A Options History — October 2015

In October 2015, A traded between $33.66 and $37.83. ATM implied volatility averaged 35.9%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.9% (HV 20d: 25.0%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-10-26: Highest Volume — 4,932 contracts
  • 2015-10-08: Largest IV spike — 37.9% change
  • 2015-10-08: Highest IV Rank — 21.3%
  • 2015-10-09: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.03$33.66$37.83$33.66$37.83
Max Pain$37.27$35.00$37.50$35.00$37.50
ATM IV35.9%33.1%46.6%36.8%33.8%
Expected Move10.2%9.5%10.8%10.5%9.7%
HV 20d25.0%20.0%27.5%25.1%20.0%
HV 60d26.9%25.8%27.3%25.8%27.2%
IV Rank15.7%14.2%21.3%16.1%14.6%
IV Percentile77.7%68.3%95.6%81.7%68.3%
Term Structure-3.0%-5.0%0.8%-1.1%-4.0%
VWIV37.5%34.7%40.8%38.6%35.8%
Skew 25d-1.3%-9.2%3.1%-4.2%-4.3%
Skew 10d-2.1%-20.5%8.1%-17.7%-9.3%
Call IV 25d38.3%35.3%49.0%40.3%38.5%
Put IV 25d37.0%34.1%40.0%36.2%34.1%
Bid-Ask Spread %68.1151.9492.8691.0570.24
Gamma HHI0.290.260.320.300.31
Net GEX1.8M670.7K3.5M720.9K2.6M
Net DEX7.6M-16.3M35.6M35.6M-16.3M
Net VEX-243.0K-288.2K-167.8K-167.8K-254.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.211.260.690.53
Total Volume2,374.9091,5224,9321,5221,924
Total OI84,992.81876,80290,83687,65581,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$33.66$35.0036.8%10.5%25.1%16.1%38.6%-4.2%-1.1%720.9K35.6M-167.8K0.6991.05N/AN/A90162168,46419,191
2015-10-02$34.58$35.0033.8%9.7%26.9%14.6%37.9%-9.2%0.8%1.7M19.8M-241.2K0.2192.86N/AN/A2,84959968,26419,191
2015-10-05$35.34$37.5038.2%10.6%27.5%16.9%36.8%2.1%-3.4%2.2M7.8M-265.1K1.2665.10N/AN/A76996667,53019,310
2015-10-06$34.91$37.5034.7%10.5%25.5%15.0%37.4%1.0%-2.9%1.6M21.4M-232.3K0.6551.94N/AN/A1,8481,20668,95720,862
2015-10-07$35.56$37.5033.8%10.8%25.5%14.6%38.7%3.0%-3.3%2.4M9.1M-266.2K0.7355.02N/AN/A88964668,60420,898
2015-10-08$36.03$37.5046.6%10.4%25.7%21.3%37.3%3.1%-1.5%2.9M2.9M-269.7K0.7260.86N/AN/A89464668,58720,899
2015-10-09$36.21$37.5036.4%10.8%25.8%15.9%38.0%2.7%-5.0%3.5M-1.8M-288.2K0.8159.60N/AN/A87070168,68220,899
2015-10-12$35.99$37.5039.0%10.6%25.6%17.3%38.3%-0.5%-5.0%3.3M2.5M-255.4K0.3458.18N/AN/A2,22975668,79620,931
2015-10-13$35.57$37.5039.1%10.5%25.1%17.4%37.6%2.2%-4.3%2.5M13.6M-226.9K0.5862.55N/AN/A1,71499569,12520,961
2015-10-14$34.99$37.5036.1%10.4%25.3%15.8%37.2%-0.5%-3.4%670.7K24.9M-203.2K0.2861.14N/AN/A1,72348469,21021,379
2015-10-15$35.61$37.5035.3%10.1%26.2%15.4%36.5%0.4%-2.9%1.0M13.8M-238.6K0.5569.24N/AN/A1,74395469,23021,415
2015-10-16$35.79$37.5034.2%9.8%25.5%14.7%40.8%-2.0%-2.3%1.0M12.1M-238.9K0.3765.78N/AN/A1,62560269,29921,537
2015-10-19$36.17$37.5033.1%9.5%25.7%14.2%36.7%-2.8%-1.4%1.0M12.8M-234.5K0.2563.27N/AN/A2,67668257,11119,691
2015-10-20$36.36$37.5035.2%10.1%24.8%15.3%37.5%-2.7%-4.3%1.3M7.3M-248.0K0.4466.85N/AN/A1,38860958,27119,761
2015-10-21$35.88$37.5034.7%9.9%25.3%15.0%38.7%-1.2%-1.4%1.1M13.6M-229.8K0.5267.14N/AN/A1,16960658,74219,752
2015-10-22$36.05$37.5035.7%10.2%24.9%15.6%39.0%-1.7%-3.0%1.2M10.6M-234.0K0.6865.51N/AN/A1,32590158,79519,753
2015-10-23$37.12$37.5035.4%10.2%26.7%15.4%36.1%-2.9%-3.5%1.8M-2.1M-258.7K0.4765.90N/AN/A1,92189458,99319,974
2015-10-26$36.83$37.5034.8%10.0%23.9%15.1%34.7%-1.6%-2.6%1.5M3.7M-236.9K0.2174.84N/AN/A4,06486859,91919,981
2015-10-27$37.05$37.5035.4%10.2%23.9%15.4%39.3%-3.0%-3.7%1.8M-794.7K-246.6K0.6275.91N/AN/A1,38285961,57619,983
2015-10-28$37.50$37.5034.2%9.8%23.4%14.7%36.5%-2.1%-5.0%2.3M-8.9M-252.8K1.0679.79N/AN/A89294361,61619,988
2015-10-29$37.71$37.5033.8%9.7%21.5%14.5%34.7%-3.6%-3.8%2.4M-13.5M-256.7K0.9575.72N/AN/A98093561,77720,048
2015-10-30$37.83$37.5033.8%9.7%20.0%14.6%35.8%-4.3%-4.0%2.6M-16.3M-254.8K0.5370.24N/AN/A1,26166361,83720,053