A Options History — February 2016

In February 2016, A traded between $34.89 and $38.03. ATM implied volatility averaged 34.9%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.0% (HV 20d: 29.9%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-02-05: Highest Volume — 6,272 contracts
  • 2016-02-10: Largest IV drop — 24.4% change
  • 2016-02-09: Highest IV Rank — 96.3%
  • 2016-02-11: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.90$34.89$38.03$37.75$37.40
Max Pain$37.88$37.50$40.00$40.00$37.50
ATM IV34.9%26.5%51.9%35.4%27.1%
Expected Move9.5%7.6%11.6%10.1%7.8%
HV 20d29.9%27.8%32.0%29.0%29.8%
HV 60d26.9%25.3%27.7%25.3%26.5%
IV Rank44.8%26.9%96.3%37.6%28.6%
IV Percentile68.5%31.0%99.6%82.5%34.5%
Term Structure-1.2%-5.4%2.3%-5.0%-0.3%
VWIV33.1%25.7%39.7%37.8%26.6%
Skew 25d6.5%4.2%9.1%4.3%7.5%
Skew 10d13.4%6.1%23.0%12.8%11.0%
Call IV 25d30.7%24.2%37.3%34.4%24.3%
Put IV 25d37.2%31.0%45.0%38.6%31.9%
Bid-Ask Spread %69.1050.6485.2385.2181.89
Gamma HHI0.230.180.410.240.25
Net GEX1.1M521.3K1.9M1.9M1.0M
Net DEX-6.2M-17.4M1.6M-17.4M-8.8M
Net VEX-87.9K-125.5K-66.4K-125.5K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.121.630.930.55
Total Volume2,493.21,3676,2721,5322,854
Total OI27,440.6517,46832,89532,84819,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$37.75$40.0035.4%10.1%29.0%37.6%37.8%4.3%-5.0%1.9M-17.4M-125.5K0.9385.21N/AN/A79274028,5694,279
2016-02-02$37.07$40.0036.2%10.4%27.8%39.1%36.5%5.7%-4.7%1.6M-12.4M-113.8K1.0985.23N/AN/A67874128,5414,275
2016-02-03$37.15$40.0037.4%10.7%27.9%41.7%38.5%4.2%-5.4%1.6M-13.0M-116.7K1.1981.28N/AN/A63275528,5234,364
2016-02-04$37.41$37.5037.1%9.3%28.1%41.0%33.2%6.0%-1.6%1.8M-15.6M-121.5K1.1850.64N/AN/A62674128,5264,359
2016-02-05$35.98$37.5043.9%10.1%28.3%54.6%33.1%8.1%-0.7%1.2M-6.2M-96.4K0.1261.51N/AN/A5,61565728,5294,366
2016-02-08$34.89$37.5048.8%10.8%29.6%64.4%37.9%7.0%-1.5%521.3K1.6M-76.8K0.3061.45N/AN/A2,20166324,6464,633
2016-02-09$35.40$37.5051.9%11.3%30.1%96.3%39.7%9.1%-2.3%636.4K57.6K-78.8K1.0758.16N/AN/A78584324,4924,741
2016-02-10$35.87$37.5039.3%11.3%30.5%61.8%39.2%7.5%-2.5%721.2K-888.8K-83.9K0.9461.71N/AN/A91786225,6215,100
2016-02-11$35.40$37.5040.6%11.6%28.2%65.4%38.1%7.2%-2.5%571.8K997.3K-78.1K1.3555.98N/AN/A7611,02924,5545,103
2016-02-12$36.18$37.5038.7%11.1%28.5%60.3%39.0%6.8%-1.1%740.1K-1.0M-83.1K1.1156.51N/AN/A83993524,5575,177
2016-02-16$37.00$37.5035.3%10.1%29.4%50.9%35.3%6.0%-1.6%895.2K-3.0M-82.8K0.8759.13N/AN/A2,1021,83724,6505,277
2016-02-17$37.85$37.5030.1%8.6%30.5%36.8%29.6%6.5%2.0%1.1M-6.0M-84.3K0.5758.88N/AN/A1,72198125,1955,977
2016-02-18$37.17$37.5029.8%8.5%31.2%36.0%31.0%6.0%1.9%974.6K-1.9M-77.5K1.6365.51N/AN/A8791,43025,3035,994
2016-02-19$37.47$37.5028.5%8.2%31.4%32.5%31.4%5.1%2.3%1.7M-2.0M-76.3K0.9667.93N/AN/A91287725,3186,185
2016-02-22$38.03$37.5028.3%8.1%31.2%31.8%26.6%5.5%-1.0%870.0K-7.7M-75.0K0.4571.68N/AN/A1,61472914,3743,094
2016-02-23$37.25$37.5028.1%8.1%31.9%31.4%28.1%6.3%-0.3%677.3K-5.4M-66.4K0.3182.76N/AN/A2,54479415,1343,111
2016-02-24$37.48$37.5027.6%7.9%32.0%29.9%27.3%7.3%-0.5%894.4K-7.8M-79.1K0.4584.35N/AN/A2,00489515,5763,185
2016-02-25$37.58$37.5027.2%7.8%31.6%28.7%25.7%8.2%0.3%964.0K-8.5M-81.4K0.5574.30N/AN/A1,64489715,7883,375
2016-02-26$37.59$37.5026.5%7.6%30.3%26.9%26.6%5.7%0.3%980.3K-9.0M-83.3K0.3877.93N/AN/A2,41592315,6013,381
2016-02-29$37.40$37.5027.1%7.8%29.8%28.6%26.6%7.5%-0.3%1.0M-8.8M-77.2K0.5581.89N/AN/A1,8471,00715,8773,463