.6K-534.5K-618.3K-941.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.171.340.460.89
Total Volume7,933.31672088,6992,3461,568
Total OI131,416.52698,921180,26798,921160,256

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$40.16$41.1337.6%8.4%26.1%42.6%0.0%2.5%-6.7%2.6M-49.3M-618.3K0.4610.99N/AN/A1,60274455,38643,535
2014-02-04$41.35$41.1335.3%8.2%28.1%37.8%0.0%4.1%-6.3%3.6M-75.5M-628.6K0.1910.50N/AN/A1,88936256,14543,957
2014-02-05$41.08$41.1335.8%8.2%27.7%38.7%0.0%4.5%-6.1%3.4M-68.4M-621.3K0.8311.14N/AN/A44036555,86444,055
2014-02-06$41.70$41.1335.6%8.2%27.6%38.4%32.7%4.3%-6.4%3.9M-85.1M-610.3K0.675.26N/AN/A43228856,04743,924
2014-02-07$42.50$41.1333.7%8.1%28.5%34.5%0.0%3.3%0.5%4.4M-104.3M-596.5K0.618.49N/AN/A45627756,35144,055
2014-02-10$42.21$41.1337.3%8.1%28.4%41.9%28.9%3.3%-0.1%4.4M-98.0M-583.4K1.345.49N/AN/A32643656,43344,058
2014-02-11$42.73$41.1338.2%8.1%28.8%43.7%0.0%3.4%0.1%4.8M-112.2M-566.5K0.997.30N/AN/A66866356,59844,282
2014-02-12$42.84$41.1339.2%8.1%28.2%45.8%27.5%3.2%-0.2%4.8M-113.9M-564.6K0.454.17N/AN/A1,77479456,64644,490
2014-02-13$42.98$41.1328.8%8.2%28.1%24.3%0.0%3.1%-0.8%4.8M-118.3M-565.2K1.215.71N/AN/A4,1194,99556,89344,628
2014-02-14$39.52$41.1324.6%8.2%40.8%15.6%28.8%-3.1%3.0%1.3M-22.1M-534.5K0.746.82N/AN/A50,91737,78259,26147,640
2014-02-18$39.45$41.1324.9%8.2%40.7%16.2%29.3%-1.5%3.0%983.0K-23.2M-945.7K0.587.09N/AN/A2,0621,188100,06579,183
2014-02-19$40.01$41.1325.0%8.3%41.2%16.4%28.5%-0.6%2.7%3.6M-48.7M-954.4K0.226.22N/AN/A7,6111,701100,67679,591
2014-02-20$40.98$41.1324.7%8.2%42.4%15.8%28.3%-0.4%3.5%9.3M-96.3M-960.6K0.757.28N/AN/A4,9273,71499,19978,779
2014-02-21$40.30$41.1324.1%8.2%41.9%14.4%0.0%-0.1%3.7%3.2M-56.3M-943.5K0.727.38N/AN/A1,8451,33599,26280,725
2014-02-24$40.59$41.1322.8%8.2%41.0%11.7%0.0%0.0%0.1%3.9M-65.4M-919.3K0.736.11N/AN/A1,8311,32881,70168,436
2014-02-25$40.69$41.1322.3%8.2%40.9%10.7%26.8%-0.2%0.4%4.2M-69.1M-919.0K0.345.72N/AN/A1,54851982,24969,443
2014-02-26$40.84$41.1322.7%8.2%41.0%11.4%0.0%-0.0%0.0%4.8M-75.4M-923.0K0.306.13N/AN/A1,88956583,22369,689
2014-02-27$40.31$41.1324.4%8.2%41.1%15.0%31.4%-0.3%-0.6%3.2M-56.2M-923.3K0.176.25N/AN/A6,6151,15884,25069,939
2014-02-28$40.72$41.1323.6%8.1%39.5%13.5%0.0%0.0%-0.3%5.8M-79.5M-941.4K0.895.87N/AN/A82874089,79470,462