A Options History — December 2014

In December 2014, A traded between $38.52 and $42.27. ATM implied volatility averaged 63.0%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 40.3% (HV 20d: 22.6%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2014-12-01: Highest Volume — 34,863 contracts
2014-12-29: Largest IV spike — 414.6% change
2014-12-22: Highest IV Rank — 100.0%
2014-12-22: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.01	$38.52	$42.27	$41.60	$40.94
Max Pain	$41.25	$40.00	$42.50	$42.50	$40.00
ATM IV	63.0%	25.0%	196.8%	25.0%	36.1%
Expected Move	11.4%	6.7%	18.0%	6.7%	12.2%
HV 20d	22.6%	17.0%	27.2%	23.2%	24.4%
HV 60d	23.7%	22.5%	24.8%	22.5%	24.4%
IV Rank	53.8%	15.8%	100.0%	31.5%	15.8%
IV Percentile	88.0%	58.3%	100.0%	58.3%	86.1%
Term Structure	-74.0%	-326.4%	311.2%	311.2%	5.6%
VWIV	38.2%	9.2%	59.2%	9.2%	44.9%
Skew 25d	-13.5%	-83.0%	30.6%	30.6%	-15.6%
Skew 10d	-40.4%	-231.6%	26.9%	26.9%	-41.2%
Call IV 25d	49.4%	15.8%	138.9%	15.8%	49.5%
Put IV 25d	35.9%	11.6%	55.9%	46.4%	33.9%
Bid-Ask Spread %	21.13	16.88	26.94	25.88	17.63
Gamma HHI	0.36	0.32	0.43	0.37	0.32
Net GEX	7.5M	4.7M	9.7M	5.5M	8.0M
Net DEX	-146.8M	-227.5M	-69.6M	-107.8M	-131.9M
Net VEX	-755.6K	-900.0K	-488.9K	-488.9K	-742.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.07	1.17	0.07	0.47
Total Volume	6,935	899	34,863	34,863	9,492
Total OI	149,358.909	105,863	179,191	105,863	140,097

Daily Data (22 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
2014-12-01	$41.60	$42.50	25.0%	6.7%	23.2%	31.5%	9.2%	30.6%	311.2%	5.5M	-107.8M	-488.9K	0.07	25.88	N/A	N/A	32,630	2,233	79,514	26,349
2014-12-02	$41.97	$42.50	29.0%	14.0%	20.8%	38.2%	17.3%	4.6%	281.8%	7.0M	-146.6M	-632.7K	0.22	18.67	N/A	N/A	8,492	1,879	96,586	26,957
2014-12-03	$42.26	$42.50	33.3%	7.6%	19.8%	45.2%	22.5%	1.6%	-24.7%	7.1M	-173.6M	-791.5K	0.31	16.88	N/A	N/A	10,558	3,276	107,625	27,369
2014-12-04	$42.27	$42.50	33.1%	9.9%	19.8%	44.8%	35.4%	-4.2%	-0.9%	7.7M	-128.9M	-710.9K	0.26	17.83	N/A	N/A	1,611	424	87,180	22,600
2014-12-05	$42.26	$42.50	28.9%	7.8%	17.0%	37.9%	14.3%	7.7%	-309.8%	7.1M	-196.9M	-764.5K	0.42	18.68	N/A	N/A	5,529	2,302	113,783	29,155
2014-12-08	$41.48	$42.50	30.4%	7.4%	17.8%	40.5%	52.6%	-2.8%	-326.4%	7.8M	-148.8M	-746.4K	0.77	18.02	N/A	N/A	2,313	1,783	114,560	30,031
2014-12-09	$41.39	$42.50	29.7%	9.6%	17.0%	39.3%	43.1%	-1.7%	-289.0%	7.7M	-93.8M	-735.7K	0.66	19.50	N/A	N/A	2,382	1,582	114,845	30,274
2014-12-10	$40.31	$42.50	44.1%	14.4%	19.3%	63.0%	43.1%	7.5%	-2.9%	7.3M	-131.5M	-722.5K	0.59	21.31	N/A	N/A	4,059	2,380	114,730	30,253
2014-12-11	$40.54	$42.50	38.7%	14.1%	19.5%	54.2%	44.5%	-53.8%	-308.1%	7.8M	-141.5M	-726.5K	0.78	25.92	N/A	N/A	2,156	1,675	115,005	31,155
2014-12-12	$39.77	$42.50	44.5%	13.6%	20.5%	63.7%	41.5%	-56.7%	-280.3%	6.5M	-99.8M	-676.0K	0.99	26.94	N/A	N/A	3,789	3,750	114,525	31,443
2014-12-15	$38.71	$42.50	41.3%	13.3%	22.2%	58.4%	24.7%	10.8%	4.2%	4.7M	-69.6M	-662.5K	0.44	25.78	N/A	N/A	4,216	1,871	115,729	33,624
2014-12-16	$38.52	$40.00	48.4%	8.8%	22.2%	70.2%	39.9%	-28.1%	-13.5%	6.2M	-90.9M	-782.7K	0.50	20.32	N/A	N/A	6,249	3,138	133,877	34,117
2014-12-17	$39.82	$40.00	29.5%	11.3%	25.6%	38.9%	37.7%	-83.0%	17.6%	6.7M	-156.6M	-829.2K	0.40	23.75	N/A	N/A	7,767	3,124	137,666	35,461
2014-12-18	$40.62	$40.00	37.1%	9.5%	26.6%	51.4%	45.6%	-68.2%	-19.5%	7.1M	-174.4M	-900.0K	0.64	21.07	N/A	N/A	2,465	1,575	142,405	36,786
2014-12-19	$41.38	$40.00	39.8%	11.9%	27.2%	55.9%	43.2%	-7.2%	1.8%	7.9M	-146.5M	-845.9K	0.20	17.76	N/A	N/A	1,880	373	117,540	30,731
2014-12-22	$41.83	$40.00	168.7%	18.0%	26.1%	100.0%	59.2%	-6.3%	-149.7%	7.8M	-227.5M	-847.2K	1.17	20.24	N/A	N/A	1,533	1,797	134,258	33,697
2014-12-23	$41.37	$40.00	178.1%	11.2%	26.4%	100.0%	47.1%	-6.2%	-153.0%	9.0M	-173.2M	-846.1K	1.01	21.18	N/A	N/A	1,163	1,170	134,558	33,996
2014-12-24	$41.13	$40.00	196.6%	16.8%	26.0%	100.0%	53.6%	-5.6%	-195.4%	8.2M	-218.3M	-796.7K	1.02	22.60	N/A	N/A	1,370	1,397	134,686	34,272
2014-12-26	$41.40	$40.00	38.3%	11.0%	26.2%	16.9%	43.0%	-4.6%	-7.7%	9.6M	-159.9M	-827.5K	0.52	20.90	N/A	N/A	1,941	1,005	134,729	34,289
2014-12-29	$41.39	$40.00	196.8%	10.9%	26.2%	100.0%	36.2%	-5.2%	-171.8%	9.7M	-169.9M	-797.2K	0.72	21.86	N/A	N/A	1,942	1,400	135,381	34,385
2014-12-30	$41.37	$40.00	37.7%	11.3%	24.4%	16.6%	41.7%	-9.5%	1.9%	9.2M	-142.7M	-750.1K	0.67	22.11	N/A	N/A	537	362	111,037	28,636
2014-12-31	$40.94	$40.00	36.1%	12.2%	24.4%	15.8%	44.9%	-15.6%	5.6%	8.0M	-131.9M	-742.8K	0.47	17.63	N/A	N/A	6,475	3,017	111,235	28,862