A Options History — January 2016

In January 2016, A traded between $36.13 and $40.64. ATM implied volatility averaged 35.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.5% (HV 20d: 25.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-01-28: Highest Volume — 6,451 contracts
  • 2016-01-08: Largest IV spike — 42.6% change
  • 2016-01-08: Highest IV Rank — 73.4%
  • 2016-01-08: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.01$36.13$40.64$40.63$36.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV35.2%29.5%53.3%32.0%34.1%
Expected Move9.6%8.8%11.0%9.1%9.8%
HV 20d25.7%22.3%28.0%24.0%26.6%
HV 60d24.0%22.2%25.0%22.3%24.7%
IV Rank37.1%25.8%73.4%30.8%35.1%
IV Percentile76.7%49.2%99.6%68.3%78.6%
Term Structure-2.4%-4.3%-0.5%-1.9%-3.5%
VWIV34.5%30.4%37.6%31.6%37.1%
Skew 25d5.7%3.2%8.6%4.9%7.7%
Skew 10d11.9%4.7%20.8%9.4%20.8%
Call IV 25d31.4%28.8%35.9%29.8%32.1%
Put IV 25d37.1%32.8%40.1%34.8%39.8%
Bid-Ask Spread %72.2458.0984.8858.0984.75
Gamma HHI0.320.230.460.340.26
Net GEX3.1M-802.4K10.1M10.0M1.5M
Net DEX-7.6M-90.3M55.9M-90.3M-9.4M
Net VEX-147.3K-309.1K-68.2K-309.1K-106.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.131.610.830.88
Total Volume2,668.9471,4626,4512,7251,545
Total OI75,200.57924,161119,432119,09132,506

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$40.63$40.0032.0%9.1%24.0%30.8%31.6%4.9%-1.9%10.0M-90.3M-309.1K0.8358.09N/AN/A1,4851,24096,13422,957
2016-01-05$40.58$40.0029.5%8.8%22.5%25.8%30.4%4.0%-1.6%10.1M-84.9M-287.7K0.8961.30N/AN/A1,02190896,11723,144
2016-01-06$40.64$40.0032.1%9.1%22.3%30.9%31.8%3.5%-2.5%10.1M-89.5M-283.1K1.3470.94N/AN/A9961,33196,16223,270
2016-01-07$39.15$40.0037.3%9.1%25.4%41.5%33.5%4.9%-1.8%6.7M-22.8M-241.8K0.4261.38N/AN/A1,91380296,25622,791
2016-01-08$38.49$40.0053.3%11.0%25.9%73.4%36.4%8.6%-4.3%5.2M-5.2M-218.5K1.6166.11N/AN/A1,2391,99695,99822,737
2016-01-11$37.98$40.0042.8%9.9%26.0%52.4%35.3%5.3%-3.3%3.4M23.1M-146.7K0.5765.45N/AN/A1,38178396,03121,598
2016-01-12$38.23$40.0039.2%9.6%25.0%45.3%31.3%5.5%-3.2%3.9M22.4M-147.1K0.4864.25N/AN/A1,51872996,47221,582
2016-01-13$36.87$40.0034.3%9.8%27.6%35.3%34.4%6.8%-2.6%208.4K48.2M-101.3K0.5373.05N/AN/A1,50579696,81921,431
2016-01-14$37.60$40.0032.3%9.3%28.0%31.4%31.9%5.6%-2.4%-802.4K44.1M-106.1K0.6571.35N/AN/A2,2681,48296,94621,418
2016-01-15$37.13$40.0032.7%9.4%27.2%32.1%33.0%5.1%-2.5%868.1K55.9M-91.9K0.7775.95N/AN/A1,7681,36796,86021,635
2016-01-19$37.29$40.0033.5%9.6%27.1%33.8%34.9%6.9%-1.8%952.2K-5.6M-98.7K0.6782.46N/AN/A1,05270920,3583,803
2016-01-20$37.27$40.0034.2%9.8%26.8%35.1%37.0%6.6%-0.5%937.0K-5.1M-94.7K0.3377.52N/AN/A2,70188520,4683,817
2016-01-21$37.31$40.0033.6%9.6%25.9%33.9%37.6%7.1%-1.3%975.4K-4.8M-100.3K0.4374.26N/AN/A2,13692622,0563,941
2016-01-22$37.95$40.0031.9%9.2%26.5%30.6%32.1%6.4%-1.6%1.3M-7.3M-107.1K0.4766.64N/AN/A2,00693922,6093,938
2016-01-25$37.59$40.0032.6%9.3%25.7%31.9%34.8%4.8%-2.1%1.2M-6.9M-105.2K1.0376.16N/AN/A86288623,1003,991
2016-01-26$37.48$40.0032.7%9.4%25.2%32.2%37.6%5.9%-2.1%1.0M-4.8M-97.8K1.0179.66N/AN/A80781523,1864,043
2016-01-27$37.01$40.0033.1%9.5%25.3%32.9%37.4%5.3%-3.0%946.1K-3.1M-87.6K1.1078.33N/AN/A69676623,2274,045
2016-01-28$36.13$40.0036.9%10.6%25.0%40.5%37.2%3.2%-3.2%619.3K1.1M-68.2K0.1384.88N/AN/A5,70374823,2694,096
2016-01-29$36.78$40.0034.1%9.8%26.6%35.1%37.1%7.7%-3.5%1.5M-9.4M-106.3K0.8884.75N/AN/A82072528,3564,150