A Options History — October 2016

In October 2016, A traded between $43.28 and $47.71. ATM implied volatility averaged 24.7%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.2% (HV 20d: 22.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-10-18: Highest Volume — 1,777 contracts
  • 2016-10-11: Largest IV spike — 27.6% change
  • 2016-10-31: Highest IV Rank — 46.5%
  • 2016-10-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.54$43.28$47.71$47.15$43.66
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV24.7%17.4%32.6%19.4%32.6%
Expected Move7.4%5.3%9.4%5.6%9.4%
HV 20d22.5%16.8%27.9%23.7%26.2%
HV 60d20.9%19.0%23.3%19.6%23.1%
IV Rank25.9%7.0%46.5%12.1%46.5%
IV Percentile43.7%2.4%86.1%14.7%86.1%
Term Structure-2.2%-5.8%5.2%4.3%-5.2%
VWIV25.4%20.9%30.4%20.9%30.4%
Skew 25d3.9%2.0%5.7%2.6%5.3%
Skew 10d7.1%-2.9%14.6%6.3%14.6%
Call IV 25d24.1%19.7%29.6%19.9%29.6%
Put IV 25d28.0%21.7%34.9%22.4%34.9%
Bid-Ask Spread %49.4714.8292.6950.4288.55
Gamma HHI0.310.240.380.330.25
Net GEX892.0K298.0K1.6M1.3M357.0K
Net DEX-8.5M-19.3M-448.4K-15.4M-1.0M
Net VEX-65.1K-80.4K-49.0K-80.4K-49.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.341.521.350.92
Total Volume912.4297081,777924939
Total OI14,505.52412,05715,81715,02612,402

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$47.15$45.0019.4%5.6%23.7%12.1%20.9%2.6%4.3%1.3M-15.4M-80.4K1.3550.42N/AN/A3935319,9905,036
2016-10-04$46.77$45.0019.6%5.6%23.9%12.5%21.4%2.5%4.5%1.2M-13.5M-79.4K1.5192.69N/AN/A3264919,9965,127
2016-10-05$47.14$45.0018.6%5.3%24.0%10.0%21.0%2.0%5.2%1.3M-15.9M-79.7K1.2883.67N/AN/A31640310,0095,133
2016-10-06$47.22$45.0018.0%6.8%24.0%8.4%24.9%4.0%-4.6%1.4M-16.2M-77.8K1.2124.30N/AN/A32739710,0195,121
2016-10-07$47.39$45.0017.4%6.7%17.5%7.0%24.4%4.7%-1.2%1.5M-16.8M-76.7K1.0819.43N/AN/A36739710,0415,124
2016-10-10$47.71$45.0018.0%6.8%16.8%8.4%24.6%3.1%-5.8%1.6M-19.3M-75.0K0.9416.97N/AN/A42840310,1315,125
2016-10-11$45.71$45.0022.9%7.5%21.9%21.3%26.5%4.5%-1.8%906.0K-8.3M-70.5K1.3816.46N/AN/A31343210,1695,150
2016-10-12$45.48$45.0026.2%7.5%22.0%29.9%26.1%3.9%-2.2%844.8K-7.0M-67.6K1.3122.85N/AN/A31240910,1755,141
2016-10-13$45.23$45.0026.3%7.5%21.5%29.9%26.5%4.2%-2.3%719.9K-5.5M-65.9K1.0214.82N/AN/A51752810,2065,163
2016-10-14$45.19$45.0025.7%7.4%21.0%28.6%26.2%4.0%-3.0%750.1K-5.5M-65.6K1.1620.10N/AN/A40747410,2975,282
2016-10-17$45.18$45.0026.5%7.6%21.0%30.4%26.2%3.7%-2.2%760.9K-5.2M-62.1K1.2723.98N/AN/A36546310,3015,296
2016-10-18$45.46$45.0026.4%7.6%20.0%30.3%24.3%4.2%-2.6%860.3K-6.9M-62.6K0.3421.47N/AN/A1,32445310,3015,306
2016-10-19$46.05$45.0025.9%7.4%20.5%29.0%24.1%4.0%-3.1%1.1M-10.6M-65.8K0.5528.12N/AN/A89048610,4835,305
2016-10-20$46.04$45.0025.8%7.4%20.0%28.6%25.4%4.0%-3.8%1.1M-10.3M-64.9K1.0327.03N/AN/A40641710,4875,330
2016-10-21$45.60$45.0025.6%7.3%20.2%28.2%25.9%4.5%-2.8%807.4K-9.3M-61.7K1.0178.39N/AN/A53354110,4875,325
2016-10-24$45.86$45.0025.6%7.3%20.4%28.3%25.7%4.4%-2.2%944.1K-8.7M-60.9K1.5279.12N/AN/A3655548,3233,734
2016-10-25$43.42$45.0029.3%8.4%27.9%37.9%27.5%3.6%-4.2%335.8K-762.2K-50.4K0.8789.96N/AN/A5034398,3743,769
2016-10-26$43.34$45.0028.8%8.3%27.3%36.5%27.5%3.1%-3.4%298.0K-448.4K-49.6K0.9180.62N/AN/A4484078,3843,846
2016-10-27$43.40$45.0029.7%8.5%27.0%38.9%27.3%4.6%-4.0%323.5K-850.8K-50.6K1.1175.34N/AN/A3553948,4413,896
2016-10-28$43.28$45.0030.9%8.8%25.8%41.9%27.3%5.7%-4.7%316.3K-709.3K-50.9K1.3184.50N/AN/A3064028,4893,902
2016-10-31$43.66$45.0032.6%9.4%26.2%46.5%30.4%5.3%-5.2%357.0K-1.0M-49.0K0.9288.55N/AN/A4884518,4883,914