A Options History — June 2015 In June 2015, A traded between $38.61 and $41.11. ATM implied volatility averaged 21.1%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.6% (HV 20d: 15.5%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2015-06-24 : Highest Volume — 26,059 contracts2015-06-24 : Largest IV spike — 93.5% change2015-06-24 : Highest IV Rank — 13.7%2015-06-24 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $40.03 $38.61 $41.11 $40.92 $38.61 Max Pain $40.34 $40.00 $42.50 $42.50 $40.00 ATM IV 21.1% 16.6% 32.2% 20.2% 26.2% Expected Move 6.0% 4.8% 9.2% 5.8% 7.5% HV 20d 15.5% 13.7% 16.9% 16.1% 16.8% HV 60d 15.6% 14.8% 17.0% 17.0% 15.7% IV Rank 7.9% 5.6% 13.7% 7.4% 10.6% IV Percentile 29.1% 6.7% 72.6% 28.6% 56.0% Term Structure 2.2% -1.7% 4.5% -1.5% 2.3% VWIV 21.9% 16.8% 33.9% 18.7% 28.2% Skew 25d 0.4% -7.6% 2.7% -0.0% -1.4% Skew 10d 1.9% -9.5% 13.3% -5.8% -1.9% Call IV 25d 21.3% 17.1% 36.0% 18.6% 29.2% Put IV 25d 21.7% 18.5% 28.4% 18.5% 27.8% Bid-Ask Spread % 29.73 8.92 91.57 17.54 68.46 Gamma HHI 0.27 0.21 0.34 0.24 0.25 Net GEX 486.1K -2.0M 3.1M 2.1M 1.7M Net DEX 4.8M -20.7M 20.1M -5.4M 1.4M Net VEX -177.1K -228.4K -124.0K -219.7K -184.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.03 3.01 0.96 0.42 Total Volume 5,432 401 26,059 4,208 3,036 Total OI 69,047.364 50,020 78,970 69,302 50,654
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 2015-06-01 $40.92 $42.50 20.2% 5.8% 16.1% 7.4% 18.7% -0.0% -1.5% 2.1M -5.4M -219.7K 0.96 17.54 N/A N/A 2,151 2,057 56,533 12,769 2015-06-02 $41.11 $42.50 19.8% 5.7% 16.2% 7.2% 19.9% 1.5% -0.9% 1.9M -5.6M -201.6K 0.46 13.53 N/A N/A 274 127 55,440 12,006 2015-06-03 $41.07 $42.50 20.2% 5.8% 16.0% 7.5% 19.3% 1.6% -1.3% 2.0M -4.6M -211.8K 0.77 16.79 N/A N/A 2,337 1,797 56,898 12,872 2015-06-04 $40.51 $40.00 20.1% 5.6% 16.6% 7.4% 21.2% 2.7% 3.1% 845.9K 5.0M -183.7K 0.97 13.30 N/A N/A 2,420 2,356 56,964 12,871 2015-06-05 $40.31 $40.00 19.1% 5.5% 16.3% 6.9% 20.1% 1.1% 3.3% 548.3K 5.7M -187.3K 1.80 11.91 N/A N/A 1,308 2,361 56,882 13,137 2015-06-08 $39.96 $40.00 20.0% 5.6% 15.1% 7.3% 20.2% 1.6% 3.4% 19.1K 9.5M -171.5K 1.51 10.91 N/A N/A 1,547 2,342 56,874 13,141 2015-06-09 $40.10 $40.00 20.3% 5.5% 15.1% 7.5% 20.0% 1.6% 3.4% 104.3K 8.6M -175.8K 1.06 12.05 N/A N/A 4,574 4,867 56,847 13,104 2015-06-10 $40.53 $40.00 18.5% 5.3% 15.2% 6.5% 21.5% 2.0% 4.3% 340.0K 6.5M -180.2K 2.16 15.27 N/A N/A 2,211 4,770 59,855 16,110 2015-06-11 $40.50 $40.00 18.8% 5.4% 15.2% 6.7% 20.9% 2.2% 3.5% 222.2K 5.6M -183.5K 3.01 12.73 N/A N/A 1,592 4,788 60,190 16,121 2015-06-12 $39.84 $40.00 18.6% 5.3% 15.7% 6.6% 19.3% 1.4% 4.0% -1.2M 15.8M -157.2K 0.79 14.38 N/A N/A 1,599 1,258 59,945 16,138 2015-06-15 $39.53 $40.00 19.4% 5.6% 15.8% 7.0% 19.3% 1.3% 3.4% -1.6M 19.8M -146.1K 0.75 15.86 N/A N/A 1,160 866 59,938 16,117 2015-06-16 $39.77 $40.00 19.2% 5.5% 14.9% 6.9% 19.8% 2.4% 3.6% -1.9M 17.3M -149.3K 0.69 13.37 N/A N/A 1,131 779 59,992 16,217 2015-06-17 $39.60 $40.00 18.8% 5.4% 14.9% 6.7% 19.8% 2.0% 3.8% -1.8M 17.3M -153.2K 0.80 34.93 N/A N/A 2,707 2,152 60,008 16,250 2015-06-18 $39.90 $40.00 18.7% 5.4% 15.0% 6.6% 19.4% 1.8% 3.5% -2.0M 13.1M -156.9K 0.54 18.40 N/A N/A 2,675 1,441 60,273 16,250 2015-06-19 $39.56 $40.00 17.8% 5.1% 14.9% 6.2% 19.6% 1.0% 3.9% 41.7K 20.1M -144.4K 0.55 8.92 N/A N/A 2,759 1,512 60,296 16,236 2015-06-22 $39.88 $40.00 17.3% 4.9% 15.2% 5.9% 18.7% 2.3% 4.5% 167.0K 7.1M -133.0K 2.07 15.81 N/A N/A 782 1,621 50,651 13,106 2015-06-23 $39.61 $40.00 16.6% 4.8% 15.0% 5.6% 16.8% 1.6% 4.3% -298.3K 10.6M -124.0K 0.20 18.01 N/A N/A 4,637 938 50,775 13,296 2015-06-24 $40.31 $40.00 32.2% 9.2% 15.7% 13.7% 33.9% -7.6% -1.7% 1.4M -4.8M -197.6K 0.03 91.57 N/A N/A 25,213 846 51,376 13,358 2015-06-25 $40.11 $40.00 26.6% 7.6% 14.2% 10.8% 28.2% -4.3% 0.6% 3.0M -15.4M -213.4K 0.18 80.28 N/A N/A 8,117 1,479 65,369 13,601 2015-06-26 $40.03 $40.00 26.9% 7.7% 13.7% 11.0% 27.9% -2.6% -0.2% 3.1M -20.7M -228.4K 0.34 79.05 N/A N/A 3,416 1,176 36,172 13,848 2015-06-29 $38.85 $40.00 28.8% 8.3% 16.9% 12.0% 28.5% -4.2% -1.2% 2.0M -2.4M -192.6K 0.66 71.06 N/A N/A 2,600 1,725 36,583 13,979 2015-06-30 $38.61 $40.00 26.2% 7.5% 16.8% 10.6% 28.2% -1.4% 2.3% 1.7M 1.4M -184.4K 0.42 68.46 N/A N/A 2,137 899 36,718 13,936
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