A Options History — February 2015

In February 2015, A traded between $38.69 and $42.36. ATM implied volatility averaged 33.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.7% (HV 20d: 26.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.29.

Notable Days

  • 2015-02-10: Highest Volume — 83,896 contracts
  • 2015-02-06: Largest IV spike — 85.9% change
  • 2015-02-06: Highest IV Rank — 31.7%
  • 2015-02-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.53$38.69$42.36$38.69$42.21
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.1%20.9%66.5%40.5%20.9%
Expected Move8.6%6.0%11.6%11.6%6.0%
HV 20d26.4%21.5%30.0%29.4%21.7%
HV 60d24.9%24.3%25.5%24.7%24.7%
IV Rank14.2%7.8%31.7%18.1%7.8%
IV Percentile65.7%32.5%98.4%90.5%32.5%
Term Structure-7.6%-26.3%3.0%-6.5%0.5%
VWIV31.1%20.7%45.9%45.9%20.9%
Skew 25d-1.2%-5.6%0.1%-5.6%-0.9%
Skew 10d-2.2%-10.4%1.0%-10.4%0.6%
Call IV 25d32.2%22.8%46.7%46.7%22.8%
Put IV 25d31.0%21.9%41.1%41.1%21.9%
Bid-Ask Spread %25.769.4876.9429.4512.91
Gamma HHI0.280.220.440.240.24
Net GEX7.8M3.8M15.3M5.2M4.8M
Net DEX-78.2M-155.1M-15.8M-35.7M-89.4M
Net VEX-688.3K-883.0K-455.2K-582.5K-707.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.0311.800.830.51
Total Volume12,768.6841,45083,8966,0042,843
Total OI168,093.684100,010203,531176,465101,168

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$38.69$40.0040.5%11.6%29.4%18.1%45.9%-5.6%-6.5%5.2M-35.7M-582.5K0.8329.45N/AN/A3,2832,721133,21943,246
2015-02-03$39.61$40.0039.4%11.3%30.0%17.5%42.9%-4.1%-6.2%6.1M-26.0M-534.4K1.0253.04N/AN/A1,4781,503138,87646,604
2015-02-04$39.10$40.0040.2%11.5%29.9%17.9%42.8%-3.0%-7.6%4.6M-15.8M-499.6K0.9776.94N/AN/A1,6421,590138,81846,677
2015-02-05$39.54$40.0035.8%9.5%29.7%15.6%34.2%-0.4%-11.7%12.7M-95.8M-596.1K0.7729.07N/AN/A2,2811,745138,71546,785
2015-02-06$39.34$40.0066.5%9.4%27.4%31.7%33.1%-2.4%-21.9%15.3M-155.1M-647.4K0.8323.93N/AN/A4,5743,805139,32647,054
2015-02-09$39.03$40.0047.0%9.9%27.5%21.5%35.3%-1.2%-19.1%8.0M-64.6M-569.8K2.9722.24N/AN/A1,2613,746138,17147,999
2015-02-10$39.70$40.0042.3%9.6%27.9%19.0%36.2%0.1%-5.1%5.3M-19.9M-455.2K0.5521.57N/AN/A54,25829,638138,42748,077
2015-02-11$39.31$40.0034.0%9.8%27.6%14.7%32.2%-0.5%-26.3%13.0M-113.0M-873.3K10.6724.86N/AN/A1,54116,436150,88450,629
2015-02-12$40.02$40.0032.1%9.2%28.0%13.7%32.3%0.1%-15.4%8.6M-86.4M-883.0K11.8019.56N/AN/A1,39016,400150,90850,694
2015-02-13$40.17$40.0032.5%9.3%25.9%13.9%32.6%-0.4%-21.6%7.2M-75.9M-828.8K4.6022.35N/AN/A3,79917,476150,94350,786
2015-02-17$40.45$40.0033.0%9.5%26.0%14.1%34.6%-0.7%-6.7%10.8M-93.8M-815.0K2.5418.23N/AN/A7,89420,016151,00650,905
2015-02-18$41.53$40.0025.7%7.4%26.9%10.3%26.1%0.1%-2.4%14.3M-102.3M-789.5K2.8134.38N/AN/A6,07117,073152,35151,180
2015-02-19$41.15$40.0024.9%7.1%27.3%9.9%26.4%0.0%2.9%10.9M-87.3M-730.2K0.3824.68N/AN/A1,047403145,10749,193
2015-02-20$41.95$40.0024.1%6.9%25.0%9.5%24.4%-0.4%3.0%3.8M-94.5M-716.4K0.0321.15N/AN/A4,722162144,82549,136
2015-02-23$41.68$40.0023.9%6.9%23.7%9.4%24.2%-1.3%0.1%4.3M-82.3M-725.6K0.5911.97N/AN/A2,0291,20367,04332,967
2015-02-24$42.05$40.0023.2%6.6%23.7%9.0%22.9%-0.9%-0.2%4.4M-79.7M-703.4K0.6219.25N/AN/A1,9651,21566,87433,179
2015-02-25$42.22$40.0021.8%6.2%23.1%8.3%20.7%-0.5%0.7%4.7M-87.8M-703.6K0.6514.37N/AN/A1,28983767,60533,318
2015-02-26$42.36$40.0021.5%6.2%21.5%8.1%23.2%-0.5%0.1%4.7M-81.5M-716.4K0.369.48N/AN/A2,41085967,77233,313
2015-02-27$42.21$40.0020.9%6.0%21.7%7.8%20.9%-0.9%0.5%4.8M-89.4M-707.3K0.5112.91N/AN/A1,88296167,85733,311