A Options History — September 2014

In September 2014, A traded between $40.41 and $42.12. ATM implied volatility averaged 17.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.8% (HV 20d: 15.8%). Max pain ranged from $39.34 to $42.92. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-09-23: Highest Volume — 17,786 contracts
  • 2014-09-11: Largest IV spike — 8.7% change
  • 2014-09-25: Highest IV Rank — 11.1%
  • 2014-09-30: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.29$40.41$42.12$41.54$40.76
Max Pain$40.79$39.34$42.92$39.34$42.92
ATM IV17.7%15.8%19.4%15.8%19.3%
Expected Move6.5%6.3%6.8%6.4%6.8%
HV 20d15.8%11.3%19.5%19.5%16.1%
HV 60d17.2%16.6%18.1%16.8%18.0%
IV Rank7.2%3.0%11.1%3.0%10.9%
IV Percentile10.3%2.8%20.6%2.8%19.8%
Term Structure4.3%1.2%5.8%1.2%4.9%
VWIV23.1%21.9%28.0%22.8%28.0%
Skew 25d1.0%0.1%2.8%2.8%0.4%
Skew 10d2.9%-0.7%7.2%7.2%1.7%
Call IV 25d18.3%14.8%20.6%14.8%20.6%
Put IV 25d19.3%17.5%21.6%17.6%20.9%
Bid-Ask Spread %24.1418.9627.8826.5423.99
Gamma HHI0.290.260.390.260.36
Net GEX9.4M7.5M12.5M7.5M12.2M
Net DEX-128.3M-175.8M-87.1M-126.9M-102.7M
Net VEX-622.7K-703.9K-516.0K-524.7K-672.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.014.980.974.98
Total Volume4,719.1923917,7865903,387
Total OI118,889.57198,365136,16698,365136,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$41.54$39.3415.8%6.4%19.5%3.0%0.0%2.8%1.2%7.5M-126.9M-524.7K0.9726.54N/AN/A29929164,21934,146
2014-09-03$41.53$39.3416.3%6.4%18.0%4.1%22.8%0.9%1.6%7.5M-127.1M-521.1K0.0126.67N/AN/A5,1325064,37834,317
2014-09-04$41.27$39.3416.4%6.4%18.2%4.2%0.0%0.2%1.3%8.5M-126.2M-538.8K0.7924.30N/AN/A21917368,61134,318
2014-09-05$41.43$39.3416.2%6.4%17.7%3.8%0.0%1.9%4.1%8.4M-131.1M-538.4K0.7322.52N/AN/A13810168,55734,360
2014-09-08$41.24$39.3417.0%6.4%17.9%5.6%0.0%0.6%4.3%8.6M-127.3M-516.0K0.9821.79N/AN/A3,8103,72468,64734,396
2014-09-09$41.09$39.3416.4%6.4%18.0%4.3%23.1%0.3%4.4%8.8M-125.6M-571.0K0.9521.29N/AN/A3,8053,61171,78937,834
2014-09-10$41.27$39.3416.7%6.4%16.7%5.0%22.0%0.6%4.4%8.7M-129.2M-636.7K0.1220.36N/AN/A1,09912775,38441,234
2014-09-11$41.19$39.3418.1%6.4%16.7%8.3%0.0%1.3%4.4%8.8M-128.4M-626.5K0.1518.96N/AN/A3,83657775,81941,297
2014-09-12$41.92$39.3417.9%6.5%16.9%7.8%21.9%1.5%4.9%8.8M-159.7M-649.5K0.0422.32N/AN/A13,00145978,99141,115
2014-09-15$41.43$39.3418.2%6.5%12.8%8.5%0.0%1.7%4.7%9.1M-145.9M-649.7K0.0323.21N/AN/A4,91413483,37741,200
2014-09-16$41.42$39.3417.8%6.5%11.3%7.6%0.0%1.6%5.0%9.3M-145.3M-647.9K0.0921.94N/AN/A3,72133183,57841,231
2014-09-17$42.12$39.3417.3%6.3%12.9%6.3%22.7%2.3%5.1%9.7M-175.8M-639.9K0.4625.82N/AN/A1,25057984,57141,337
2014-09-18$41.77$41.1318.0%6.4%13.2%8.0%22.5%0.8%4.9%8.8M-160.7M-645.0K0.2424.33N/AN/A4,4221,06883,98941,577
2014-09-19$41.67$42.9217.9%6.5%13.0%7.8%22.9%0.4%5.3%8.8M-155.4M-656.5K0.1124.33N/AN/A5,98963984,48042,543
2014-09-22$41.17$42.9217.8%6.6%13.6%7.6%23.3%1.0%5.8%8.7M-109.0M-660.9K0.1527.43N/AN/A3,10445276,09337,654
2014-09-23$40.76$42.9217.9%6.6%14.0%7.8%23.0%0.4%5.0%8.6M-95.3M-650.4K0.0326.68N/AN/A17,26352377,58637,897
2014-09-24$41.46$42.9218.6%6.6%15.3%9.3%23.0%1.1%4.9%12.4M-126.8M-703.9K0.0726.44N/AN/A6,23943689,86838,308
2014-09-25$40.69$42.9219.4%6.7%16.5%11.1%22.6%0.1%4.3%11.8M-103.4M-681.5K0.9226.04N/AN/A64058996,55838,537
2014-09-26$40.41$42.9218.7%6.5%16.6%9.7%22.7%0.6%4.6%10.7M-87.1M-674.5K0.5927.88N/AN/A1,24073396,34538,676
2014-09-29$40.88$42.9219.2%6.7%17.2%10.8%23.7%1.0%4.6%12.5M-105.2M-671.9K1.1224.14N/AN/A47152796,42039,278
2014-09-30$40.76$42.9219.3%6.8%16.1%10.9%28.0%0.4%4.9%12.2M-102.7M-672.4K4.9823.99N/AN/A5662,82196,56339,603