A Options History — December 2015

In December 2015, A traded between $40.15 and $42.35. ATM implied volatility averaged 29.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.7% (HV 20d: 24.5%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-12-01: Highest Volume — 74,768 contracts
  • 2015-12-28: Largest IV spike — 7.2% change
  • 2015-12-31: Highest IV Rank — 24.7%
  • 2015-12-08: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.12$40.15$42.35$41.06$41.93
Max Pain$39.89$37.50$40.00$37.50$40.00
ATM IV29.2%27.6%31.4%29.6%29.0%
Expected Move8.5%7.9%9.0%8.5%8.3%
HV 20d24.5%21.1%27.5%23.8%21.1%
HV 60d23.0%21.4%23.8%23.6%21.4%
IV Rank8.6%6.1%24.7%7.2%24.7%
IV Percentile45.1%37.7%58.3%45.2%45.2%
Term Structure1.8%0.5%5.0%1.7%1.3%
VWIV30.8%28.6%32.7%32.1%30.6%
Skew 25d-1.1%-3.5%1.8%-3.0%-2.1%
Skew 10d-1.7%-8.2%2.8%-5.3%-2.3%
Call IV 25d31.5%30.4%33.0%33.0%31.1%
Put IV 25d30.4%27.5%33.1%30.0%28.9%
Bid-Ask Spread %80.6755.0891.4789.1684.98
Gamma HHI0.340.320.490.490.34
Net GEX11.5M9.2M13.2M12.1M12.7M
Net DEX-150.3M-203.5M-119.0M-203.5M-157.3M
Net VEX-477.4K-558.9K-364.8K-558.9K-364.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0510.720.051.23
Total Volume7,422.77346574,76874,7682,811
Total OI125,986.636113,761142,010113,761119,360

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$41.06$37.5029.6%8.5%23.8%7.2%32.1%-3.0%1.7%12.1M-203.5M-558.9K0.0589.16N/AN/A71,0603,70898,97714,784
2015-12-02$40.42$40.0028.6%8.2%24.6%6.6%31.4%-2.8%1.1%10.4M-140.4M-549.4K0.3991.47N/AN/A2,9271,140103,08618,815
2015-12-03$40.15$40.0028.5%8.7%24.8%6.6%32.6%0.6%2.2%10.3M-120.5M-526.1K0.4176.43N/AN/A1,931790104,21318,959
2015-12-04$41.09$40.0027.8%8.7%25.9%6.2%30.8%0.3%0.6%11.9M-156.3M-546.8K0.5067.89N/AN/A1,609805105,31819,005
2015-12-07$40.70$40.0028.3%8.6%26.1%6.5%31.7%-0.3%1.6%11.6M-144.4M-512.1K0.2155.08N/AN/A38382104,12618,470
2015-12-08$41.19$40.0029.3%9.0%26.1%7.0%32.7%-0.1%1.3%12.4M-167.1M-511.0K1.0174.67N/AN/A1,2331,244105,55319,259
2015-12-09$40.97$40.0029.3%8.4%26.3%7.0%31.5%1.8%5.0%12.4M-155.6M-485.6K0.4084.53N/AN/A8,1333,269105,58419,281
2015-12-10$41.17$40.0030.2%8.7%26.3%7.5%30.9%0.2%2.5%12.8M-166.1M-547.0K0.7472.92N/AN/A971722110,30020,459
2015-12-11$40.15$40.0031.4%9.0%27.5%8.2%32.4%0.1%1.0%10.7M-121.8M-512.3K0.8077.83N/AN/A940756110,30520,474
2015-12-14$40.20$40.0030.8%8.8%26.2%7.9%30.7%0.4%1.9%10.9M-119.0M-483.5K10.7276.00N/AN/A9049,691110,30020,603
2015-12-15$40.85$40.0030.4%8.7%26.3%7.6%30.8%-0.6%1.2%9.9M-134.8M-508.7K8.3682.97N/AN/A7646,389110,26528,432
2015-12-16$41.48$40.0030.1%8.6%25.0%7.5%32.1%-0.6%1.9%11.2M-168.3M-507.5K1.9686.96N/AN/A2,6195,140110,25729,517
2015-12-17$40.83$40.0029.9%8.6%24.8%7.4%32.3%1.3%3.3%10.0M-142.3M-486.8K1.2374.91N/AN/A3,8834,760111,58129,507
2015-12-18$40.18$40.0029.2%8.4%24.4%7.0%29.7%-0.8%2.1%9.2M-121.2M-466.7K1.9271.10N/AN/A3,1906,138112,49229,518
2015-12-21$40.81$40.0028.8%8.3%24.1%6.7%29.4%-1.3%2.3%10.5M-119.5M-468.0K1.1078.68N/AN/A1,3951,53498,26920,789
2015-12-22$41.22$40.0027.6%7.9%23.4%6.1%30.0%-2.4%3.1%11.0M-131.4M-446.4K0.4386.02N/AN/A1,46362398,34421,796
2015-12-23$41.78$40.0028.8%8.2%23.3%6.7%30.1%-3.0%0.6%11.9M-151.3M-442.2K0.4788.13N/AN/A1,20557198,52421,807
2015-12-24$42.14$40.0028.2%8.1%22.7%6.4%28.8%-2.9%2.2%12.5M-175.7M-429.0K0.6690.02N/AN/A98464798,78821,836
2015-12-28$41.77$40.0030.2%8.7%22.4%7.5%30.3%-3.1%0.5%12.1M-152.3M-391.7K0.6590.50N/AN/A95061798,74521,896
2015-12-29$42.35$40.0028.6%8.2%22.9%6.7%28.9%-3.5%1.9%13.2M-187.3M-385.1K0.8288.32N/AN/A1,5361,25698,81421,908
2015-12-30$42.20$40.0028.4%8.1%21.8%23.6%28.6%-3.2%1.0%13.1M-171.5M-373.0K1.7086.11N/AN/A9351,59398,98022,410
2015-12-31$41.93$40.0029.0%8.3%21.1%24.7%30.6%-2.1%1.3%12.7M-157.3M-364.8K1.2384.98N/AN/A1,2581,55396,36023,000