A Options History — May 2015

In May 2015, A traded between $41.22 and $42.67. ATM implied volatility averaged 20.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.9% (HV 20d: 14.1%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-05-28: Highest Volume — 48,647 contracts
  • 2015-05-19: Largest IV drop — 20.4% change
  • 2015-05-13: Highest IV Rank — 9.1%
  • 2015-05-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.09$41.22$42.67$41.80$41.22
Max Pain$42.38$40.00$42.50$40.00$42.50
ATM IV20.0%17.3%23.4%20.1%19.8%
Expected Move6.1%5.0%6.9%5.8%5.7%
HV 20d14.1%12.2%16.7%14.4%16.5%
HV 60d16.9%16.2%17.7%17.7%17.0%
IV Rank7.3%5.9%9.1%7.4%7.2%
IV Percentile26.8%7.9%50.0%27.4%27.4%
Term Structure0.4%-1.7%3.6%3.6%-0.7%
VWIV21.2%17.5%24.5%21.2%18.3%
Skew 25d1.7%0.0%2.7%0.1%1.2%
Skew 10d3.9%-2.9%7.0%-2.9%2.5%
Call IV 25d20.9%16.9%23.9%21.9%18.2%
Put IV 25d22.6%19.0%26.2%22.0%19.4%
Bid-Ask Spread %16.699.8462.5662.5619.14
Gamma HHI0.340.250.440.370.25
Net GEX6.0M2.6M8.1M5.8M2.6M
Net DEX-58.3M-87.0M-9.3M-64.1M-9.3M
Net VEX-437.4K-510.8K-233.4K-510.8K-233.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.122.620.920.12
Total Volume6,619.2519248,6474,41819,809
Total OI110,904.4569,914127,936121,70969,914

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$41.80$40.0020.1%5.8%14.4%7.4%21.2%0.1%3.6%5.8M-64.1M-510.8K0.9262.56N/AN/A2,2972,12184,10037,609
2015-05-04$41.94$42.5020.2%6.9%14.4%7.5%24.5%2.2%0.4%6.1M-68.2M-485.2K0.1216.74N/AN/A1,06112382,53636,758
2015-05-05$41.61$42.5021.6%6.8%14.1%8.2%24.1%2.0%0.3%5.6M-57.3M-471.6K0.6913.25N/AN/A4,8713,34283,38737,131
2015-05-06$41.51$42.5021.3%6.8%14.1%8.0%23.3%2.1%0.7%5.7M-56.8M-502.9K0.5511.83N/AN/A3,3361,82386,22438,583
2015-05-07$41.83$42.5021.3%6.6%14.2%8.0%23.6%2.2%0.4%6.1M-61.1M-465.8K1.119.84N/AN/A1,6641,85386,21538,597
2015-05-08$42.50$42.5017.3%6.4%12.6%5.9%22.4%2.1%1.5%7.5M-83.9M-477.6K2.6214.00N/AN/A5313984,53337,695
2015-05-11$42.62$42.5018.9%6.6%12.2%6.8%22.8%2.7%0.1%8.1M-87.0M-448.9K0.6812.58N/AN/A66745584,55037,766
2015-05-12$41.99$42.5019.5%6.6%13.2%7.0%22.4%2.6%0.3%7.2M-68.5M-450.8K0.5913.83N/AN/A2,8121,65986,41339,138
2015-05-13$41.81$42.5023.4%6.7%12.9%9.1%23.4%1.6%0.8%6.6M-60.9M-437.9K0.3314.54N/AN/A4,8841,61287,61839,125
2015-05-14$42.07$42.5022.6%6.5%13.2%8.7%23.0%1.4%0.5%8.0M-67.3M-443.6K0.3710.19N/AN/A4,5771,67787,68439,143
2015-05-15$42.05$42.5023.0%6.6%13.1%8.9%23.3%2.1%0.3%4.4M-64.7M-450.3K0.9711.00N/AN/A2,4752,39588,71539,221
2015-05-18$42.63$42.5023.1%6.6%14.0%8.9%23.3%2.1%-1.7%5.2M-59.9M-439.5K0.199.96N/AN/A3,77870762,69523,482
2015-05-19$42.37$42.5018.4%5.3%14.0%6.5%18.4%0.5%0.4%5.0M-48.0M-396.1K0.2218.84N/AN/A2,30851364,87523,921
2015-05-20$42.67$42.5018.0%5.2%14.1%6.3%17.8%2.1%1.0%5.7M-55.0M-413.7K0.8721.03N/AN/A92079866,19224,688
2015-05-21$42.29$42.5017.6%5.0%14.5%6.1%17.6%1.3%0.6%5.2M-47.4M-403.9K0.3615.01N/AN/A1,91169165,68024,720
2015-05-22$42.52$42.5017.5%5.0%14.6%6.0%17.5%2.1%0.6%6.6M-57.5M-434.1K0.8013.19N/AN/A80864881,64824,823
2015-05-26$42.06$42.5018.9%5.4%14.3%6.8%19.3%0.0%-0.5%6.2M-50.8M-433.5K0.7514.27N/AN/A1,31398681,96924,874
2015-05-27$42.61$42.5018.5%5.3%15.0%6.5%18.6%2.0%-0.3%6.8M-59.2M-445.4K0.6418.76N/AN/A1,6141,03882,26825,183
2015-05-28$41.74$42.5018.5%5.3%16.7%6.5%18.9%1.1%-0.6%5.5M-39.5M-402.9K0.5413.23N/AN/A31,67516,97283,14525,271
2015-05-29$41.22$42.5019.8%5.7%16.5%7.2%18.3%1.2%-0.7%2.6M-9.3M-233.4K0.1219.14N/AN/A17,7002,10957,22612,688