A Options History — March 2014

In March 2014, A traded between $39.12 and $42.04. ATM implied volatility averaged 24.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.2% (HV 20d: 27.4%). Max pain ranged from $41.13 to $41.13. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-03-05: Highest Volume — 32,243 contracts
  • 2014-03-06: Largest IV drop — 25.0% change
  • 2014-03-05: Highest IV Rank — 34.7%
  • 2014-03-14: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.39$39.12$42.04$40.57$40.00
Max Pain$41.13$41.13$41.13$41.13$41.13
ATM IV24.2%20.3%33.8%29.5%20.4%
Expected Move8.2%8.1%8.4%8.2%8.1%
HV 20d27.4%17.9%38.8%38.8%19.9%
HV 60d27.9%27.6%28.4%27.7%28.0%
IV Rank14.3%5.9%34.7%25.6%6.0%
IV Percentile40.5%4.8%86.1%75.4%4.8%
Term Structure3.6%-5.9%6.9%-3.1%6.7%
VWIV29.5%26.6%32.4%27.9%26.6%
Skew 25d1.8%0.4%3.2%0.4%3.2%
Skew 10d3.2%-1.1%4.8%1.7%4.2%
Call IV 25d23.7%18.7%32.5%29.5%18.7%
Put IV 25d25.4%21.7%34.3%29.8%21.8%
Bid-Ask Spread %10.335.9618.4812.5111.38
Gamma HHI0.190.150.280.200.16
Net GEX4.0M-456.4K8.7M4.7M3.3M
Net DEX-59.4M-130.3M-8.6M-72.3M-48.6M
Net VEX-912.7K-1.0M-824.2K-941.9K-839.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.333.221.700.33
Total Volume8,788.09595932,24318,7651,865
Total OI176,018.762151,351198,597160,753154,691

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$40.57$41.1329.5%8.2%38.8%25.6%0.0%0.4%-3.1%4.7M-72.3M-941.9K1.7012.51N/AN/A6,94411,82189,84470,909
2014-03-04$41.33$41.1331.6%8.2%37.2%30.2%27.9%0.7%-4.3%5.8M-107.7M-999.3K0.548.77N/AN/A5,6633,03695,41479,963
2014-03-05$41.34$41.1333.8%8.3%35.7%34.7%32.4%1.8%-5.9%5.9M-106.9M-1.0M0.415.96N/AN/A22,8399,40497,71281,189
2014-03-06$42.04$41.1325.4%8.1%36.1%17.1%0.0%2.1%-0.8%8.7M-130.3M-939.3K1.1413.85N/AN/A12,70914,45494,63183,932
2014-03-07$41.79$41.1325.2%8.3%35.8%16.7%26.7%0.8%4.9%6.8M-108.1M-922.3K2.369.86N/AN/A1,8054,25689,80981,144
2014-03-10$41.60$41.1325.4%8.3%35.1%17.3%31.3%1.3%5.2%7.4M-100.9M-894.2K0.866.73N/AN/A13,20611,32490,42178,204
2014-03-11$40.67$41.1325.3%8.2%35.9%17.0%0.0%2.3%4.3%4.4M-67.7M-973.5K1.0411.48N/AN/A3,6943,832100,27288,801
2014-03-12$40.82$41.1324.8%8.3%35.6%15.8%28.3%1.9%4.1%5.0M-75.1M-981.1K0.419.43N/AN/A2,8531,163101,40790,757
2014-03-13$39.95$41.1325.2%8.3%36.2%16.8%28.7%2.0%3.6%1.2M-28.7M-957.8K1.7111.39N/AN/A9061,546101,10891,247
2014-03-14$39.66$41.1325.7%8.4%36.1%17.2%0.0%2.1%3.2%-456.4K-8.6M-943.7K0.9511.70N/AN/A3,9543,772100,79391,502
2014-03-17$39.91$41.1325.3%8.3%20.5%16.3%29.1%2.4%3.5%705.7K-26.7M-922.2K0.769.35N/AN/A888678103,06590,848
2014-03-18$40.62$41.1322.9%8.2%21.3%11.3%29.8%2.6%4.7%5.7M-68.1M-903.5K0.3511.24N/AN/A3,7441,317103,03390,892
2014-03-19$40.51$41.1322.3%8.2%20.8%10.0%28.2%2.1%5.2%5.2M-61.8M-897.1K0.608.54N/AN/A4,0532,438103,78890,972
2014-03-20$40.56$41.1320.6%8.1%18.9%6.4%0.0%2.1%6.2%6.3M-63.9M-886.9K1.3910.26N/AN/A4,7316,561103,93390,342
2014-03-21$40.12$41.1320.8%8.3%18.4%6.8%32.4%1.4%6.1%2.8M-44.2M-909.6K3.2218.48N/AN/A1,4064,524107,41191,186
2014-03-24$39.53$41.1322.1%8.2%18.9%9.6%31.2%2.0%5.6%2.2M-30.7M-856.2K0.7310.27N/AN/A3,0282,21980,24071,111
2014-03-25$39.46$41.1320.4%8.2%18.8%6.1%30.8%1.9%6.5%2.3M-30.7M-854.8K1.087.50N/AN/A1,1621,26081,77271,204
2014-03-26$39.46$41.1320.9%8.2%18.7%7.2%29.9%1.4%6.4%2.3M-28.6M-856.8K2.338.59N/AN/A7861,82982,15272,043
2014-03-27$39.12$41.1321.0%8.1%18.4%7.3%28.7%1.2%6.6%1.9M-18.0M-842.0K0.697.91N/AN/A1,13478782,58571,376
2014-03-28$39.12$41.1320.3%8.1%17.9%5.9%0.0%1.1%6.9%1.9M-19.4M-824.2K0.5011.81N/AN/A63732282,85971,832
2014-03-31$40.00$41.1320.4%8.1%19.9%6.0%26.6%3.2%6.7%3.3M-48.6M-839.6K0.3311.38N/AN/A1,40146482,85971,832