A Options History — October 2014 In October 2014, A traded between $36.99 and $40.71. ATM implied volatility averaged 28.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.3% (HV 20d: 23.6%). Max pain ranged from $37.55 to $42.92. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.87.
Notable Days 2014-10-15 : Highest Volume — 30,508 contracts2014-10-09 : Largest IV spike — 18.5% change2014-10-16 : Highest IV Rank — 53.2%2014-10-16 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.78 $36.99 $40.71 $40.20 $39.57 Max Pain $40.12 $37.55 $42.92 $42.92 $37.55 ATM IV 28.0% 18.9% 37.6% 21.3% 31.4% Expected Move 7.7% 6.7% 9.0% 6.9% 7.7% HV 20d 23.6% 16.7% 27.0% 16.7% 26.1% HV 60d 19.9% 17.9% 21.0% 17.9% 20.9% IV Rank 31.0% 10.0% 53.2% 15.7% 38.9% IV Percentile 65.2% 17.9% 93.3% 41.7% 80.2% Term Structure -2.6% -6.2% 5.6% 3.6% -4.4% VWIV 27.6% 23.8% 31.5% 23.9% 28.1% Skew 25d 3.7% 0.3% 7.8% 0.4% 4.3% Skew 10d 6.6% -0.9% 12.6% -0.9% 10.7% Call IV 25d 29.0% 20.1% 36.9% 21.1% 31.3% Put IV 25d 32.8% 20.7% 42.0% 21.5% 35.6% Bid-Ask Spread % 33.17 26.10 44.42 27.34 37.08 Gamma HHI 0.22 0.17 0.33 0.30 0.22 Net GEX 6.0M 2.3M 11.3M 9.7M 7.0M Net DEX -48.6M -93.4M 12.3M -77.6M -86.1M Net VEX -597.5K -642.3K -520.7K -641.7K -582.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.10 5.59 0.20 0.71 Total Volume 5,968.565 195 30,508 759 6,161 Total OI 139,147.565 130,489 164,263 138,273 133,270
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $40.20 $42.92 21.3% 6.9% 16.7% 15.7% 23.9% 0.4% 3.6% 9.7M -77.6M -641.7K 0.20 27.34 N/A N/A 632 127 96,617 41,656 2014-10-02 $39.94 $42.92 20.8% 6.9% 16.8% 14.4% 0.0% 2.2% 4.8% 8.9M -65.2M -622.9K 0.28 26.56 N/A N/A 1,629 450 96,684 41,686 2014-10-03 $40.71 $42.92 18.9% 6.7% 18.2% 10.0% 23.8% 0.3% 5.6% 11.3M -93.4M -642.3K 0.22 27.53 N/A N/A 551 123 97,421 41,789 2014-10-06 $40.46 $42.92 19.7% 6.8% 18.3% 11.9% 0.0% 1.7% -2.4% 10.5M -84.5M -613.5K 0.24 26.89 N/A N/A 157 38 97,357 41,816 2014-10-07 $39.34 $42.92 19.6% 6.9% 20.7% 11.6% 23.8% 2.0% -2.8% 6.3M -42.7M -562.8K 0.62 30.87 N/A N/A 1,179 731 97,380 41,816 2014-10-08 $40.37 $42.92 19.2% 6.8% 22.9% 10.7% 25.4% 2.1% -2.9% 9.6M -78.2M -602.2K 0.67 27.77 N/A N/A 2,634 1,759 97,664 42,031 2014-10-09 $39.42 $42.92 22.7% 7.1% 24.3% 18.9% 25.3% 2.2% -2.5% 6.6M -47.5M -579.5K 0.46 26.10 N/A N/A 4,328 1,988 98,310 42,162 2014-10-10 $38.51 $42.92 25.8% 7.5% 24.2% 26.0% 26.5% 1.3% -2.7% 4.5M -24.4M -575.5K 0.34 31.61 N/A N/A 4,978 1,713 100,442 42,607 2014-10-13 $37.80 $42.92 27.5% 7.9% 24.6% 29.8% 27.2% 2.6% -5.0% 3.5M -9.4M -533.8K 0.43 33.04 N/A N/A 4,672 2,031 101,766 42,551 2014-10-14 $37.66 $42.92 29.4% 7.9% 24.6% 34.4% 27.6% 3.4% -4.2% 3.2M -2.5M -522.8K 0.52 28.37 N/A N/A 2,649 1,380 102,338 42,962 2014-10-15 $37.09 $42.92 32.7% 8.9% 23.4% 41.9% 30.5% 7.8% -3.4% 2.3M 12.3M -520.7K 0.10 37.42 N/A N/A 27,673 2,835 102,040 44,057 2014-10-16 $36.99 $37.55 37.6% 9.0% 23.5% 53.2% 31.5% 5.1% -6.2% 3.4M -15.7M -626.0K 1.30 31.94 N/A N/A 5,975 7,788 113,818 44,388 2014-10-17 $37.39 $37.55 33.6% 8.7% 24.2% 44.1% 29.4% 5.4% -4.1% 3.3M -22.1M -637.0K 0.12 38.58 N/A N/A 4,797 579 114,552 49,711 2014-10-20 $37.44 $37.55 33.9% 8.3% 24.2% 44.6% 29.4% 4.9% -3.9% 3.4M -21.2M -598.5K 1.27 37.05 N/A N/A 4,436 5,654 82,594 47,895 2014-10-21 $38.57 $37.55 30.6% 7.8% 27.0% 37.2% 28.3% 6.6% -3.4% 5.0M -54.3M -641.4K 0.89 37.92 N/A N/A 2,059 1,830 82,769 49,208 2014-10-22 $37.95 $37.55 32.1% 8.2% 26.3% 40.6% 28.6% 3.6% -3.4% 4.4M -41.6M -621.2K 0.87 37.63 N/A N/A 2,152 1,875 82,802 49,334 2014-10-23 $38.38 $37.55 32.2% 8.2% 26.3% 40.8% 28.6% 4.2% -3.6% 5.0M -54.8M -622.6K 1.18 44.42 N/A N/A 1,636 1,928 83,052 49,625 2014-10-24 $38.63 $37.55 30.0% 7.8% 26.5% 35.8% 28.3% 4.9% -2.7% 5.3M -55.5M -620.0K 5.59 35.38 N/A N/A 1,331 7,446 82,946 49,702 2014-10-27 $38.59 $37.55 31.0% 7.9% 26.0% 37.9% 29.1% 5.3% -3.4% 5.2M -53.6M -599.2K 0.74 35.23 N/A N/A 2,971 2,213 82,913 49,263 2014-10-28 $39.09 $37.55 31.2% 7.7% 26.6% 38.5% 28.3% 4.9% -3.8% 6.4M -72.0M -609.5K 0.92 31.19 N/A N/A 2,068 1,911 84,153 49,520 2014-10-29 $39.00 $37.55 31.0% 7.6% 26.2% 38.0% 28.1% 4.8% -3.7% 6.1M -66.9M -583.0K 0.99 39.10 N/A N/A 2,152 2,138 83,195 49,282 2014-10-30 $38.84 $37.55 31.4% 7.6% 26.2% 38.9% 28.1% 6.0% -4.8% 5.9M -61.2M -584.4K 1.25 33.86 N/A N/A 1,745 2,175 83,954 49,296 2014-10-31 $39.57 $37.55 31.4% 7.7% 26.1% 38.9% 28.1% 4.3% -4.4% 7.0M -86.1M -582.9K 0.71 37.08 N/A N/A 3,608 2,553 83,856 49,414
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