A Options History — September 2016

In September 2016, A traded between $44.84 and $47.26. ATM implied volatility averaged 19.7%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.9% (HV 20d: 22.5%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-09-09: Highest Volume — 2,695 contracts
  • 2016-09-09: Largest IV spike — 36.3% change
  • 2016-09-13: Highest IV Rank — 31.3%
  • 2016-09-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.20$44.84$47.26$46.97$47.26
Max Pain$45.83$45.00$47.50$47.50$45.00
ATM IV19.7%15.7%26.8%17.9%19.2%
Expected Move5.5%4.5%6.4%5.1%5.5%
HV 20d22.5%19.4%26.2%20.1%23.7%
HV 60d22.5%19.9%25.1%23.1%20.2%
IV Rank12.8%2.6%31.3%8.3%11.7%
IV Percentile14.5%0.4%45.6%3.6%13.9%
Term Structure3.8%0.2%5.5%0.2%4.1%
VWIV20.2%17.1%23.9%20.6%21.2%
Skew 25d3.7%2.2%5.0%2.2%2.5%
Skew 10d7.9%3.4%10.5%5.2%9.7%
Call IV 25d18.5%15.6%21.1%18.9%20.1%
Put IV 25d22.2%19.0%25.8%21.0%22.6%
Bid-Ask Spread %23.894.2578.2419.3745.92
Gamma HHI0.310.280.340.300.32
Net GEX843.9K439.9K1.3M939.8K1.3M
Net DEX-7.3M-15.7M3.2M-9.5M-15.7M
Net VEX-87.4K-105.1K-80.3K-105.1K-83.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.574.130.750.99
Total Volume1,134.2867602,695844872
Total OI16,871.42914,17320,09718,24215,052

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$46.97$47.5017.9%5.1%20.1%8.3%20.6%2.2%0.2%939.8K-9.5M-105.1K0.7519.37N/AN/A48136312,6435,599
2016-09-02$46.99$47.5015.7%4.5%19.5%2.6%18.3%2.2%1.0%939.3K-9.8M-101.1K0.717.83N/AN/A48634412,7985,607
2016-09-06$46.93$47.5016.1%4.9%19.4%3.5%17.2%4.1%4.8%860.9K-8.9M-96.5K0.724.72N/AN/A51436812,8015,605
2016-09-07$47.09$47.5016.4%4.7%19.4%4.3%17.1%3.3%5.4%904.7K-10.2M-97.3K0.9313.66N/AN/A41638712,8715,606
2016-09-08$47.01$47.5016.2%4.6%19.4%3.9%17.7%3.5%5.5%876.9K-9.1M-95.5K0.7812.65N/AN/A42633412,8905,584
2016-09-09$45.00$47.5022.1%6.0%24.0%19.2%20.7%4.7%3.5%547.5K1.9M-81.8K2.069.37N/AN/A8801,81512,9235,577
2016-09-12$45.77$47.5024.3%6.1%25.0%24.8%21.2%5.0%3.3%703.2K-1.7M-85.0K1.0312.26N/AN/A75077213,1235,656
2016-09-13$44.86$45.0026.8%6.4%25.5%31.3%22.6%4.7%3.3%547.8K2.0M-81.9K1.0710.69N/AN/A44747713,2845,820
2016-09-14$44.84$45.0022.1%6.3%25.5%19.0%22.8%4.8%3.5%527.5K1.9M-80.3K1.104.25N/AN/A57262713,3025,727
2016-09-15$45.46$45.0021.0%6.0%26.2%16.3%23.9%4.3%4.1%691.0K-1.3M-83.6K4.1317.00N/AN/A3371,39213,4555,808
2016-09-16$44.87$45.0020.4%5.9%23.6%14.8%20.7%3.8%4.0%439.9K3.2M-81.3K0.9946.96N/AN/A54153713,4686,629
2016-09-19$45.00$45.0020.6%5.9%22.3%15.2%21.1%4.1%4.0%486.1K-4.4M-81.4K0.9010.06N/AN/A4744279,2664,907
2016-09-20$45.83$45.0021.0%6.0%23.5%16.3%21.0%3.9%3.5%700.2K-7.6M-85.4K0.5778.24N/AN/A7364219,3114,951
2016-09-21$46.09$45.0020.6%5.9%23.5%15.2%20.2%3.7%3.9%830.0K-9.5M-86.8K1.2019.98N/AN/A4695659,6774,978
2016-09-22$46.65$45.0018.0%5.2%22.3%8.5%19.5%3.6%4.5%1.0M-11.8M-87.3K1.1732.27N/AN/A4645439,6964,995
2016-09-23$46.61$45.0018.4%5.3%21.9%9.6%18.8%2.4%4.3%1.0M-12.5M-87.4K1.1326.01N/AN/A4364949,8065,058
2016-09-26$46.55$45.0019.3%5.5%21.9%12.0%19.5%3.5%4.1%996.8K-12.0M-84.7K0.7143.96N/AN/A6924889,8145,050
2016-09-27$46.68$45.0018.3%5.2%21.8%9.3%18.7%3.6%4.3%1.1M-12.6M-83.0K0.7725.93N/AN/A6384949,9235,037
2016-09-28$47.22$45.0018.9%5.4%22.0%10.7%19.4%4.8%4.3%1.2M-14.9M-84.0K0.5827.53N/AN/A8114679,9375,028
2016-09-29$46.44$45.0019.6%5.6%22.8%12.8%21.3%3.2%4.2%1.1M-11.9M-82.9K0.8132.94N/AN/A58847510,0315,007
2016-09-30$47.26$45.0019.2%5.5%23.7%11.7%21.2%2.5%4.1%1.3M-15.7M-83.7K0.9945.92N/AN/A43943310,0155,037