A Options History — May 2016

In May 2016, A traded between $40.52 and $45.95. ATM implied volatility averaged 25.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.7% (HV 20d: 18.6%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-05-16: Highest Volume — 10,625 contracts
  • 2016-05-11: Largest IV drop — 21.3% change
  • 2016-05-03: Highest IV Rank — 44.2%
  • 2016-05-03: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$40.52$45.95$41.71$45.95
Max Pain$40.95$40.00$42.50$40.00$42.50
ATM IV25.3%17.7%32.8%29.2%18.9%
Expected Move6.8%5.1%9.4%8.4%5.4%
HV 20d18.6%15.6%21.3%18.8%19.3%
HV 60d21.7%20.7%24.3%24.3%20.8%
IV Rank23.6%3.0%44.2%34.2%6.1%
IV Percentile32.1%0.8%74.2%48.4%4.0%
Term Structure-1.4%-7.4%1.2%-4.7%0.4%
VWIV24.2%16.0%31.6%31.1%18.7%
Skew 25d3.2%2.3%4.3%2.3%3.4%
Skew 10d7.0%3.8%9.4%7.3%9.4%
Call IV 25d22.8%16.1%30.5%29.6%16.8%
Put IV 25d26.0%19.0%34.2%31.9%20.1%
Bid-Ask Spread %26.256.9885.8179.118.42
Gamma HHI0.430.320.820.320.46
Net GEX2.3M1.1M5.5M2.2M1.2M
Net DEX-33.4M-68.5M-17.1M-26.5M-27.5M
Net VEX-86.0K-91.0K-80.6K-91.0K-83.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.401.761.091.30
Total Volume3,421.4762,22210,6252,2632,335
Total OI22,936.52415,13132,80922,38216,551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$41.71$40.0029.2%8.4%18.8%34.2%31.1%2.3%-4.7%2.2M-26.5M-91.0K1.0979.11N/AN/A1,0831,18016,9925,390
2016-05-03$41.22$40.0032.8%9.4%17.9%44.2%31.6%2.9%-7.4%2.1M-22.8M-89.5K1.3440.94N/AN/A1,0001,34216,9935,541
2016-05-04$40.52$40.0032.1%9.2%17.3%42.3%31.3%3.7%-5.1%1.8M-17.1M-86.9K1.4649.78N/AN/A9611,40617,0445,800
2016-05-05$40.89$40.0032.2%7.7%16.0%42.6%27.1%3.7%-1.3%2.0M-19.5M-87.1K1.3913.03N/AN/A9711,35017,0865,898
2016-05-06$41.42$40.0031.7%7.0%16.5%41.0%26.4%4.2%-1.5%2.1M-23.3M-87.6K1.0914.83N/AN/A1,1721,27917,1065,931
2016-05-09$41.32$40.0032.3%6.9%16.5%42.7%24.8%4.3%-1.1%2.2M-23.1M-83.1K0.7116.13N/AN/A1,5841,13117,1795,933
2016-05-10$41.98$40.0032.7%7.0%17.1%43.9%25.8%3.8%-1.6%2.4M-27.8M-82.3K1.3615.15N/AN/A9721,32616,6695,948
2016-05-11$42.48$40.0025.7%7.4%15.6%24.9%26.1%3.8%-2.1%2.5M-32.9M-82.5K0.6114.46N/AN/A2,1381,30316,6175,985
2016-05-12$42.75$40.0026.0%7.5%15.7%25.6%26.1%3.8%-1.5%2.5M-36.0M-87.7K0.9510.24N/AN/A1,1401,08217,5126,284
2016-05-13$42.60$40.0027.1%7.8%15.8%28.5%26.4%2.5%-2.3%2.6M-34.8M-88.1K0.5116.97N/AN/A2,6981,37017,9136,314
2016-05-16$42.92$40.0028.9%8.3%15.7%33.5%28.6%2.6%-3.3%2.8M-42.0M-85.1K0.6213.91N/AN/A6,5774,04819,3886,589
2016-05-17$44.69$40.0023.2%6.7%20.8%18.0%23.7%3.3%-0.8%5.2M-68.5M-89.3K0.6228.51N/AN/A2,8631,76223,7519,058
2016-05-18$44.29$40.0021.4%6.1%21.3%12.9%22.1%2.9%0.1%4.8M-59.1M-83.5K0.7515.59N/AN/A2,3951,78722,6059,348
2016-05-19$44.56$42.5021.5%6.2%21.2%13.2%23.4%3.0%0.3%5.5M-62.7M-84.0K0.4015.06N/AN/A3,7741,50122,9039,558
2016-05-20$44.88$42.5020.3%5.8%21.2%10.1%20.6%3.3%0.2%1.1M-57.2M-80.6K0.5510.26N/AN/A3,6281,98922,4559,825
2016-05-23$44.57$42.5019.7%5.7%21.3%8.5%20.6%2.6%0.4%1.1M-20.1M-86.5K1.346.98N/AN/A1,0121,3589,7775,354
2016-05-24$45.05$42.5019.4%5.6%21.1%7.5%19.5%2.9%0.4%1.2M-23.1M-85.3K1.3810.46N/AN/A1,1941,65210,0605,455
2016-05-25$45.39$42.5019.5%5.6%21.1%7.7%19.7%2.5%-0.0%1.2M-25.0M-88.6K1.569.71N/AN/A9201,43410,3845,787
2016-05-26$45.51$42.5018.3%5.2%20.2%4.4%16.0%3.6%0.9%1.3M-25.5M-88.1K1.2675.98N/AN/A1,1891,50210,5005,861
2016-05-27$45.79$42.5017.7%5.1%19.9%3.0%19.5%2.9%1.2%1.2M-26.1M-85.7K1.7685.81N/AN/A8841,55910,3525,971
2016-05-31$45.95$42.5018.9%5.4%19.3%6.1%18.7%3.4%0.4%1.2M-27.5M-83.4K1.308.42N/AN/A1,0171,31810,5176,034