A Options History — July 2014

In July 2014, A traded between $39.45 and $41.82. ATM implied volatility averaged 25.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 10.1% (HV 20d: 15.3%). Max pain ranged from $35.77 to $39.34. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-07-31: Highest Volume — 14,750 contracts
  • 2014-07-10: Largest IV spike — 38.0% change
  • 2014-07-31: Highest IV Rank — 36.8%
  • 2014-07-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.71$39.45$41.82$41.67$40.12
Max Pain$37.07$35.77$39.34$35.77$39.34
ATM IV25.4%18.7%34.1%19.4%34.1%
Expected Move7.0%6.8%7.2%7.1%7.2%
HV 20d15.3%11.3%19.1%13.2%19.1%
HV 60d16.1%14.6%17.5%17.5%16.5%
IV Rank18.1%3.6%36.8%5.1%36.8%
IV Percentile52.9%5.2%88.1%7.9%88.1%
Term Structure-2.0%-8.3%7.2%6.0%-8.3%
VWIV28.1%22.9%41.9%28.3%23.6%
Skew 25d1.8%0.8%3.0%1.3%3.0%
Skew 10d3.5%0.1%6.3%1.5%6.3%
Call IV 25d26.1%19.4%32.7%19.6%32.7%
Put IV 25d27.9%20.4%35.7%20.9%35.7%
Bid-Ask Spread %20.9912.8727.4215.7522.82
Gamma HHI0.240.190.340.340.21
Net GEX5.6M2.9M7.5M6.3M5.6M
Net DEX-81.7M-115.4M-42.2M-105.6M-72.0M
Net VEX-608.4K-682.4K-571.1K-678.0K-576.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.021.550.590.02
Total Volume2,931.59116814,7505,61214,750
Total OI108,404.45596,430116,349109,388106,965

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$41.67$35.7719.4%7.1%13.2%5.1%28.3%1.3%6.0%6.3M-105.6M-678.0K0.5915.75N/AN/A3,5402,07271,50937,879
2014-07-02$41.52$35.7718.7%7.1%13.2%3.6%23.8%1.0%7.2%6.9M-105.1M-675.4K1.0215.10N/AN/A1,2951,31673,33136,389
2014-07-03$41.82$35.7719.3%7.1%11.4%5.1%0.0%1.4%6.4%7.5M-115.4M-682.4K1.0713.48N/AN/A13414473,89836,769
2014-07-07$41.57$35.7719.8%7.1%11.3%6.0%0.0%1.7%-1.7%7.1M-106.2M-651.4K0.2412.87N/AN/A1,34632273,88636,288
2014-07-08$40.88$35.7719.3%7.1%12.4%5.0%0.0%1.5%-1.4%5.7M-83.2M-626.6K0.3313.57N/AN/A1,10636673,33836,373
2014-07-09$40.70$35.7718.7%7.1%12.3%3.8%0.0%2.2%-0.7%5.3M-77.9M-623.2K0.0921.91N/AN/A2,91926074,02036,428
2014-07-10$40.41$35.7725.9%7.1%12.4%19.2%0.0%2.3%-1.1%4.5M-67.1M-614.1K0.3723.35N/AN/A59722173,71536,495
2014-07-11$40.49$35.7725.6%7.0%12.3%18.7%0.0%2.2%-1.1%4.9M-71.3M-618.9K0.8220.59N/AN/A2,3561,94275,66436,581
2014-07-14$40.64$35.7725.6%7.1%12.4%18.6%0.0%2.2%-1.1%5.2M-75.9M-615.2K1.2820.74N/AN/A51666177,58938,084
2014-07-15$40.53$35.7726.0%7.0%12.4%19.4%27.2%2.3%-1.4%4.7M-71.1M-602.4K1.2721.13N/AN/A18323377,40038,058
2014-07-16$40.74$35.7726.6%7.0%12.0%20.7%0.0%2.6%-2.3%5.2M-78.8M-601.7K0.1923.93N/AN/A3,67771477,54738,216
2014-07-17$39.45$35.7727.4%7.2%15.8%22.5%25.7%0.8%-2.6%2.9M-42.2M-575.2K0.1323.98N/AN/A5,08068577,73938,388
2014-07-18$40.16$35.7727.0%7.1%17.2%21.6%28.6%1.8%-1.9%4.6M-63.6M-579.7K0.3222.33N/AN/A1,87959679,03637,313
2014-07-21$40.57$35.7725.9%6.9%17.7%19.3%24.8%2.5%-2.7%5.2M-77.4M-571.6K0.6625.91N/AN/A80053162,98133,449
2014-07-22$41.29$39.3428.1%6.9%18.6%23.9%22.9%1.4%-4.5%6.1M-98.7M-573.7K0.1527.42N/AN/A5,63485363,47233,804
2014-07-23$41.11$39.3427.6%6.9%18.4%23.0%23.5%1.0%-4.4%6.5M-98.0M-602.9K1.0023.53N/AN/A50049967,35334,483
2014-07-24$40.66$39.3427.6%6.9%18.7%22.9%0.0%1.4%-4.8%6.0M-85.1M-594.8K1.0522.71N/AN/A34536367,56734,717
2014-07-25$40.44$39.3427.7%6.9%18.8%23.2%0.0%1.7%-4.7%5.8M-78.1M-587.2K0.0721.31N/AN/A9626467,61034,956
2014-07-28$40.26$39.3428.4%6.9%18.7%24.6%0.0%1.3%-5.5%5.7M-73.5M-580.5K0.6622.81N/AN/A2,0661,36368,40634,977
2014-07-29$40.08$39.3429.8%7.1%18.8%27.6%39.0%1.5%-5.4%5.6M-70.0M-571.1K1.5520.73N/AN/A6610269,87836,196
2014-07-30$40.62$39.3429.9%6.8%18.7%27.9%41.9%2.1%-6.9%6.2M-81.5M-581.0K0.2625.81N/AN/A1,14229569,88536,266
2014-07-31$40.12$39.3434.1%7.2%19.1%36.8%23.6%3.0%-8.3%5.6M-72.0M-576.9K0.0222.82N/AN/A14,42332770,56136,404