A Options History — September 2015

In September 2015, A traded between $33.45 and $36.55. ATM implied volatility averaged 32.7%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.9% (HV 20d: 31.8%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-09-18: Highest Volume — 17,966 contracts
  • 2015-09-28: Largest IV spike — 21.8% change
  • 2015-09-29: Highest IV Rank — 20.5%
  • 2015-09-29: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.28$33.45$36.55$34.73$34.36
Max Pain$35.24$35.00$37.50$37.50$35.00
ATM IV32.7%27.9%45.1%37.3%36.9%
Expected Move9.4%8.0%12.9%10.7%10.6%
HV 20d31.8%25.3%35.1%30.3%25.3%
HV 60d25.3%24.0%25.9%24.0%25.9%
IV Rank14.0%11.5%20.5%16.4%16.2%
IV Percentile69.5%50.4%95.2%84.9%82.9%
Term Structure0.7%-10.1%3.9%-3.8%-1.0%
VWIV33.5%28.0%48.1%36.7%37.2%
Skew 25d2.6%-5.5%7.6%2.1%-0.4%
Skew 10d7.4%-3.7%18.4%2.8%6.5%
Call IV 25d32.9%22.2%49.4%35.4%40.0%
Put IV 25d35.4%29.7%47.0%37.6%39.6%
Bid-Ask Spread %87.5580.07104.2689.8185.75
Gamma HHI0.300.280.330.280.33
Net GEX868.5K-135.2K2.3M254.3K1.5M
Net DEX21.1M7.3M29.9M29.9M23.4M
Net VEX-291.9K-358.4K-203.1K-299.4K-222.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.042.640.380.65
Total Volume2,988.85727317,9664,4631,606
Total OI87,332.76282,48289,48882,48287,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$34.73$37.5037.3%10.7%30.3%16.4%36.7%2.1%-3.8%254.3K29.9M-299.4K0.3889.81N/AN/A3,2251,23859,37023,112
2015-09-02$35.42$37.5033.3%9.5%31.6%14.3%31.3%4.5%-0.1%309.5K23.8M-332.7K0.3994.52N/AN/A2,37492861,62523,117
2015-09-03$35.77$35.0031.7%9.0%32.0%13.4%30.9%5.8%2.4%327.9K19.7M-345.1K0.2485.32N/AN/A3,40481162,66123,250
2015-09-04$35.15$35.0032.7%10.2%32.3%14.0%35.1%2.5%-1.0%544.3K23.8M-332.3K1.0280.07N/AN/A1,2361,25865,14223,254
2015-09-08$36.21$35.0034.2%9.5%34.2%14.8%29.4%5.6%-0.3%429.8K11.5M-358.4K0.0781.85N/AN/A3112364,26022,705
2015-09-09$35.50$35.0031.6%9.1%33.8%13.4%33.1%2.1%3.9%492.5K21.1M-323.3K1.6281.04N/AN/A60998765,50923,498
2015-09-10$35.81$35.0031.6%9.1%34.1%13.4%32.2%2.9%1.9%364.9K20.8M-329.1K1.9187.01N/AN/A51598365,50223,599
2015-09-11$35.87$35.0031.9%9.1%34.1%13.5%32.2%3.8%2.0%319.9K21.1M-330.0K1.1683.03N/AN/A83496965,51023,614
2015-09-14$35.51$35.0031.7%9.1%34.1%13.5%30.4%3.8%1.7%473.4K27.3M-294.7K2.6480.33N/AN/A4931,30065,83923,614
2015-09-15$36.15$35.0030.6%8.8%34.8%12.9%30.0%5.1%1.9%160.3K20.1M-303.8K0.0487.74N/AN/A2621164,61922,885
2015-09-16$36.55$35.0027.9%8.0%35.1%11.5%29.1%5.0%3.7%-135.2K16.7M-317.7K1.7591.38N/AN/A5801,01565,78723,670
2015-09-17$36.37$35.0028.2%8.1%34.8%11.6%28.0%7.6%2.5%80.0K19.3M-310.5K1.68104.26N/AN/A59399565,78323,670
2015-09-18$35.71$35.0029.6%8.5%34.5%12.4%30.6%1.0%2.7%1.5M28.8M-282.5K0.7993.94N/AN/A10,0277,93965,82023,668
2015-09-21$35.67$35.0030.6%8.8%32.6%12.9%31.0%0.9%1.1%2.3M7.3M-301.0K2.5286.92N/AN/A1,0472,64366,03718,993
2015-09-22$35.03$35.0030.7%8.8%30.3%12.9%32.5%2.9%2.0%2.0M12.0M-285.5K1.4183.35N/AN/A1,5942,24266,47818,997
2015-09-23$34.94$35.0031.3%9.0%30.2%13.2%33.9%0.6%1.9%1.9M14.6M-270.6K0.5381.13N/AN/A3,3491,75966,61119,012
2015-09-24$34.56$35.0031.4%9.0%28.9%13.3%34.9%0.5%2.1%1.5M23.8M-237.3K0.4485.92N/AN/A1,05947168,12719,100
2015-09-25$34.48$35.0030.9%8.9%27.0%13.1%35.0%-1.4%2.2%1.6M22.4M-239.7K0.6488.87N/AN/A85955068,13819,116
2015-09-28$33.45$35.0037.7%10.8%28.7%16.6%48.1%-5.5%-0.1%1.2M27.1M-210.3K0.6695.96N/AN/A75449768,22019,168
2015-09-29$33.71$35.0045.1%12.9%29.0%20.5%42.9%4.7%-10.1%1.2M28.3M-203.1K0.8090.29N/AN/A78563168,26519,167
2015-09-30$34.36$35.0036.9%10.6%25.3%16.2%37.2%-0.4%-1.0%1.5M23.4M-222.8K0.6585.75N/AN/A97563168,29619,180