A Options History — January 2017

In January 2017, A traded between $46.47 and $49.21. ATM implied volatility averaged 27.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.8% (HV 20d: 20.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-01-11: Highest Volume — 15,722 contracts
  • 2017-01-11: Largest IV spike — 36.4% change
  • 2017-01-12: Highest IV Rank — 45.1%
  • 2017-01-12: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.97$46.47$49.21$46.47$48.96
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV27.1%21.6%31.5%21.6%30.4%
Expected Move8.0%6.2%9.0%6.2%8.7%
HV 20d20.3%17.0%23.2%17.0%23.2%
HV 60d22.6%20.5%23.9%23.6%21.9%
IV Rank33.1%17.8%45.1%17.8%42.3%
IV Percentile69.6%36.9%88.5%36.9%88.1%
Term Structure-2.0%-5.4%5.0%3.6%-5.1%
VWIV28.4%21.6%31.8%23.0%30.6%
Skew 25d2.1%0.8%5.0%1.6%0.8%
Skew 10d3.9%0.2%7.5%4.9%3.1%
Call IV 25d27.5%20.3%31.3%21.4%31.3%
Put IV 25d29.6%23.0%32.6%23.0%32.1%
Bid-Ask Spread %34.6111.8886.7553.2619.94
Gamma HHI0.400.310.810.520.35
Net GEX3.2M1.5M13.8M1.5M1.7M
Net DEX-31.2M-46.4M-11.2M-11.2M-31.7M
Net VEX-89.9K-115.5K-62.0K-62.0K-88.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.081.020.140.56
Total Volume2,475.271815,7223,7061,090
Total OI20,995.8514,35530,73214,35516,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$46.47$45.0021.6%6.2%17.0%17.8%23.0%1.6%3.6%1.5M-11.2M-62.0K0.1453.26N/AN/A3,2434639,5084,847
2017-01-04$47.12$45.0022.0%6.3%17.1%19.0%21.6%5.0%5.0%2.3M-24.4M-79.5K0.7776.18N/AN/A1,15589412,1804,839
2017-01-05$46.55$45.0021.7%7.3%17.9%18.1%26.1%3.5%-0.9%2.1M-19.2M-80.1K1.0212.70N/AN/A49350112,6675,259
2017-01-06$47.97$45.0022.5%7.5%20.5%20.1%26.4%3.6%-1.4%2.4M-30.1M-80.3K0.7316.83N/AN/A94769512,7755,271
2017-01-09$48.22$45.0021.6%7.5%19.7%17.8%28.0%2.8%-0.9%2.8M-34.7M-74.9K0.6322.06N/AN/A1,09768713,2485,526
2017-01-10$48.15$45.0022.6%7.7%19.4%21.2%27.9%3.4%-1.2%2.6M-31.7M-76.6K0.3825.92N/AN/A1,84370213,3505,728
2017-01-11$49.21$45.0030.9%8.8%20.6%43.4%31.3%1.3%-4.1%2.3M-43.1M-90.0K0.0841.31N/AN/A14,5181,20414,5885,945
2017-01-12$48.52$45.0031.5%9.0%21.4%45.1%31.8%2.3%-3.1%4.4M-44.4M-114.5K0.4732.09N/AN/A2,00393221,5316,432
2017-01-13$48.67$45.0030.1%8.6%21.3%41.3%29.7%0.8%-2.7%4.7M-46.4M-115.5K0.3522.18N/AN/A2,45286022,1346,792
2017-01-17$48.37$45.0029.7%8.5%21.5%40.3%31.1%0.8%-2.0%4.7M-43.6M-103.9K0.7422.45N/AN/A1,09381123,4357,114
2017-01-18$48.31$45.0028.5%8.2%20.5%37.2%28.3%1.3%-2.1%4.2M-42.5M-96.9K0.9338.03N/AN/A85379623,6377,011
2017-01-19$47.66$45.0028.8%8.3%20.8%37.9%28.9%1.9%-2.3%4.3M-33.6M-95.5K0.4178.47N/AN/A1,52263023,6337,099
2017-01-20$47.53$45.0027.9%8.0%20.3%35.5%28.5%2.1%-2.3%13.8M-31.9M-92.4K0.4151.74N/AN/A1,93779223,6697,011
2017-01-23$47.40$45.0027.8%8.0%20.3%35.2%28.4%2.2%-2.7%1.6M-22.8M-91.8K0.9111.88N/AN/A49745212,2173,710
2017-01-24$47.39$45.0028.4%8.1%20.3%36.7%29.1%1.6%-2.5%1.6M-23.1M-92.2K0.7219.53N/AN/A58241712,3303,835
2017-01-25$48.39$45.0028.4%8.1%21.4%36.8%28.3%1.3%-2.9%1.6M-28.2M-91.7K0.5113.85N/AN/A68935412,3583,917
2017-01-26$48.26$45.0028.6%8.2%21.3%37.5%29.7%0.8%-3.5%1.6M-27.4M-91.5K0.8486.75N/AN/A43036212,4493,935
2017-01-27$48.64$45.0027.9%8.0%20.1%35.4%27.7%2.3%-2.9%1.7M-29.9M-91.7K0.9624.55N/AN/A36735112,5553,995
2017-01-30$47.66$45.0030.8%8.8%21.7%43.3%31.6%2.7%-5.4%1.7M-24.0M-89.0K0.8922.50N/AN/A41837212,6264,001
2017-01-31$48.96$45.0030.4%8.7%23.2%42.3%30.6%0.8%-5.1%1.7M-31.7M-88.9K0.5619.94N/AN/A69739312,7234,037