A Options History — April 2016

In April 2016, A traded between $39.26 and $41.87. ATM implied volatility averaged 24.7%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.1% (HV 20d: 20.6%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-04-05: Highest Volume — 3,779 contracts
  • 2016-04-11: Largest IV spike — 17.4% change
  • 2016-04-29: Highest IV Rank — 34.0%
  • 2016-04-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.71$39.26$41.87$40.37$40.93
Max Pain$38.33$37.50$40.00$37.50$40.00
ATM IV24.7%20.3%29.1%21.4%29.1%
Expected Move7.4%6.1%8.3%6.1%8.3%
HV 20d20.6%17.6%25.4%24.2%18.1%
HV 60d25.8%24.1%27.4%27.4%24.1%
IV Rank21.9%10.1%34.0%13.1%34.0%
IV Percentile27.4%12.3%48.0%16.7%48.0%
Term Structure-1.6%-3.7%4.6%4.6%-3.7%
VWIV25.8%22.2%29.0%22.2%28.4%
Skew 25d3.1%2.2%3.9%2.3%3.1%
Skew 10d6.5%4.2%8.5%4.4%6.1%
Call IV 25d24.9%21.4%27.7%21.4%27.2%
Put IV 25d28.0%23.7%30.5%23.7%30.3%
Bid-Ask Spread %36.268.9258.2953.3033.92
Gamma HHI0.330.310.410.340.32
Net GEX1.9M1.5M2.2M1.9M2.0M
Net DEX-20.4M-27.5M-11.7M-19.7M-20.5M
Net VEX-90.6K-98.6K-79.8K-98.6K-87.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.311.810.321.22
Total Volume2,358.2381,5513,7793,6782,766
Total OI20,341.42919,50221,50319,96221,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$40.37$37.5021.4%6.1%24.2%13.1%22.2%2.3%4.6%1.9M-19.7M-98.6K0.3253.30N/AN/A2,78789115,5044,458
2016-04-04$39.99$37.5022.9%7.4%24.4%17.1%24.6%3.9%-1.7%1.9M-17.3M-94.2K0.4819.45N/AN/A1,85789415,5054,463
2016-04-05$39.26$37.5022.0%7.3%25.4%14.7%25.2%3.8%-1.6%1.7M-12.4M-87.2K0.318.92N/AN/A2,88689315,5184,522
2016-04-06$40.21$37.5020.9%7.3%23.4%11.7%26.0%2.9%-1.2%1.8M-16.7M-90.7K0.6041.32N/AN/A1,56794614,9774,525
2016-04-07$39.47$37.5022.3%7.5%24.5%15.5%24.7%3.6%-0.7%1.5M-12.4M-85.7K1.3424.81N/AN/A74099114,9754,639
2016-04-08$39.51$37.5020.3%7.2%24.5%10.1%25.2%3.4%-1.3%1.6M-12.4M-83.8K1.8112.82N/AN/A55299914,9204,680
2016-04-11$39.46$37.5023.9%7.3%21.4%19.7%25.2%3.8%-1.2%1.6M-11.7M-79.8K0.8237.37N/AN/A1,15795314,9314,705
2016-04-12$39.75$37.5023.4%7.2%21.4%18.3%24.6%3.5%-1.1%1.9M-14.2M-82.9K1.4447.38N/AN/A66595715,4804,767
2016-04-13$40.72$37.5026.2%7.5%21.6%26.1%25.1%3.4%-2.4%2.0M-21.5M-88.4K1.3650.28N/AN/A7471,01815,4824,804
2016-04-14$40.80$37.5025.6%7.3%20.7%24.5%24.2%3.5%-1.9%2.0M-21.8M-87.3K1.2240.66N/AN/A8551,04015,5634,905
2016-04-15$40.89$37.5025.0%7.2%20.7%22.8%25.2%3.8%-1.5%1.6M-22.2M-89.7K0.4947.53N/AN/A2,1241,05015,5745,060
2016-04-18$41.31$37.5024.1%6.9%18.8%20.5%25.0%2.9%-0.5%1.9M-22.5M-92.5K0.7131.31N/AN/A1,4391,01615,0684,475
2016-04-19$41.40$37.5024.3%7.0%18.2%20.8%25.4%2.9%-0.9%2.0M-24.1M-97.4K0.7338.91N/AN/A1,25991615,7534,578
2016-04-20$41.55$37.5024.6%7.1%18.3%21.8%26.1%2.7%-2.1%2.1M-25.2M-97.2K0.6022.46N/AN/A1,60796315,7644,608
2016-04-21$41.87$40.0026.2%7.5%17.8%26.1%25.8%3.0%-3.0%2.1M-27.5M-97.9K0.9245.66N/AN/A1,04796116,0334,712
2016-04-22$41.82$40.0026.0%7.4%17.8%25.5%26.7%2.9%-2.6%2.1M-27.0M-96.3K1.2129.66N/AN/A75290915,7964,734
2016-04-25$41.62$40.0027.1%7.8%18.0%28.5%27.7%3.0%-2.4%2.1M-26.7M-93.9K0.4631.79N/AN/A1,85985515,8434,754
2016-04-26$41.34$40.0027.1%7.8%17.6%28.6%29.0%2.2%-2.9%2.1M-25.0M-93.7K0.6230.29N/AN/A1,39186116,7204,752
2016-04-27$41.63$40.0026.8%7.7%17.7%27.8%29.0%2.5%-2.6%2.2M-25.1M-90.8K0.7358.29N/AN/A1,27893716,2554,755
2016-04-28$41.10$40.0028.5%8.2%18.3%32.5%26.4%2.8%-3.0%2.0M-21.6M-87.2K0.9355.33N/AN/A1,1051,03316,2634,847
2016-04-29$40.93$40.0029.1%8.3%18.1%34.0%28.4%3.1%-3.7%2.0M-20.5M-87.9K1.2233.92N/AN/A1,2451,52116,6104,893