A Options History — July 2016

In July 2016, A traded between $43.81 and $48.14. ATM implied volatility averaged 21.6%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 7.1% (HV 20d: 28.7%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-07-15: Highest Volume — 2,848 contracts
  • 2016-07-13: Largest IV spike — 49.9% change
  • 2016-07-25: Highest IV Rank — 28.7%
  • 2016-07-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.22$43.81$48.14$44.63$48.14
Max Pain$44.88$42.50$45.00$42.50$45.00
ATM IV21.6%14.7%25.8%17.8%24.9%
Expected Move6.7%5.1%7.4%5.1%7.1%
HV 20d28.7%18.0%32.5%29.5%18.1%
HV 60d22.7%21.8%23.0%21.8%22.3%
IV Rank16.5%0.0%28.7%3.4%26.3%
IV Percentile16.4%0.0%31.0%1.2%29.8%
Term Structure-0.9%-3.5%5.4%5.4%-3.3%
VWIV24.2%21.1%29.0%21.1%25.3%
Skew 25d3.9%0.8%5.3%0.8%3.4%
Skew 10d8.7%1.7%12.6%1.7%9.1%
Call IV 25d22.3%20.7%24.5%21.1%23.2%
Put IV 25d26.1%21.8%28.6%21.8%26.6%
Bid-Ask Spread %65.4516.1488.8088.8082.78
Gamma HHI0.360.290.400.310.40
Net GEX1.2M545.6K1.5M881.9K1.4M
Net DEX-18.9M-27.0M-5.7M-10.8M-27.0M
Net VEX-91.9K-97.8K-84.1K-96.5K-93.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.351.770.751.61
Total Volume1,591.19052,8481,6611,087
Total OI16,740.5513,90219,53818,45115,254

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$44.63$42.5017.8%5.1%29.5%3.4%21.1%0.8%5.4%881.9K-10.8M-96.5K0.7588.80N/AN/A94771410,4627,989
2016-07-05$43.81$45.0017.7%7.0%30.0%3.1%29.0%4.8%-0.8%545.6K-5.7M-91.0K0.9124.49N/AN/A98589610,4737,980
2016-07-06$44.54$45.0020.2%7.1%30.8%10.0%24.7%5.3%-1.1%846.5K-10.1M-91.7K0.6816.14N/AN/A1,13276710,4618,034
2016-07-07$44.38$45.0019.5%6.9%30.6%8.1%27.6%4.5%-0.7%844.8K-9.5M-91.9K0.8423.73N/AN/A90776610,7538,095
2016-07-08$45.53$45.0017.6%6.7%32.1%2.8%23.7%4.5%-0.4%1.4M-17.8M-90.8K0.4522.88N/AN/A1,21055010,7538,144
2016-07-11$45.44$45.0019.9%6.8%31.5%9.1%24.0%4.4%-0.7%1.4M-18.3M-87.9K0.5722.64N/AN/A1,11763510,8498,201
2016-07-12$46.55$45.0014.7%6.1%32.4%0.0%22.3%4.6%0.4%1.5M-24.6M-86.2K0.4175.73N/AN/A1,34655610,8708,258
2016-07-13$46.41$45.0022.1%6.3%32.5%19.0%23.1%3.6%-0.5%1.5M-24.9M-86.6K0.5975.88N/AN/A1,12266711,0068,283
2016-07-14$46.80$45.0022.2%6.4%32.5%19.4%22.8%3.6%-0.4%1.3M-26.3M-84.9K0.4177.30N/AN/A1,38857211,0298,405
2016-07-15$46.66$45.0021.9%6.3%32.5%18.6%23.6%3.1%0.8%1.0M-25.9M-84.1K0.3579.44N/AN/A2,11473411,1278,411
2016-07-18$46.78$45.0022.5%6.4%32.5%20.1%24.3%4.6%-0.9%1.2M-18.6M-94.4K0.3878.96N/AN/A1,4635639,0544,848
2016-07-19$46.73$45.0022.9%6.6%32.0%21.1%23.7%4.4%-1.4%1.1M-18.3M-94.0K1.1280.14N/AN/A4394919,0844,872
2016-07-20$47.06$45.0022.6%6.5%32.0%20.5%22.1%3.7%-0.9%1.2M-20.4M-92.1K0.4480.02N/AN/A1,1234959,1034,910
2016-07-21$46.62$45.0023.0%6.6%32.2%21.5%22.7%2.8%-1.0%1.2M-19.2M-97.8K0.8578.85N/AN/A6795749,5154,923
2016-07-22$46.55$45.0022.6%6.5%31.9%20.4%21.9%3.1%-0.5%1.2M-18.8M-96.8K0.7683.75N/AN/A7045389,5885,015
2016-07-25$46.10$45.0025.8%7.4%25.7%28.7%23.9%5.2%-3.1%1.2M-16.3M-95.0K0.8683.69N/AN/A6515579,6705,022
2016-07-26$46.91$45.0024.0%6.9%19.1%24.2%25.2%3.0%-2.4%1.3M-20.2M-94.2K0.8783.71N/AN/A6295459,6545,034
2016-07-27$47.27$45.0024.8%7.1%18.5%26.2%26.8%4.3%-3.2%1.2M-22.0M-94.2K1.7779.84N/AN/A3275789,7065,106
2016-07-28$47.57$45.0025.6%7.3%18.0%28.3%26.0%3.3%-3.5%1.2M-23.3M-93.9K1.1770.23N/AN/A5796759,7355,135
2016-07-29$48.14$45.0024.9%7.1%18.1%26.3%25.3%3.4%-3.3%1.4M-27.0M-93.1K1.6182.78N/AN/A41667110,0895,165