A Options History — January 2015

In January 2015, A traded between $37.74 and $40.94. ATM implied volatility averaged 37.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 12.1% (HV 20d: 25.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-01-20: Highest Volume — 18,792 contracts
  • 2015-01-29: Largest IV drop — 45.1% change
  • 2015-01-02: Highest IV Rank — 30.1%
  • 2015-01-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.12$37.74$40.94$40.59$37.74
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV37.7%26.3%63.4%63.4%33.8%
Expected Move10.8%7.5%13.8%11.9%9.7%
HV 20d25.6%21.2%28.1%24.3%27.6%
HV 60d23.9%22.8%25.1%23.7%24.3%
IV Rank16.6%10.6%30.1%30.1%14.6%
IV Percentile82.0%52.8%98.0%98.0%75.4%
Term Structure0.7%-24.8%28.1%28.1%16.1%
VWIV42.2%35.0%47.3%47.3%45.5%
Skew 25d-1.9%-86.5%13.8%-86.5%7.1%
Skew 10d-15.7%-67.3%5.1%-22.6%-8.1%
Call IV 25d47.1%35.3%149.9%149.9%40.8%
Put IV 25d45.2%35.9%63.4%63.4%47.9%
Bid-Ask Spread %28.7617.6249.4922.1449.49
Gamma HHI0.270.230.320.320.25
Net GEX7.6M4.0M11.6M8.9M5.5M
Net DEX-82.6M-170.7M-18.9M-157.5M-27.6M
Net VEX-718.1K-910.1K-554.5K-797.2K-578.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.265.091.271.89
Total Volume6,731.151,61418,79217,8852,938
Total OI181,188149,720208,673175,477183,134

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$40.59$40.0063.4%11.9%24.3%30.1%47.3%-86.5%28.1%8.9M-157.5M-797.2K1.2722.14N/AN/A7,88410,001138,27837,199
2015-01-05$39.80$40.0041.0%12.3%25.1%18.3%43.9%-5.2%-4.2%7.2M-93.1M-738.6K0.3718.06N/AN/A6,6512,447120,17332,821
2015-01-06$39.18$40.0045.4%12.5%25.5%20.6%46.2%-5.1%-5.0%6.6M-77.3M-726.7K0.6222.13N/AN/A1,9521,209124,70034,583
2015-01-07$39.70$40.0032.1%11.6%25.5%13.7%41.8%-4.0%-2.3%7.5M-79.9M-727.2K0.5829.33N/AN/A8,9155,154124,71435,533
2015-01-08$40.94$40.0033.3%10.8%28.1%14.3%43.3%5.3%-24.8%11.2M-159.1M-910.1K1.5923.44N/AN/A2,5484,045159,22846,300
2015-01-09$40.65$40.0026.4%8.5%26.5%10.7%43.4%13.8%6.4%11.6M-170.7M-879.2K0.5127.13N/AN/A3,8141,963158,84946,138
2015-01-12$40.10$40.0029.7%10.2%26.9%12.4%45.8%10.1%-18.0%10.4M-144.2M-811.0K1.4123.79N/AN/A1,7452,457158,85146,310
2015-01-13$39.52$40.0034.8%10.6%26.5%15.1%35.0%9.3%-6.2%8.7M-122.3M-787.7K0.8627.13N/AN/A2,9622,550158,92846,318
2015-01-14$39.06$40.0043.2%12.4%25.0%19.5%42.6%10.3%2.9%8.5M-77.4M-759.3K0.2630.86N/AN/A8,3322,158158,69546,271
2015-01-15$38.02$40.0039.0%11.2%26.8%17.3%47.3%6.3%-18.8%6.6M-29.7M-675.3K1.0530.52N/AN/A3,1463,310162,27146,402
2015-01-16$38.25$40.0041.4%11.9%23.8%18.6%42.0%-4.8%-4.7%4.0M-18.9M-617.9K1.0120.24N/AN/A1,1631,175137,41940,607
2015-01-20$37.93$40.0038.3%11.0%22.4%16.9%41.8%-4.8%-1.3%4.1M-24.9M-554.5K0.4824.43N/AN/A12,7126,080116,14833,572
2015-01-21$38.16$40.0034.7%9.9%21.2%15.0%41.4%-5.1%-1.3%4.3M-21.9M-628.1K0.2717.62N/AN/A2,676718127,83739,166
2015-01-22$39.62$40.0037.5%10.8%25.4%16.5%40.0%1.4%3.5%9.2M-130.1M-789.8K0.3430.56N/AN/A4,3841,478133,84441,535
2015-01-23$38.81$40.0034.1%9.8%26.0%14.7%38.9%12.7%17.3%10.4M-110.9M-764.4K1.1839.62N/AN/A2,8873,404135,57741,571
2015-01-26$39.15$40.0036.5%10.5%26.3%16.0%36.0%-6.3%-4.4%6.6M-62.0M-673.2K5.0926.01N/AN/A2651,349131,37141,266
2015-01-27$38.75$40.0035.4%10.1%26.2%15.4%39.6%-7.4%-2.4%5.7M-49.9M-653.5K0.9723.76N/AN/A1,2001,163131,42241,992
2015-01-28$38.05$40.0048.0%13.8%26.7%22.0%41.8%6.1%5.6%7.0M-59.1M-673.4K1.0044.45N/AN/A2,2232,225137,26144,857
2015-01-29$38.45$40.0026.3%7.5%27.2%10.6%41.4%9.1%27.7%7.0M-35.6M-616.8K1.1244.53N/AN/A1,5761,764137,54245,077
2015-01-30$37.74$40.0033.8%9.7%27.6%14.6%45.5%7.1%16.1%5.5M-27.6M-578.0K1.8949.49N/AN/A1,0181,920137,99345,141