A Options History — August 2016

In August 2016, A traded between $46.70 and $48.43. ATM implied volatility averaged 22.7%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.5% (HV 20d: 17.2%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-08-17: Highest Volume — 7,319 contracts
  • 2016-08-10: Largest IV drop — 31.5% change
  • 2016-08-09: Highest IV Rank — 44.1%
  • 2016-08-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.52$46.70$48.43$47.85$47.00
Max Pain$46.96$45.00$47.50$45.00$47.50
ATM IV22.7%17.6%31.7%26.3%18.2%
Expected Move6.1%5.0%7.8%7.6%5.2%
HV 20d17.2%13.2%20.9%18.3%20.1%
HV 60d22.3%20.8%23.2%22.4%23.2%
IV Rank20.7%7.5%44.1%30.2%9.0%
IV Percentile22.6%1.2%68.3%35.3%4.0%
Term Structure-0.1%-5.5%4.2%-4.6%-0.1%
VWIV21.5%17.7%27.6%26.8%18.7%
Skew 25d2.8%2.0%4.0%2.9%2.1%
Skew 10d6.5%4.3%10.3%6.9%5.0%
Call IV 25d20.7%17.1%26.7%25.1%18.8%
Put IV 25d23.5%19.5%29.1%28.0%20.9%
Bid-Ask Spread %19.314.3454.9554.954.34
Gamma HHI0.350.220.410.400.32
Net GEX1.3M720.6K1.9M1.4M1.0M
Net DEX-20.9M-31.2M-9.1M-26.1M-10.5M
Net VEX-99.1K-112.1K-88.2K-90.8K-105.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.251.891.890.91
Total Volume2,036.7397767,3191,005776
Total OI17,850.43515,36125,88015,36118,206

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$47.85$45.0026.3%7.6%18.3%30.2%26.8%2.9%-4.6%1.4M-26.1M-90.8K1.8954.95N/AN/A34865710,1945,167
2016-08-02$47.20$45.0026.7%7.7%17.6%31.1%27.6%3.1%-4.6%1.4M-23.0M-90.9K1.3341.39N/AN/A42957110,2345,239
2016-08-03$47.06$45.0027.3%7.8%17.1%32.6%27.3%2.4%-5.5%1.5M-22.2M-91.9K1.3553.37N/AN/A37550710,3255,255
2016-08-04$46.88$45.0027.8%6.2%17.1%33.9%22.4%3.4%1.7%1.5M-21.1M-91.3K1.1918.48N/AN/A44653010,3985,285
2016-08-05$47.48$45.0027.8%6.1%15.4%33.8%21.6%3.8%1.8%1.5M-24.4M-90.2K1.5124.00N/AN/A55283410,4705,303
2016-08-08$47.20$47.5030.4%6.2%15.6%40.7%21.8%4.0%1.3%1.5M-23.0M-88.2K0.2531.42N/AN/A2,76468710,5845,529
2016-08-09$47.47$47.5031.7%6.2%13.3%44.1%21.3%2.9%1.3%1.8M-25.5M-96.9K0.4122.40N/AN/A1,53363211,7755,558
2016-08-10$47.48$47.5021.7%6.2%13.2%18.2%21.7%3.1%0.7%1.7M-25.9M-94.4K1.7112.68N/AN/A39768011,7195,553
2016-08-11$48.13$47.5021.9%6.3%13.7%18.7%21.9%3.3%1.0%1.7M-29.0M-94.8K1.0811.62N/AN/A70075911,7515,734
2016-08-12$48.13$47.5022.1%6.3%13.6%19.3%21.4%2.6%1.0%1.6M-28.4M-94.9K0.707.67N/AN/A91063911,7365,913
2016-08-15$48.43$47.5024.2%6.9%13.7%24.6%23.3%3.0%-0.5%1.7M-30.5M-94.1K0.377.37N/AN/A3,1071,14912,1476,016
2016-08-16$48.34$47.5024.6%7.1%13.7%25.7%23.8%3.2%-0.4%1.7M-30.1M-101.0K0.286.24N/AN/A2,52471012,9446,493
2016-08-17$48.43$47.5025.4%7.3%13.6%27.8%25.3%2.8%-0.7%1.9M-31.2M-99.5K0.9030.47N/AN/A3,8593,46014,0166,521
2016-08-18$46.72$47.5017.7%5.1%18.7%7.7%18.2%2.0%4.2%720.6K-10.3M-96.6K0.6052.98N/AN/A2,3381,40816,5458,955
2016-08-19$47.63$47.5017.6%5.0%19.9%7.5%17.7%2.5%3.9%759.9K-29.7M-100.0K0.399.11N/AN/A2,8631,12817,2278,653
2016-08-22$47.59$47.5018.3%5.3%19.5%9.4%18.6%2.5%0.6%1.0M-13.2M-104.6K1.126.51N/AN/A66874710,8594,679
2016-08-23$47.88$47.5018.5%5.3%18.7%9.7%18.6%2.9%-0.9%1.2M-15.3M-106.5K0.475.74N/AN/A1,59274511,0974,831
2016-08-24$46.70$47.5018.5%5.3%20.6%9.9%18.8%2.1%-0.9%885.6K-9.1M-104.6K0.4811.44N/AN/A66331711,7385,033
2016-08-25$47.22$47.5019.1%5.5%20.9%11.4%19.7%2.5%-0.8%1.1M-12.1M-112.1K0.937.53N/AN/A48645012,0665,299
2016-08-26$47.37$47.5018.8%5.4%20.4%10.5%19.3%2.8%-0.4%1.1M-12.9M-111.2K0.8012.55N/AN/A55744612,1015,466
2016-08-29$47.61$47.5019.0%5.4%20.4%11.1%19.2%2.7%-0.8%1.2M-14.8M-110.9K0.777.34N/AN/A51439412,3295,518
2016-08-30$47.17$47.5018.3%5.2%20.1%9.3%19.6%2.4%-0.5%1.1M-11.7M-107.7K0.594.44N/AN/A62636812,5635,536
2016-08-31$47.00$47.5018.2%5.2%20.1%9.0%18.7%2.1%-0.1%1.0M-10.5M-105.9K0.914.34N/AN/A40736912,6135,593