A Options History — June 2016

In June 2016, A traded between $42.31 and $46.64. ATM implied volatility averaged 20.3%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.6%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-06-27: Highest Volume — 3,903 contracts
  • 2016-06-24: Largest IV spike — 42.5% change
  • 2016-06-27: Highest IV Rank — 33.2%
  • 2016-06-27: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.22$42.31$46.64$45.95$44.25
Max Pain$40.57$40.00$42.50$42.50$42.50
ATM IV20.3%16.6%28.7%18.8%18.5%
Expected Move5.8%4.7%8.2%5.4%5.3%
HV 20d17.6%10.9%29.3%18.3%29.3%
HV 60d18.9%17.0%22.7%20.8%22.1%
IV Rank10.1%0.0%33.2%5.9%5.4%
IV Percentile8.9%0.0%42.9%3.6%2.4%
Term Structure3.0%0.6%4.6%0.6%4.6%
VWIV21.5%18.0%28.4%18.6%25.5%
Skew 25d4.2%2.3%6.2%2.3%3.4%
Skew 10d8.6%3.4%11.6%6.9%6.6%
Call IV 25d18.8%16.4%27.4%17.2%19.3%
Put IV 25d23.0%19.5%33.6%19.5%22.7%
Bid-Ask Spread %51.1310.0786.3611.4986.36
Gamma HHI0.400.280.470.470.29
Net GEX1.2M331.4K1.6M1.2M676.1K
Net DEX-21.4M-30.8M-2.0M-27.8M-7.7M
Net VEX-95.7K-104.4K-82.4K-82.4K-93.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.411.770.820.63
Total Volume2,380.0911,4863,9033,4742,220
Total OI18,711.27316,63121,10716,63118,156

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$45.95$42.5018.8%5.4%18.3%5.9%18.6%2.3%0.6%1.2M-27.8M-82.4K0.8211.49N/AN/A1,9111,56310,4946,137
2016-06-02$45.97$40.0018.3%5.3%16.4%4.5%20.0%3.9%3.9%1.4M-29.1M-95.5K0.7410.07N/AN/A2,0801,52911,7196,446
2016-06-03$45.72$40.0017.8%5.4%16.9%3.1%19.8%3.9%3.7%1.5M-27.4M-94.8K1.7314.86N/AN/A7951,37411,8546,466
2016-06-06$45.84$40.0018.8%5.4%16.7%6.0%19.8%3.9%3.6%1.4M-28.3M-92.7K1.7710.37N/AN/A7811,38111,8416,539
2016-06-07$45.73$40.0017.9%5.3%16.7%3.5%20.1%4.0%3.6%1.5M-27.7M-90.9K0.9510.38N/AN/A76272411,9296,612
2016-06-08$46.13$40.0019.0%5.4%16.3%6.4%18.0%3.6%3.0%1.4M-30.8M-86.9K0.8511.12N/AN/A87073711,9416,649
2016-06-09$46.09$40.0018.7%5.4%16.2%5.6%18.0%3.8%3.1%1.4M-30.6M-87.8K0.9612.94N/AN/A1,1651,11711,9486,658
2016-06-10$45.32$40.0019.8%5.7%17.8%8.5%21.8%4.9%3.7%1.4M-25.5M-96.4K0.7343.11N/AN/A1,9671,43612,3027,051
2016-06-13$44.91$40.0021.1%6.0%18.1%12.1%21.8%4.6%3.2%1.4M-22.5M-103.4K0.9542.92N/AN/A1,1511,09912,9757,678
2016-06-14$44.92$40.0021.6%6.2%18.1%13.4%23.2%4.7%3.1%1.4M-21.2M-104.4K0.8846.99N/AN/A1,08795913,0377,910
2016-06-15$44.92$40.0020.8%6.0%11.1%11.3%22.4%4.7%3.2%1.4M-22.7M-103.2K0.9078.32N/AN/A99989913,0048,006
2016-06-16$45.35$40.0020.5%5.9%11.0%10.6%20.8%4.7%3.5%1.6M-25.9M-101.8K0.7760.84N/AN/A1,13887313,0157,953
2016-06-17$45.36$40.0020.3%5.8%10.9%10.1%20.1%4.4%3.1%1.0M-27.5M-101.0K0.4162.23N/AN/A2,15787413,1217,986
2016-06-20$46.12$40.0019.6%5.6%12.0%8.0%19.5%4.3%3.5%1.3M-21.3M-98.9K0.6869.78N/AN/A1,28387110,4696,551
2016-06-21$46.17$40.0020.3%5.8%11.6%9.9%19.6%5.2%2.8%1.2M-22.8M-99.6K0.8869.73N/AN/A97285410,7746,682
2016-06-22$46.00$40.0021.0%6.0%11.3%11.9%20.6%4.0%2.0%1.2M-21.7M-101.4K0.7775.09N/AN/A1,08883910,8046,694
2016-06-23$46.64$40.0016.6%4.7%12.0%0.0%18.8%3.3%4.6%1.3M-25.3M-98.3K0.6981.19N/AN/A1,04172110,9316,699
2016-06-24$44.28$40.0023.6%6.8%22.4%19.2%24.1%4.7%1.9%904.8K-11.9M-98.0K0.6680.54N/AN/A1,5591,02710,9086,740
2016-06-27$42.31$42.5028.7%8.2%27.1%33.2%28.4%6.2%0.6%467.7K-2.0M-86.4K1.2284.21N/AN/A1,7592,14410,7196,873
2016-06-28$43.08$42.5024.9%7.1%28.1%22.6%26.1%4.3%1.5%331.4K-3.6M-93.1K0.8879.73N/AN/A1,4291,26210,7567,891
2016-06-29$43.79$42.5020.5%5.9%28.9%10.9%26.3%4.1%3.1%502.9K-7.5M-94.5K0.9182.67N/AN/A97888710,8017,929
2016-06-30$44.25$42.5018.5%5.3%29.3%5.4%25.5%3.4%4.6%676.1K-7.7M-93.4K0.6386.36N/AN/A1,36585510,1647,992