A Options History — April 2015

In April 2015, A traded between $41.35 and $43.51. ATM implied volatility averaged 27.1%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.9% (HV 20d: 17.2%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-04-24: Highest Volume — 10,150 contracts
  • 2015-04-20: Largest IV spike — 53.7% change
  • 2015-04-15: Highest IV Rank — 17.7%
  • 2015-04-15: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$41.35$43.51$41.36$41.35
Max Pain$40.12$40.00$42.50$42.50$40.00
ATM IV27.1%18.9%39.8%19.3%21.1%
Expected Move7.9%5.5%11.4%5.5%6.0%
HV 20d17.2%14.4%20.8%19.8%15.3%
HV 60d20.8%17.8%23.1%23.1%17.8%
IV Rank11.1%6.8%17.7%6.9%7.9%
IV Percentile51.2%18.3%87.7%21.4%36.1%
Term Structure8.0%-0.8%22.2%2.3%2.1%
VWIV25.4%17.8%36.1%20.9%21.7%
Skew 25d10.0%-0.3%25.4%1.5%-0.1%
Skew 10d9.9%-0.7%21.4%1.8%13.5%
Call IV 25d20.0%14.3%26.2%19.5%21.8%
Put IV 25d30.0%20.9%40.8%20.9%21.8%
Bid-Ask Spread %45.8222.0893.2722.0871.26
Gamma HHI0.280.250.360.250.36
Net GEX6.3M4.6M7.4M4.6M5.1M
Net DEX-93.4M-130.0M-51.7M-60.3M-51.7M
Net VEX-593.5K-664.8K-492.6K-629.6K-492.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.263.320.751.24
Total Volume2,951.23879210,1502,8602,366
Total OI117,749.19114,863121,210115,646121,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$41.36$42.5019.3%5.5%19.8%6.9%20.9%1.5%2.3%4.6M-60.3M-629.6K0.7522.08N/AN/A1,6311,22981,79433,852
2015-04-02$42.10$40.0020.7%7.3%20.8%7.7%27.9%3.8%0.6%5.6M-78.9M-652.9K1.4927.72N/AN/A1,1151,66682,51234,233
2015-04-06$41.97$40.0019.5%6.1%19.9%7.1%24.8%16.7%18.4%6.0M-85.8M-623.8K1.3036.65N/AN/A1,3021,68982,49934,715
2015-04-07$42.42$40.0018.9%5.5%20.1%6.8%21.2%16.4%22.2%6.2M-93.8M-634.6K0.9431.15N/AN/A1,6031,51482,25234,761
2015-04-08$42.26$40.0026.6%7.6%17.4%10.8%26.8%2.0%-0.8%5.9M-85.1M-629.4K0.3424.44N/AN/A59319980,63134,232
2015-04-09$42.49$40.0036.7%10.5%17.4%16.1%36.0%18.1%9.2%6.3M-102.5M-664.8K1.6929.19N/AN/A9631,62882,51035,448
2015-04-10$43.51$40.0026.6%7.6%19.0%10.8%26.5%5.7%1.6%6.9M-108.6M-654.4K0.9228.32N/AN/A1,3481,24682,63735,442
2015-04-13$43.06$40.0036.8%10.5%19.3%16.1%28.9%17.0%9.5%7.1M-116.5M-658.4K1.9327.55N/AN/A7531,45183,09335,433
2015-04-14$43.04$40.0037.7%10.8%17.8%16.6%30.9%18.9%10.4%7.4M-115.6M-639.6K2.0329.80N/AN/A6171,25283,01935,483
2015-04-15$43.33$40.0039.8%11.4%17.7%17.7%21.4%25.0%21.6%7.4M-130.0M-602.4K1.8032.47N/AN/A7271,31282,94735,510
2015-04-16$43.21$40.0037.5%10.8%17.3%16.5%36.1%21.6%15.9%7.2M-123.2M-613.2K1.5532.39N/AN/A8581,32882,88435,506
2015-04-17$42.98$40.0025.0%7.2%17.5%9.9%26.1%1.3%0.5%6.6M-104.5M-599.9K1.3827.55N/AN/A1,6142,22382,56935,522
2015-04-20$43.20$40.0038.4%11.0%17.5%17.0%26.0%25.4%19.3%6.8M-116.2M-565.3K0.8752.06N/AN/A1,5301,33780,97434,679
2015-04-21$42.91$40.0030.4%8.7%17.7%12.8%17.8%12.4%7.5%6.6M-105.3M-569.6K0.6158.79N/AN/A1,49290581,24334,718
2015-04-22$42.71$40.0022.4%6.4%14.7%8.6%22.2%6.2%5.4%6.6M-93.4M-568.8K1.1774.82N/AN/A9911,15581,81934,750
2015-04-23$42.59$40.0030.2%8.7%14.4%12.7%29.3%13.7%8.0%6.4M-92.2M-566.6K0.9058.06N/AN/A2,1461,92481,27134,988
2015-04-24$42.54$40.0020.6%5.9%14.4%7.6%22.7%1.9%3.6%6.4M-84.4M-542.9K0.2657.62N/AN/A8,0282,12282,60635,673
2015-04-27$41.98$40.0020.5%5.9%15.1%7.6%22.6%2.0%4.5%5.9M-69.7M-512.0K3.3263.83N/AN/A6672,21582,40536,022
2015-04-28$42.16$40.0020.8%6.0%14.4%7.7%21.6%0.2%3.1%6.3M-74.6M-526.4K2.0783.11N/AN/A1,0152,10283,71136,376
2015-04-29$41.95$40.0019.8%5.7%14.4%7.2%22.2%-0.3%3.6%6.0M-68.4M-515.6K2.4293.27N/AN/A6201,50083,78237,022
2015-04-30$41.35$40.0021.1%6.0%15.3%7.9%21.7%-0.1%2.1%5.1M-51.7M-492.6K1.2471.26N/AN/A1,0541,31283,85237,358