A Options History — June 2014

In June 2014, A traded between $40.69 and $42.40. ATM implied volatility averaged 20.5%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.0% (HV 20d: 14.6%). Max pain ranged from $35.77 to $41.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2014-06-05: Highest Volume — 12,886 contracts
  • 2014-06-09: Largest IV spike — 6.5% change
  • 2014-06-16: Highest IV Rank — 12.4%
  • 2014-06-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.67$40.69$42.40$40.69$41.09
Max Pain$39.79$35.77$41.13$41.13$35.77
ATM IV20.5%18.9%22.7%18.9%19.3%
Expected Move7.3%7.0%7.6%7.2%7.1%
HV 20d14.6%11.6%18.0%17.6%12.4%
HV 60d18.4%17.7%19.2%19.2%17.7%
IV Rank7.7%4.0%12.4%4.0%4.9%
IV Percentile18.4%5.2%46.0%5.2%7.1%
Term Structure2.7%-0.9%5.7%-0.6%5.7%
VWIV26.6%24.5%29.1%26.9%28.5%
Skew 25d1.1%0.5%1.9%1.1%0.7%
Skew 10d2.4%-0.0%4.4%4.0%0.8%
Call IV 25d20.9%19.2%23.4%19.2%20.0%
Put IV 25d22.0%20.2%24.0%20.2%20.7%
Bid-Ask Spread %11.528.9217.1010.4913.58
Gamma HHI0.300.280.330.280.31
Net GEX8.0M5.3M11.9M6.7M5.3M
Net DEX-118.4M-160.0M-81.8M-81.8M-86.1M
Net VEX-701.8K-770.5K-607.6K-607.6K-676.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.020.970.440.55
Total Volume3,864.1943612,8863,116604
Total OI108,893.90589,717120,76589,717109,041

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$40.69$41.1318.9%7.2%17.6%4.0%0.0%1.1%-0.6%6.7M-81.8M-607.6K0.4410.49N/AN/A2,16395356,92032,797
2014-06-03$40.93$41.1319.4%7.3%17.0%5.2%26.9%0.6%-0.9%7.1M-89.4M-618.7K0.269.41N/AN/A1,96751758,36033,351
2014-06-04$41.09$41.1319.6%7.3%16.8%5.7%29.1%1.0%-0.9%7.4M-94.4M-631.3K0.1911.10N/AN/A3,33463359,37433,535
2014-06-05$41.92$41.1320.5%7.4%17.9%7.7%26.5%0.8%-0.4%8.1M-122.0M-642.5K0.7510.54N/AN/A7,3635,52361,49933,697
2014-06-06$42.21$41.1319.6%7.3%18.0%5.7%0.0%1.5%3.2%7.9M-130.6M-693.8K0.069.50N/AN/A11,87674065,95938,213
2014-06-09$42.40$41.1320.9%7.4%18.0%8.5%24.5%1.4%2.9%8.2M-140.3M-694.5K0.029.53N/AN/A11,37623368,21538,586
2014-06-10$42.12$41.1321.0%7.4%17.4%8.7%24.6%1.4%2.8%9.0M-136.0M-730.0K0.139.89N/AN/A2,72935573,35238,695
2014-06-11$42.14$41.1320.8%7.4%17.3%8.1%0.0%1.6%2.5%9.4M-136.9M-733.9K0.5610.17N/AN/A58332973,86338,880
2014-06-12$41.77$41.1321.4%7.5%16.3%9.5%27.2%0.5%3.2%9.2M-122.5M-725.1K0.0811.13N/AN/A6,60351374,08039,075
2014-06-13$41.85$41.1321.4%7.6%12.8%9.5%0.0%1.9%3.2%10.1M-137.9M-770.5K0.2211.41N/AN/A68615179,36239,152
2014-06-16$41.72$41.1322.7%7.6%12.8%12.4%0.0%0.6%2.6%10.1M-135.2M-748.9K0.1710.39N/AN/A3,81466179,43639,226
2014-06-17$42.11$41.1321.9%7.5%12.9%10.7%25.1%1.6%2.5%10.8M-149.1M-747.3K0.268.92N/AN/A1,65043580,35739,386
2014-06-18$42.40$41.1321.3%7.4%11.6%9.2%0.0%0.9%2.5%11.9M-160.0M-743.5K0.0213.55N/AN/A2,9265681,03839,675
2014-06-19$41.93$41.1322.0%7.6%12.4%10.8%0.0%0.9%2.7%9.7M-138.5M-731.8K0.1610.49N/AN/A3,65256979,11339,407
2014-06-20$42.04$41.1321.0%7.5%12.1%8.6%0.0%0.7%2.8%8.1M-145.2M-735.8K0.2011.74N/AN/A1,44129481,12239,643
2014-06-23$41.57$0.0020.4%7.1%12.6%7.3%26.8%1.0%4.1%6.4M-105.6M-709.0K0.7217.10N/AN/A1,9811,43670,82336,144
2014-06-24$41.24$35.7720.3%7.1%13.1%7.2%0.0%0.8%4.2%5.7M-94.3M-705.9K0.9714.45N/AN/A48947471,51737,192
2014-06-25$41.47$35.7720.0%7.0%12.2%6.5%28.5%1.4%4.6%6.0M-98.9M-699.7K0.5310.93N/AN/A48125371,45637,374
2014-06-26$41.36$35.7719.7%7.0%12.2%5.8%0.0%1.4%5.3%5.7M-93.3M-697.7K0.3014.69N/AN/A66820171,25737,559
2014-06-27$41.13$35.7719.2%7.0%12.4%4.8%0.0%0.8%5.2%5.4M-88.1M-693.6K0.2812.88N/AN/A3409671,32237,719
2014-06-30$41.09$35.7719.3%7.1%12.4%4.9%0.0%0.7%5.7%5.3M-86.1M-676.6K0.5513.58N/AN/A39021471,32237,719