A Options History — August 2014

In August 2014, A traded between $38.87 and $41.89. ATM implied volatility averaged 27.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.0% (HV 20d: 19.4%). Max pain ranged from $39.34 to $39.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-08-14: Highest Volume — 21,733 contracts
  • 2014-08-14: Largest IV drop — 57.6% change
  • 2014-08-13: Highest IV Rank — 81.9%
  • 2014-08-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.51$38.87$41.89$40.11$40.89
Max Pain$39.34$39.34$39.34$39.34$39.34
ATM IV27.4%14.5%54.9%34.4%14.5%
Expected Move6.8%6.3%7.4%7.3%6.3%
HV 20d19.4%17.5%20.9%18.8%18.8%
HV 60d16.6%15.4%17.3%16.5%16.5%
IV Rank24.2%0.0%81.9%37.7%0.0%
IV Percentile43.3%0.0%99.2%88.1%0.0%
Term Structure0.8%-8.7%5.8%-8.7%2.0%
VWIV24.1%21.2%29.2%24.5%22.1%
Skew 25d1.9%0.2%3.2%1.8%0.5%
Skew 10d4.3%2.2%7.0%4.6%2.8%
Call IV 25d20.4%15.3%34.3%34.3%15.5%
Put IV 25d22.3%16.0%36.1%36.1%16.0%
Bid-Ask Spread %25.7422.5629.8726.4223.95
Gamma HHI0.280.240.810.240.28
Net GEX9.5M5.2M59.0M7.8M7.6M
Net DEX-99.2M-159.9M-44.9M-94.2M-108.1M
Net VEX-583.6K-663.0K-540.2K-663.0K-540.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.052.330.441.64
Total Volume4,053.1917421,733787174
Total OI112,364.09594,653144,689120,99298,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$40.11$39.3434.4%7.3%18.8%37.7%0.0%1.8%-8.7%7.8M-94.2M-663.0K0.4426.42N/AN/A54524284,55736,435
2014-08-04$40.24$39.3435.1%7.0%18.9%39.2%24.5%2.2%-0.5%8.5M-97.7M-640.2K0.1425.97N/AN/A1,71523584,88936,598
2014-08-05$39.51$39.3437.9%7.3%19.0%45.2%26.2%2.1%-1.1%7.1M-76.4M-617.9K0.5828.02N/AN/A39022685,17736,756
2014-08-06$39.76$39.3438.2%7.3%19.2%45.7%0.0%2.6%-0.1%7.6M-79.2M-626.0K0.0523.49N/AN/A1,5017485,28436,927
2014-08-07$39.38$39.3439.0%7.4%19.3%47.4%0.0%2.4%-0.2%6.9M-70.8M-603.9K0.8425.98N/AN/A24320685,18236,953
2014-08-08$39.51$39.3442.8%7.3%19.4%55.7%0.0%2.5%-0.1%6.9M-70.4M-603.6K0.2725.91N/AN/A6,3021,73285,22537,090
2014-08-11$39.48$39.3448.2%7.4%19.3%67.4%0.0%2.9%0.8%6.4M-64.7M-575.6K0.8328.05N/AN/A5,6494,70083,15738,505
2014-08-12$38.87$39.3450.1%7.2%19.9%71.4%25.4%2.6%1.2%5.2M-44.9M-587.6K1.3226.46N/AN/A1,9852,61487,34441,871
2014-08-13$39.18$39.3454.9%7.1%20.1%81.9%25.4%3.2%2.2%5.9M-53.0M-587.8K2.3322.56N/AN/A1,3673,19287,85343,520
2014-08-14$39.79$39.3423.3%7.0%17.5%13.6%26.0%2.5%0.9%7.5M-72.9M-594.6K0.3225.66N/AN/A16,4685,26587,60445,154
2014-08-15$41.19$39.3415.9%6.5%20.4%0.0%24.2%1.3%5.8%59.0M-159.9M-590.5K0.4327.18N/AN/A15,1676,48196,13848,551
2014-08-18$41.86$39.3415.7%6.5%20.9%0.0%24.6%1.9%1.7%6.9M-129.5M-567.1K0.8629.87N/AN/A1,2791,10461,79232,861
2014-08-19$41.89$39.3416.0%6.5%20.0%0.7%22.6%2.2%1.5%7.0M-133.7M-560.3K0.6926.78N/AN/A54437762,54833,240
2014-08-20$41.72$39.3416.4%6.5%20.0%1.7%21.2%1.7%1.3%7.0M-129.0M-570.6K0.6223.55N/AN/A46128762,67233,387
2014-08-21$41.48$39.3415.8%6.5%19.7%0.3%21.4%0.7%1.5%6.8M-122.4M-566.4K0.1523.85N/AN/A95114462,86433,443
2014-08-22$41.23$39.3415.7%6.4%19.7%0.0%29.2%1.8%1.6%7.0M-116.4M-569.7K1.3723.68N/AN/A34747463,32533,549
2014-08-25$41.30$39.3415.5%6.4%19.6%0.0%22.3%1.7%1.6%7.3M-121.1M-543.0K0.7027.13N/AN/A46032263,50333,822
2014-08-26$41.38$39.3415.4%6.4%19.5%0.0%0.0%2.1%1.8%7.1M-119.9M-554.8K0.2026.14N/AN/A56111263,54633,913
2014-08-27$41.04$39.3415.3%6.4%19.3%0.0%0.0%0.5%1.6%7.4M-112.4M-549.3K2.1425.32N/AN/A28561063,93233,953
2014-08-28$40.88$39.3414.9%6.4%18.8%0.0%22.8%0.2%1.8%7.4M-107.4M-543.4K0.4324.55N/AN/A2289864,06634,153
2014-08-29$40.89$39.3414.5%6.3%18.8%0.0%22.1%0.5%2.0%7.6M-108.1M-540.2K1.6423.95N/AN/A6610864,18234,125