A Options History — April 2014

In April 2014, A traded between $37.66 and $40.54. ATM implied volatility averaged 24.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.4% (HV 20d: 21.0%). Max pain ranged from $41.13 to $41.13. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-04-22: Highest Volume — 20,985 contracts
  • 2014-04-10: Largest IV spike — 48.3% change
  • 2014-04-28: Highest IV Rank — 30.4%
  • 2014-04-11: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$37.66$40.54$40.31$38.66
Max Pain$41.13$41.13$41.13$41.13$41.13
ATM IV24.5%17.0%31.6%18.0%28.8%
Expected Move7.8%7.5%8.0%7.9%7.6%
HV 20d21.0%17.8%23.1%18.8%22.0%
HV 60d28.4%26.9%29.4%28.0%26.9%
IV Rank15.5%0.0%30.4%1.1%24.5%
IV Percentile45.3%0.0%81.0%0.4%74.6%
Term Structure-1.2%-6.4%8.5%8.5%-4.8%
VWIV27.3%23.9%31.1%27.3%25.6%
Skew 25d1.6%0.8%3.1%3.1%3.1%
Skew 10d3.5%-0.4%8.6%6.0%4.9%
Call IV 25d26.1%17.4%31.0%18.1%28.8%
Put IV 25d27.7%18.8%32.7%21.1%31.9%
Bid-Ask Spread %13.269.7519.4710.1413.78
Gamma HHI0.170.170.190.170.19
Net GEX1.5M-1.1M4.7M4.3M1.3M
Net DEX-9.4M-69.2M48.1M-64.8M-436.5K
Net VEX-681.1K-840.5K-488.0K-818.1K-497.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.097.261.030.52
Total Volume3,804.47649120,9853,1691,085
Total OI153,108.143131,111166,441155,703134,358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$40.31$41.1318.0%7.9%18.8%1.1%0.0%3.1%8.5%4.3M-64.8M-818.1K1.0310.14N/AN/A1,5641,60583,53572,168
2014-04-02$40.54$41.1317.5%7.8%19.0%0.0%27.3%1.7%7.3%4.7M-69.2M-827.8K4.5911.65N/AN/A1,0044,61284,29273,177
2014-04-03$40.49$41.1317.0%7.8%17.8%0.0%27.9%1.5%7.0%4.2M-62.2M-840.5K0.7810.54N/AN/A1,7361,36084,64276,493
2014-04-04$39.75$41.1317.4%7.8%18.7%0.9%23.9%1.1%-0.6%2.8M-33.0M-809.0K0.4119.47N/AN/A3,6241,47185,35876,933
2014-04-07$38.88$41.1319.9%7.8%19.9%6.0%28.5%1.3%-1.2%656.2K3.8M-765.4K0.3817.09N/AN/A3,0061,12885,99477,240
2014-04-08$39.10$41.1319.1%7.7%18.8%4.4%29.6%1.0%-1.3%1.1M-6.4M-778.1K0.6416.66N/AN/A78650287,31577,796
2014-04-09$39.75$41.1318.5%7.7%19.9%3.2%28.4%1.6%-1.8%2.6M-31.4M-802.7K0.5518.53N/AN/A31617586,78977,715
2014-04-10$38.66$41.1327.5%7.8%20.8%21.8%0.0%1.1%-1.5%158.8K7.5M-758.3K1.1014.14N/AN/A1,3781,51386,88677,740
2014-04-11$37.75$41.1328.0%8.0%22.2%22.8%26.2%0.8%-0.9%-1.0M41.4M-732.4K0.0913.05N/AN/A4,75740787,06078,232
2014-04-14$37.66$41.1327.7%8.0%22.0%22.3%0.0%1.4%-1.3%-1.1M48.1M-695.0K0.3813.05N/AN/A3,0801,18688,50277,939
2014-04-15$37.99$41.1327.1%7.9%21.1%21.0%25.3%1.8%-1.2%-796.0K38.7M-688.2K1.3713.99N/AN/A64488487,31677,943
2014-04-16$38.40$41.1326.1%7.9%21.7%19.0%0.0%1.2%-0.8%295.7K23.4M-680.1K1.6214.43N/AN/A27444586,74777,758
2014-04-17$39.09$41.1324.9%7.7%22.8%16.3%0.0%1.2%-0.7%-799.8K-5.6M-681.9K0.8512.75N/AN/A91877786,86377,781
2014-04-21$39.12$41.1326.0%7.7%22.6%18.6%0.0%1.7%-3.7%2.6M-20.0M-655.7K0.3613.70N/AN/A83630276,29072,102
2014-04-22$39.32$41.1326.3%7.6%22.1%19.4%31.1%1.2%-3.8%2.9M-25.7M-653.9K0.6311.95N/AN/A12,8748,11176,70472,260
2014-04-23$39.35$41.1326.8%7.6%22.1%20.4%0.0%1.4%-4.2%2.7M-23.0M-550.6K0.5010.11N/AN/A73036269,14666,096
2014-04-24$39.54$41.1327.4%7.6%22.2%21.7%28.4%0.9%-4.5%2.7M-29.3M-545.3K0.9110.12N/AN/A4,6544,21465,03866,300
2014-04-25$38.91$41.1327.8%7.5%22.7%22.4%25.6%1.7%-4.2%2.0M-12.5M-523.5K0.7411.62N/AN/A97672465,68965,422
2014-04-28$38.43$41.1331.6%7.7%23.1%30.4%30.6%1.8%-6.4%817.6K4.3M-512.5K7.2611.97N/AN/A2942,13165,46466,905
2014-04-29$38.13$41.1330.7%7.8%21.5%28.5%24.1%2.6%-5.8%-134.7K18.1M-488.0K0.279.75N/AN/A2,71573465,47467,809
2014-04-30$38.66$41.1328.8%7.6%22.0%24.5%25.6%3.1%-4.8%1.3M-436.5K-497.1K0.5213.78N/AN/A71237366,06868,290