A Options History — March 2016

In March 2016, A traded between $37.91 and $40.22. ATM implied volatility averaged 24.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.6% (HV 20d: 26.7%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-03-31: Highest Volume — 6,634 contracts
  • 2016-03-11: Largest IV drop — 13.4% change
  • 2016-03-08: Highest IV Rank — 31.5%
  • 2016-03-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.22$37.91$40.22$38.63$39.94
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV24.1%21.0%28.2%27.6%21.0%
Expected Move6.8%6.0%7.9%7.9%6.0%
HV 20d26.7%23.9%30.5%30.5%23.9%
HV 60d27.6%26.7%28.2%27.2%27.3%
IV Rank20.4%12.0%31.5%30.0%12.0%
IV Percentile25.1%15.5%38.1%35.3%15.5%
Term Structure2.6%-0.8%4.2%-0.8%4.2%
VWIV25.5%21.1%31.3%28.3%21.1%
Skew 25d3.8%1.6%6.3%4.6%1.9%
Skew 10d7.2%1.1%11.3%5.1%4.2%
Call IV 25d23.1%21.3%25.8%24.6%21.7%
Put IV 25d26.9%23.7%29.6%29.3%23.7%
Bid-Ask Spread %78.3864.5698.9382.1481.42
Gamma HHI0.320.230.420.230.42
Net GEX1.4M1.1M1.9M1.3M1.8M
Net DEX-15.2M-27.3M-10.9M-13.5M-16.0M
Net VEX-80.3K-90.5K-66.6K-84.0K-90.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.161.330.520.16
Total Volume2,541.1821,5136,6342,8006,634
Total OI18,408.40915,75619,95119,00618,831

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$38.63$37.5027.6%7.9%30.5%30.0%28.3%4.6%-0.8%1.3M-13.5M-84.0K0.5282.14N/AN/A1,84395715,4603,546
2016-03-02$39.01$37.5026.6%7.6%29.8%27.1%24.1%4.4%-0.0%1.4M-15.6M-87.2K0.4182.22N/AN/A1,96080415,1793,557
2016-03-03$39.21$37.5025.9%6.7%29.8%25.3%27.2%6.3%3.0%1.4M-15.7M-83.2K0.5473.07N/AN/A1,49780915,4493,564
2016-03-04$39.37$37.5023.5%6.8%29.8%18.8%27.5%4.3%2.9%1.5M-17.8M-87.2K0.7873.06N/AN/A1,02279515,4563,563
2016-03-07$39.41$37.5026.5%7.0%25.5%26.8%27.2%4.6%2.6%1.5M-18.0M-84.3K0.4386.91N/AN/A1,83679515,4863,558
2016-03-08$38.09$37.5028.2%7.6%26.1%31.5%26.9%3.4%2.6%1.3M-12.4M-78.3K0.5083.68N/AN/A1,66483116,3003,558
2016-03-09$38.05$37.5026.8%7.7%25.9%27.7%27.1%4.1%2.0%1.3M-11.3M-72.2K0.6674.86N/AN/A1,22080515,9993,610
2016-03-10$37.91$37.5026.1%7.5%25.7%25.7%26.5%4.7%2.5%1.3M-11.4M-74.9K0.4579.64N/AN/A1,90185415,9043,616
2016-03-11$39.22$37.5022.6%6.5%27.2%16.1%27.0%4.4%3.5%1.6M-17.9M-79.1K0.5278.08N/AN/A1,63585615,1533,721
2016-03-14$39.00$37.5023.4%6.7%26.8%18.3%27.2%5.4%3.8%1.5M-16.2M-73.3K0.6582.96N/AN/A1,28784014,9253,749
2016-03-15$38.29$37.5026.3%7.5%26.9%26.3%28.5%4.3%1.5%1.4M-12.8M-70.3K1.3379.89N/AN/A65086314,9263,772
2016-03-16$39.03$37.5022.9%6.6%26.6%17.0%23.1%2.8%2.7%1.6M-15.5M-66.6K0.5098.93N/AN/A1,69083914,9373,811
2016-03-17$39.13$37.5022.2%6.4%25.5%15.2%31.3%4.1%3.5%1.9M-18.8M-74.2K1.1582.33N/AN/A84997315,9143,837
2016-03-18$40.22$37.5021.8%6.2%27.0%14.0%23.1%3.0%3.4%1.1M-27.3M-78.6K0.7577.75N/AN/A2,0711,55815,9683,983
2016-03-21$39.80$37.5022.9%6.6%27.1%17.2%24.0%4.2%2.3%1.1M-13.6M-82.8K1.2371.47N/AN/A9551,17811,8513,905
2016-03-22$39.88$37.5022.4%6.4%25.7%15.6%22.9%4.0%3.3%1.1M-13.3M-84.0K0.7264.56N/AN/A1,32995611,9354,132
2016-03-23$39.49$37.5022.8%6.5%26.1%16.9%24.6%3.3%2.7%1.1M-11.5M-82.6K1.1469.18N/AN/A81592612,3954,169
2016-03-24$39.43$37.5022.4%6.4%26.1%15.7%24.5%2.4%2.7%1.1M-10.9M-81.3K1.2171.39N/AN/A9031,08912,4394,214
2016-03-28$39.53$37.5023.1%6.6%26.1%17.7%23.8%2.7%2.4%1.2M-12.2M-82.5K1.0189.22N/AN/A1,0021,01112,5754,379
2016-03-29$40.14$37.5022.9%6.6%26.3%17.2%22.1%3.7%2.8%1.6M-16.2M-85.6K1.0375.32N/AN/A87389713,4324,377
2016-03-30$40.15$37.5022.5%6.4%24.0%15.9%23.2%1.6%2.9%1.7M-16.3M-84.0K0.3666.31N/AN/A2,67296213,4684,382
2016-03-31$39.94$37.5021.0%6.0%23.9%12.0%21.1%1.9%4.2%1.8M-16.0M-90.5K0.1681.42N/AN/A5,69893614,4134,418