A Options History — July 2015

In July 2015, A traded between $38.78 and $41.01. ATM implied volatility averaged 29.2%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.9% (HV 20d: 20.2%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-07-14: Highest Volume — 37,853 contracts
  • 2015-07-15: Largest IV spike — 21.0% change
  • 2015-07-27: Highest IV Rank — 13.5%
  • 2015-07-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.91$38.78$41.01$39.29$40.94
Max Pain$40.23$37.50$42.50$40.00$40.00
ATM IV29.2%25.8%31.8%26.8%30.0%
Expected Move8.5%7.5%9.1%7.7%8.6%
HV 20d20.2%18.1%22.3%18.3%20.3%
HV 60d16.8%15.3%18.2%16.0%18.2%
IV Rank12.1%10.4%13.5%10.9%12.6%
IV Percentile62.8%51.2%70.6%58.3%63.9%
Term Structure-3.4%-6.1%1.8%0.8%-4.3%
VWIV30.8%24.1%33.9%28.3%30.6%
Skew 25d0.7%-3.3%3.4%-3.3%0.9%
Skew 10d2.8%-1.0%11.0%-1.0%1.9%
Call IV 25d30.2%27.9%33.7%29.6%30.5%
Put IV 25d30.9%26.2%34.4%26.3%31.3%
Bid-Ask Spread %59.8738.0171.6171.6138.01
Gamma HHI0.340.260.820.260.31
Net GEX6.0M2.5M38.5M2.5M4.9M
Net DEX-34.0M-66.9M-2.2M-8.1M-62.5M
Net VEX-347.3K-485.7K-173.3K-198.7K-468.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.062.730.420.41
Total Volume7,060.6821,75637,8532,8832,155
Total OI73,697.54551,25294,16851,25288,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$39.29$40.0026.8%7.7%18.3%10.9%28.3%-3.3%0.8%2.5M-8.1M-198.7K0.4271.61N/AN/A2,02685737,21714,035
2015-07-02$39.60$40.0026.2%7.5%18.1%10.6%26.2%-2.5%1.8%3.1M-12.6M-200.3K0.2069.40N/AN/A4,64894037,28214,045
2015-07-06$39.38$42.5028.5%8.3%18.1%11.8%32.4%0.6%-2.8%3.5M-12.3M-191.1K0.5666.90N/AN/A1,53686039,82614,142
2015-07-07$39.74$42.5026.8%8.3%18.2%10.9%33.4%0.9%-3.7%4.3M-18.5M-196.2K0.5164.29N/AN/A1,48175339,82714,151
2015-07-08$38.78$42.5027.0%8.1%20.1%11.0%31.9%0.7%-2.0%2.7M-2.2M-173.3K0.3770.72N/AN/A3,4411,27739,88614,156
2015-07-09$38.97$42.5029.4%8.1%19.7%12.3%30.5%-0.2%-2.6%2.9M-5.4M-183.9K0.3563.64N/AN/A3,6041,26941,31114,655
2015-07-10$39.44$42.5028.4%8.2%20.3%11.7%32.2%1.1%-2.6%3.8M-11.1M-183.6K1.2667.25N/AN/A2,9643,72341,17814,655
2015-07-13$39.96$42.5026.8%8.2%20.1%10.9%29.1%-1.5%-2.6%6.7M-22.0M-176.1K0.2469.76N/AN/A15,6303,75141,23511,878
2015-07-14$40.49$40.0025.8%8.9%20.4%10.4%31.9%-0.5%-4.6%7.0M-44.3M-207.2K0.5966.59N/AN/A23,78714,06644,82311,863
2015-07-15$40.10$40.0031.2%8.9%20.6%13.2%33.8%1.7%-4.0%8.0M-43.4M-429.4K0.4747.99N/AN/A8,6234,07965,82121,992
2015-07-16$40.34$37.5030.7%8.8%20.6%12.9%31.5%0.9%-3.7%9.6M-66.9M-450.8K2.7351.83N/AN/A1,6004,37471,07922,311
2015-07-17$40.00$37.5030.9%8.9%20.7%13.1%32.2%2.1%-3.8%38.5M-49.4M-435.4K2.0748.85N/AN/A3,8097,86871,36722,801
2015-07-20$40.06$37.5029.4%8.4%20.5%12.3%28.9%2.8%-1.5%3.1M-34.4M-433.6K0.2747.35N/AN/A3,07983056,58823,240
2015-07-21$39.62$37.5029.3%8.4%20.7%12.2%29.9%1.4%-3.2%2.9M-27.6M-429.1K0.3652.07N/AN/A1,68361057,40023,527
2015-07-22$40.33$40.0029.9%8.6%21.5%12.5%30.1%3.4%-4.9%3.5M-38.5M-438.6K0.0659.06N/AN/A11,14866358,15223,563
2015-07-23$40.19$40.0030.3%8.7%20.6%12.7%32.2%2.6%-5.0%4.0M-48.7M-477.7K0.2953.87N/AN/A2,63575563,20023,634
2015-07-24$39.29$40.0031.7%9.1%22.1%13.5%31.6%1.0%-6.1%3.4M-32.3M-468.8K0.2261.23N/AN/A3,24970364,64423,641
2015-07-27$39.57$40.0031.8%9.1%22.3%13.5%33.9%0.8%-4.8%3.6M-35.7M-459.6K0.2659.01N/AN/A2,53165064,27123,684
2015-07-28$40.43$40.0030.8%8.8%20.7%13.0%31.1%2.0%-5.6%4.4M-54.4M-480.8K1.1954.02N/AN/A1,7862,12164,31023,692
2015-07-29$40.38$40.0029.8%8.6%20.5%12.5%31.6%0.2%-4.3%4.2M-53.6M-485.7K0.5463.79N/AN/A1,13861864,12524,788
2015-07-30$41.01$40.0030.0%8.6%20.3%12.5%24.1%0.8%-4.2%4.8M-64.6M-472.2K0.4769.82N/AN/A1,36964663,96724,784
2015-07-31$40.94$40.0030.0%8.6%20.3%12.6%30.6%0.9%-4.3%4.9M-62.5M-468.5K0.4138.01N/AN/A1,52962663,85224,748