A Options History — March 2015 In March 2015, A traded between $40.63 and $42.71. ATM implied volatility averaged 21.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 19.4%). 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 18 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2015-03-02 : Highest Volume — 2,898 contracts2015-03-24 : Largest IV spike — 14.0% change2015-03-10 : Highest IV Rank — 9.3%2015-03-11 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $41.59 $40.63 $42.71 $42.71 $41.56 Max Pain $42.16 $40.00 $42.50 $40.00 $42.50 ATM IV 21.1% 17.6% 23.7% 21.6% 19.4% Expected Move 6.1% 5.0% 6.7% 6.2% 5.6% HV 20d 19.4% 17.4% 21.1% 20.0% 19.8% HV 60d 24.0% 22.7% 24.9% 24.8% 23.4% IV Rank 7.9% 6.1% 9.3% 8.1% 7.0% IV Percentile 33.2% 9.1% 44.0% 36.1% 24.2% Term Structure 1.0% -16.3% 5.7% 0.1% -6.8% VWIV 21.2% 17.7% 24.5% 20.2% 20.5% Skew 25d 1.3% -1.7% 3.3% 0.8% 3.3% Skew 10d 3.5% 0.0% 11.4% 0.8% 4.4% Call IV 25d 21.1% 18.0% 23.8% 23.0% 18.0% Put IV 25d 22.4% 19.1% 24.7% 23.8% 21.3% Bid-Ask Spread % 16.34 11.34 20.46 18.33 19.82 Gamma HHI 0.25 0.23 0.31 0.24 0.25 Net GEX 4.9M 3.4M 7.4M 5.2M 5.2M Net DEX -72.0M -109.8M -46.2M -96.7M -74.6M Net VEX -650.9K -710.4K -598.3K -684.8K -631.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.20 1.82 0.88 1.22 Total Volume 1,180 170 2,898 2,898 1,653 Total OI 107,627.409 100,529 115,850 101,394 115,534
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 2015-03-02 $42.71 $40.00 21.6% 6.2% 20.0% 8.1% 20.2% 0.8% 0.1% 5.2M -96.7M -684.8K 0.88 18.33 N/A N/A 1,544 1,354 68,037 33,357 2015-03-03 $42.24 $40.00 20.8% 6.0% 19.6% 7.8% 20.3% -1.7% 1.0% 5.6M -109.8M -687.3K 1.16 15.37 N/A N/A 826 956 68,259 33,606 2015-03-04 $42.02 $40.00 21.4% 6.1% 18.5% 8.1% 21.5% -1.6% 0.2% 5.2M -101.5M -690.7K 1.26 20.34 N/A N/A 935 1,177 68,246 33,639 2015-03-05 $42.22 $42.50 20.3% 6.1% 17.5% 7.5% 21.4% 1.1% 3.7% 4.9M -77.4M -692.2K 0.94 15.06 N/A N/A 1,048 985 68,298 33,816 2015-03-06 $41.51 $42.50 21.3% 6.1% 18.7% 8.0% 22.6% 2.1% -10.0% 4.8M -80.5M -669.8K 1.34 15.08 N/A N/A 948 1,271 68,201 33,818 2015-03-09 $41.74 $42.50 21.1% 6.2% 18.6% 7.9% 22.5% 1.9% 3.3% 4.6M -68.7M -642.1K 0.79 11.34 N/A N/A 96 76 67,240 33,319 2015-03-10 $40.63 $42.50 23.7% 6.6% 21.1% 9.3% 23.3% 1.4% 3.2% 3.4M -46.2M -614.9K 1.82 13.63 N/A N/A 179 325 67,268 33,369 2015-03-11 $40.85 $42.50 23.3% 6.7% 20.4% 9.1% 23.2% 1.8% 3.4% 3.7M -49.3M -615.0K 0.20 14.20 N/A N/A 205 40 67,336 33,285 2015-03-12 $41.10 $42.50 22.9% 6.6% 20.0% 8.9% 23.1% 1.5% 3.1% 4.0M -55.6M -618.1K 1.15 14.90 N/A N/A 271 312 67,454 33,285 2015-03-13 $40.87 $42.50 23.0% 6.6% 19.3% 8.9% 22.0% 1.9% 3.4% 3.6M -46.9M -598.3K 0.90 14.67 N/A N/A 192 172 67,362 33,167 2015-03-16 $41.81 $42.50 22.0% 6.3% 20.8% 8.4% 24.5% 1.4% 2.9% 4.9M -67.4M -603.4K 0.98 15.91 N/A N/A 153 150 67,435 33,246 2015-03-17 $41.58 $42.50 21.8% 6.2% 20.8% 8.3% 21.8% 1.8% 3.4% 5.5M -72.2M -688.8K 0.50 17.34 N/A N/A 194 97 82,406 33,313 2015-03-18 $42.12 $42.50 20.6% 5.9% 19.2% 7.6% 20.4% 1.4% 4.4% 6.8M -86.9M -710.4K 0.56 20.46 N/A N/A 109 61 82,331 33,404 2015-03-19 $42.21 $42.50 20.6% 5.9% 18.8% 7.6% 20.6% 1.2% 4.3% 7.4M -86.4M -698.5K 0.48 17.01 N/A N/A 130 62 82,397 33,406 2015-03-20 $42.21 $42.50 18.6% 5.3% 17.6% 6.6% 19.7% 0.8% 5.7% 5.2M -87.3M -693.7K 0.40 14.29 N/A N/A 919 367 82,398 33,452 2015-03-23 $42.20 $42.50 17.6% 5.0% 17.4% 6.1% 17.7% 0.5% 5.3% 5.0M -70.9M -632.1K 0.39 17.96 N/A N/A 1,615 636 77,688 31,966 2015-03-24 $41.09 $42.50 20.1% 5.8% 19.6% 7.4% 19.6% 1.6% 4.2% 4.1M -54.0M -629.7K 0.30 16.89 N/A N/A 1,412 420 78,494 32,286 2015-03-25 $40.81 $42.50 20.9% 6.0% 19.6% 7.8% 21.0% 1.4% 4.6% 3.9M -50.9M -613.8K 0.31 13.57 N/A N/A 976 302 79,497 32,541 2015-03-26 $40.74 $42.50 21.2% 6.1% 19.5% 8.0% 21.2% 1.6% -6.3% 4.4M -60.9M -633.3K 1.59 19.94 N/A N/A 668 1,060 81,520 33,851 2015-03-27 $41.11 $42.50 21.0% 6.0% 19.9% 7.8% 19.5% 2.1% 4.6% 4.1M -55.1M -622.2K 0.33 15.39 N/A N/A 335 109 79,953 32,760 2015-03-30 $41.70 $42.50 20.7% 5.9% 20.1% 7.7% 20.7% 2.4% -16.3% 5.5M -84.4M -648.3K 1.26 17.98 N/A N/A 716 904 81,722 33,841 2015-03-31 $41.56 $42.50 19.4% 5.6% 19.8% 7.0% 20.5% 3.3% -6.8% 5.2M -74.6M -631.6K 1.22 19.82 N/A N/A 744 909 81,693 33,841
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