A Options History — May 2014

In May 2014, A traded between $38.85 and $40.85. ATM implied volatility averaged 28.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.7% (HV 20d: 18.6%). 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 13 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2014-05-14: Highest Volume — 20,811 contracts
  • 2014-05-15: Largest IV drop — 65.2% change
  • 2014-05-14: Highest IV Rank — 88.3%
  • 2014-05-06: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.75$38.85$40.85$38.96$40.73
Max Pain$41.13$41.13$41.13$41.13$41.13
ATM IV28.3%17.8%57.9%27.7%17.8%
Expected Move7.4%7.2%7.6%7.5%7.2%
HV 20d18.6%14.8%22.2%22.1%17.6%
HV 60d22.1%19.5%26.2%26.2%19.5%
IV Rank23.7%1.7%88.3%22.3%1.7%
IV Percentile44.3%1.6%99.6%71.0%1.6%
Term Structure-0.2%-5.4%2.2%-4.4%0.0%
VWIV26.8%23.9%31.8%24.9%24.0%
Skew 25d2.2%0.9%3.9%3.6%1.1%
Skew 10d5.1%3.4%7.8%6.3%4.6%
Call IV 25d21.2%17.6%28.7%27.3%17.8%
Put IV 25d23.4%18.9%32.6%30.9%18.9%
Bid-Ask Spread %10.749.0515.8010.8010.15
Gamma HHI0.270.190.900.200.28
Net GEX7.3M2.2M61.9M2.2M6.8M
Net DEX-48.4M-95.8M-4.0M-10.3M-82.0M
Net VEX-543.0K-632.0K-459.8K-489.6K-610.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.075.140.520.27
Total Volume6,314.71446420,8112,050667
Total OI114,841.47668,934151,793134,60589,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$38.96$41.1327.7%7.5%22.1%22.3%0.0%3.6%-4.4%2.2M-10.3M-489.6K0.5210.80N/AN/A1,35070066,00268,603
2014-05-02$39.01$41.1328.9%7.5%22.2%24.6%24.9%3.9%-5.4%2.2M-11.3M-483.6K5.149.13N/AN/A3681,89066,13068,569
2014-05-05$39.58$41.1333.2%7.6%22.0%33.6%31.8%3.1%0.7%3.1M-29.5M-482.4K3.659.63N/AN/A4,22515,43166,24869,692
2014-05-06$39.35$41.1335.3%7.6%20.5%38.0%0.0%3.0%0.8%2.4M-20.4M-473.6K1.189.78N/AN/A1,4431,70165,04269,637
2014-05-07$39.36$41.1336.0%7.5%20.4%39.5%0.0%2.6%0.6%2.8M-21.2M-459.8K0.9211.01N/AN/A4,2293,88665,99056,566
2014-05-08$39.56$41.1337.0%7.5%19.6%41.6%0.0%3.2%0.6%3.5M-37.4M-517.3K0.8810.71N/AN/A2,2862,02069,98259,804
2014-05-09$39.62$41.1337.6%7.5%16.7%42.9%0.0%2.7%0.6%3.8M-38.5M-508.7K0.8610.24N/AN/A4,3413,71471,07760,540
2014-05-12$40.35$41.1344.6%7.4%14.9%57.4%26.4%3.0%0.5%5.4M-76.5M-548.7K0.329.97N/AN/A3,9841,29375,00563,767
2014-05-13$40.65$41.1350.7%7.5%14.8%70.1%27.6%2.6%-1.3%6.7M-95.8M-537.7K0.209.27N/AN/A10,4252,05177,09863,886
2014-05-14$39.95$41.1357.9%7.6%16.5%88.3%0.0%1.9%-1.4%6.8M-75.1M-560.9K0.9411.81N/AN/A10,71610,09583,31464,026
2014-05-15$38.98$41.1320.1%7.4%18.8%6.8%29.6%1.5%2.0%6.5M-4.0M-504.9K0.5315.80N/AN/A7,3943,94883,95766,089
2014-05-16$39.36$41.1320.0%7.4%18.0%6.4%24.1%1.4%2.2%61.9M-54.1M-516.2K2.5011.55N/AN/A1,2833,20785,58066,213
2014-05-19$39.32$41.1318.9%7.4%18.0%4.2%0.0%1.7%0.4%2.8M-32.2M-488.6K0.5414.47N/AN/A5,0172,68643,80425,130
2014-05-20$38.85$41.1318.3%7.4%18.4%2.8%26.5%1.6%0.5%2.7M-30.2M-533.8K0.5610.55N/AN/A4,7492,66048,14627,619
2014-05-21$39.33$41.1317.8%7.3%19.0%1.8%26.1%1.8%0.5%3.9M-40.3M-568.0K0.4813.93N/AN/A5,4332,60652,31729,860
2014-05-22$39.73$41.1318.9%7.3%19.3%4.1%23.9%1.6%-0.0%4.6M-55.6M-632.0K0.079.07N/AN/A1,98714055,13732,344
2014-05-23$40.19$41.1318.5%7.3%18.6%3.2%0.0%1.6%0.1%5.5M-66.5M-630.4K0.439.65N/AN/A41217655,97532,452
2014-05-27$40.26$41.1318.5%7.2%17.9%3.3%25.6%1.2%-0.4%5.8M-69.6M-618.2K0.549.64N/AN/A52428555,96332,495
2014-05-28$40.85$41.1318.1%7.2%17.9%2.5%0.0%0.9%-0.3%6.6M-84.0M-619.4K0.079.05N/AN/A2,64417956,05732,641
2014-05-29$40.74$41.1318.1%7.2%17.6%2.4%30.7%1.4%-0.0%6.7M-81.9M-619.3K0.579.26N/AN/A29516956,76732,689
2014-05-30$40.73$41.1317.8%7.2%17.6%1.7%24.0%1.1%0.0%6.8M-82.0M-610.3K0.2710.15N/AN/A52614156,76732,691