A Options History — August 2015

In August 2015, A traded between $34.72 and $41.00. ATM implied volatility averaged 30.8%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 9.4% (HV 20d: 21.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-08-18: Highest Volume — 16,165 contracts
  • 2015-08-24: Largest IV spike — 42.6% change
  • 2015-08-24: Highest IV Rank — 17.7%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.25$34.72$41.00$41.00$36.37
Max Pain$38.81$37.50$40.00$40.00$37.50
ATM IV30.8%21.8%39.7%32.4%31.2%
Expected Move8.4%6.2%11.4%9.3%8.9%
HV 20d21.4%18.0%26.8%20.1%26.7%
HV 60d19.4%17.9%22.3%18.1%22.2%
IV Rank13.0%8.3%17.7%13.8%13.2%
IV Percentile66.6%39.7%90.1%73.0%68.7%
Term Structure-1.4%-6.9%3.1%-6.9%-1.0%
VWIV29.8%22.1%39.7%31.0%32.9%
Skew 25d2.9%-0.6%12.8%1.1%4.5%
Skew 10d5.1%-7.1%31.6%2.7%11.7%
Call IV 25d28.8%21.9%37.6%32.1%27.8%
Put IV 25d31.7%22.9%47.3%33.2%32.3%
Bid-Ask Spread %57.4010.88104.6624.3394.78
Gamma HHI0.310.290.410.290.30
Net GEX1.7M-1.3M4.7M4.7M438.9K
Net DEX-6.3M-64.7M47.9M-64.7M13.2M
Net VEX-380.1K-460.4K-305.5K-460.4K-367.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.161.560.480.38
Total Volume4,917.14341616,1654164,400
Total OI90,436.85778,969105,10386,14583,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$41.00$40.0032.4%9.3%20.1%13.8%31.0%1.1%-6.9%4.7M-64.7M-460.4K0.4824.33N/AN/A28113562,13924,006
2015-08-04$40.58$40.0031.3%9.0%20.3%13.2%31.4%-0.2%-6.3%4.5M-56.2M-448.7K1.1418.10N/AN/A76287063,31024,852
2015-08-05$40.70$40.0031.7%9.1%18.0%13.5%31.8%0.5%-6.3%4.5M-55.7M-436.1K0.9110.88N/AN/A92784563,09925,002
2015-08-06$40.13$40.0033.0%7.7%18.9%14.2%27.3%2.1%-0.3%3.8M-40.5M-422.7K0.7422.89N/AN/A95470563,36125,003
2015-08-07$39.97$40.0034.1%7.8%18.5%14.7%27.0%3.1%0.1%3.7M-37.5M-423.9K0.7522.06N/AN/A93970763,68025,074
2015-08-10$40.44$40.0035.5%7.7%18.4%15.4%27.1%1.0%-0.7%4.4M-50.9M-413.4K0.6121.08N/AN/A1,36883763,66425,076
2015-08-11$39.42$40.0036.9%7.8%20.0%16.2%28.1%1.9%0.2%3.1M-25.9M-381.6K0.5424.48N/AN/A9,9655,42862,86624,240
2015-08-12$38.92$40.0028.0%8.0%20.2%11.5%28.6%1.3%-1.3%1.5M-4.5M-397.6K1.0531.49N/AN/A1,2791,34365,55529,790
2015-08-13$38.59$40.0028.6%8.2%20.1%11.9%28.3%1.5%-1.5%1.0M6.7M-375.3K0.3629.31N/AN/A2,11076665,69330,062
2015-08-14$38.64$40.0027.9%8.0%20.0%11.5%28.0%1.6%-1.0%912.4K6.4M-367.4K0.9832.54N/AN/A2,4172,37665,83930,087
2015-08-17$38.85$40.0026.7%7.7%20.1%10.8%27.1%1.7%-1.4%1.2M189.0K-361.7K0.5434.99N/AN/A4,6792,50766,52030,464
2015-08-18$39.03$37.5021.8%6.2%19.9%8.3%22.1%1.0%3.1%1.0M-4.2M-351.6K0.1686.71N/AN/A13,9352,23068,78731,116
2015-08-19$38.40$37.5023.0%6.6%19.4%8.9%23.0%0.7%2.8%300.3K-658.6K-392.1K0.4691.33N/AN/A86140072,36430,706
2015-08-20$37.55$37.5024.0%6.9%20.6%9.4%25.1%-0.6%3.1%-1.3M23.1M-367.4K0.5097.63N/AN/A1,91795773,54831,555
2015-08-21$36.33$37.5027.9%8.0%22.2%11.4%30.1%2.9%1.3%480.3K47.9M-333.0K1.5693.38N/AN/A5,4218,44973,58631,481
2015-08-24$34.99$37.5039.7%11.4%24.8%17.7%36.0%12.8%-3.7%249.6K28.1M-319.4K0.51104.66N/AN/A2,8161,42555,89723,072
2015-08-25$34.72$37.5037.9%10.9%22.5%16.7%39.7%6.5%-3.5%184.7K29.0M-305.5K0.2993.25N/AN/A3,9301,15756,15223,111
2015-08-26$35.61$37.5035.9%10.3%25.3%15.7%36.2%8.3%-4.3%256.1K25.0M-328.7K1.0194.10N/AN/A1,3641,37157,45523,147
2015-08-27$36.57$37.5029.1%8.3%26.8%12.1%31.9%6.6%-0.6%276.6K17.0M-348.3K0.2485.32N/AN/A5,9001,43057,48022,975
2015-08-28$36.42$37.5030.3%8.7%26.8%12.7%32.1%1.5%-0.0%566.0K10.8M-378.5K0.6392.06N/AN/A1,9051,19260,45923,093
2015-08-31$36.37$37.5031.2%8.9%26.7%13.2%32.9%4.5%-1.0%438.9K13.2M-367.9K0.3894.78N/AN/A3,1981,20260,71223,096