A Options History — December 2016

In December 2016, A traded between $43.13 and $46.60. ATM implied volatility averaged 21.5%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.8% (HV 20d: 22.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2016-12-07: Highest Volume — 2,122 contracts
  • 2016-12-12: Largest IV spike — 40.7% change
  • 2016-12-12: Highest IV Rank — 33.2%
  • 2016-12-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.62$43.13$46.60$43.13$45.43
Max Pain$44.52$42.50$45.00$45.00$45.00
ATM IV21.5%19.5%27.5%24.0%20.6%
Expected Move6.0%5.6%6.9%6.9%5.9%
HV 20d22.2%16.8%26.6%25.5%16.8%
HV 60d23.5%22.9%25.3%24.9%23.1%
IV Rank17.5%12.4%33.2%24.1%15.2%
IV Percentile30.3%17.5%67.9%45.2%26.6%
Term Structure4.6%-0.9%8.3%-0.9%5.9%
VWIV21.1%18.1%24.1%24.0%20.8%
Skew 25d4.5%2.4%7.2%3.9%4.4%
Skew 10d6.6%4.1%8.5%6.0%5.1%
Call IV 25d19.3%17.6%22.5%22.5%19.2%
Put IV 25d23.8%21.6%26.5%26.4%23.6%
Bid-Ask Spread %34.1120.7860.1630.3448.71
Gamma HHI0.440.320.560.320.47
Net GEX875.8K-329.1K1.5M-329.1K1.1M
Net DEX-8.5M-15.3M4.6M4.6M-6.5M
Net VEX-72.0K-80.7K-60.5K-72.0K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.323.082.611.68
Total Volume1,192.1436512,1221,917756
Total OI15,970.85713,96918,56316,26614,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$43.13$45.0024.0%6.9%25.5%24.1%24.0%3.9%-0.9%-329.1K4.6M-72.0K2.6130.34N/AN/A5311,3868,8527,414
2016-12-02$44.05$45.0021.8%6.2%26.6%18.4%22.5%2.6%-0.3%-190.8K1.0M-77.3K0.7831.26N/AN/A6495058,9687,922
2016-12-05$44.60$42.5021.3%6.0%26.3%17.1%21.0%5.7%4.5%81.2K-2.2M-76.8K3.0827.79N/AN/A4901,5079,1047,970
2016-12-06$44.76$42.5021.0%6.0%24.2%16.3%20.6%3.4%2.9%147.6K-3.2M-75.7K2.1121.78N/AN/A4429329,1997,600
2016-12-07$44.89$42.5020.9%5.9%24.3%16.0%19.3%5.9%5.3%286.8K-4.8M-76.4K2.8722.02N/AN/A5491,5739,2497,594
2016-12-08$45.76$42.5022.1%6.0%25.2%19.1%21.8%6.5%6.5%735.0K-10.6M-79.3K1.7420.78N/AN/A7281,2709,3067,596
2016-12-09$46.29$45.0019.6%5.9%24.0%12.5%22.3%6.2%5.4%793.5K-13.1M-80.7K1.8933.48N/AN/A4498509,3588,447
2016-12-12$46.19$45.0027.5%6.1%23.3%33.2%21.2%6.4%7.3%1.0M-13.2M-78.2K1.0221.26N/AN/A5515609,4147,873
2016-12-13$46.45$45.0023.9%5.9%21.8%23.7%21.5%6.8%6.3%1.2M-14.8M-77.1K0.8721.07N/AN/A5554859,4067,882
2016-12-14$46.28$45.0022.2%6.4%21.7%19.5%20.3%7.2%5.8%1.1M-14.2M-75.6K0.3232.75N/AN/A1,6095099,5307,892
2016-12-15$46.60$45.0021.4%6.1%21.4%17.3%23.6%2.4%2.9%1.4M-15.3M-77.8K1.6724.01N/AN/A30250410,5997,924
2016-12-16$45.88$45.0021.5%6.2%22.0%17.6%24.1%5.7%6.3%1.1M-12.8M-73.5K0.8723.38N/AN/A58451010,6327,931
2016-12-19$45.42$45.0020.7%5.9%21.4%15.4%21.7%2.6%3.9%911.4K-6.4M-65.7K1.3040.98N/AN/A3134079,2984,671
2016-12-20$46.14$45.0020.7%5.9%21.9%15.4%19.9%2.9%4.3%1.2M-9.9M-70.1K1.0136.14N/AN/A4094129,2934,676
2016-12-21$46.09$45.0020.4%5.9%21.6%14.9%20.0%2.9%4.5%1.3M-10.0M-69.6K1.3760.16N/AN/A2753769,4594,701
2016-12-22$45.96$45.0020.3%5.8%21.6%14.5%19.3%2.8%4.2%1.2M-9.4M-67.6K1.2233.55N/AN/A3884729,4584,700
2016-12-23$46.16$45.0020.3%5.8%21.6%14.5%19.8%3.2%4.7%1.3M-8.8M-66.2K1.7246.39N/AN/A3125379,5004,761
2016-12-27$46.58$45.0019.5%5.6%18.4%12.4%20.6%2.8%4.8%1.5M-12.2M-66.7K1.5748.10N/AN/A2704249,5214,730
2016-12-28$45.77$45.0020.8%6.0%18.9%15.8%21.4%3.3%4.6%1.2M-8.2M-62.4K2.0952.80N/AN/A2956179,5604,734
2016-12-29$45.66$45.0020.2%5.8%18.6%14.2%18.1%7.0%8.3%1.3M-7.9M-62.0K1.5239.54N/AN/A2944489,4574,847
2016-12-30$45.43$45.0020.6%5.9%16.8%15.2%20.8%4.4%5.9%1.1M-6.5M-60.5K1.6848.71N/AN/A2824749,5104,850