A Options History — February 2017

In February 2017, A traded between $48.88 and $51.68. ATM implied volatility averaged 24.1%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.3% (HV 20d: 18.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-02-13: Highest Volume — 6,180 contracts
  • 2017-02-08: Largest IV drop — 29.2% change
  • 2017-02-06: Highest IV Rank — 54.6%
  • 2017-02-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.58$48.88$51.68$49.18$51.32
Max Pain$48.95$45.00$50.00$45.00$50.00
ATM IV24.1%17.8%35.0%31.7%20.5%
Expected Move6.4%5.1%9.1%9.1%5.9%
HV 20d18.8%16.0%22.1%22.1%16.0%
HV 60d20.3%18.7%21.9%21.9%18.7%
IV Rank28.9%11.2%54.6%45.7%20.7%
IV Percentile46.3%5.6%95.6%90.9%28.2%
Term Structure0.2%-5.9%4.4%-5.9%-2.1%
VWIV23.0%18.8%31.2%31.2%20.9%
Skew 25d1.6%0.6%3.3%3.3%1.3%
Skew 10d3.4%1.9%7.1%7.1%3.4%
Call IV 25d22.2%17.9%29.9%29.9%20.1%
Put IV 25d23.8%19.6%33.2%33.2%21.4%
Bid-Ask Spread %21.927.5661.0961.0916.51
Gamma HHI0.510.340.740.350.59
Net GEX1.9M1.5M2.9M1.8M1.7M
Net DEX-35.4M-58.2M-21.8M-32.9M-22.3M
Net VEX-90.9K-100.3K-79.0K-90.5K-95.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.074.480.644.48
Total Volume1,707.6327506,1801,1821,988
Total OI17,268.63212,88823,72016,99013,665

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$49.18$45.0031.7%9.1%22.1%45.7%31.2%3.3%-5.9%1.8M-32.9M-90.5K0.6461.09N/AN/A71946312,9034,087
2017-02-02$48.88$47.5031.6%7.2%22.0%45.4%25.5%2.5%-0.3%1.8M-30.8M-90.3K1.0619.19N/AN/A41644312,8514,211
2017-02-03$49.42$47.5032.3%7.1%21.5%47.3%24.9%1.5%0.0%1.8M-34.0M-89.4K0.7527.94N/AN/A62746812,9794,264
2017-02-06$49.28$47.5035.0%7.4%19.1%54.6%25.6%1.5%-0.7%1.9M-33.6M-86.0K0.2521.96N/AN/A1,71242113,1514,299
2017-02-07$49.51$47.5034.5%7.2%19.1%53.2%25.3%0.7%-0.5%1.9M-35.3M-85.2K0.7622.37N/AN/A54241213,2274,317
2017-02-08$49.95$47.5024.4%7.0%19.2%26.1%24.7%1.7%0.3%1.9M-38.2M-83.1K0.8712.67N/AN/A40234813,2104,381
2017-02-09$50.49$47.5024.7%7.1%18.1%36.0%25.3%1.0%-0.0%1.9M-41.5M-81.2K0.6616.30N/AN/A83955113,2314,384
2017-02-10$50.29$50.0024.8%7.1%17.3%36.2%24.7%1.2%-0.3%1.8M-39.7M-83.9K0.977.56N/AN/A55954513,2824,653
2017-02-13$50.60$50.0025.5%7.3%17.3%38.9%25.4%1.1%-0.9%1.9M-41.1M-79.0K0.0715.57N/AN/A5,79438613,2544,685
2017-02-14$50.44$50.0024.6%7.0%17.2%35.4%25.0%0.6%-0.4%2.7M-47.5M-92.3K0.7614.11N/AN/A1,31999615,9204,787
2017-02-15$51.62$50.0018.1%5.2%18.6%12.3%19.2%1.8%3.3%2.9M-58.2M-86.0K1.5421.94N/AN/A1,4862,29116,8195,835
2017-02-16$50.83$50.0019.0%5.5%18.9%15.4%18.8%2.3%3.1%2.8M-48.7M-100.3K0.5413.99N/AN/A1,00854816,7086,898
2017-02-17$51.52$50.0018.2%5.2%19.1%12.4%19.1%1.0%4.4%1.5M-54.5M-97.9K0.8021.01N/AN/A82966416,7786,942
2017-02-21$51.41$50.0018.8%5.4%19.1%14.8%20.1%2.3%0.8%1.5M-21.8M-97.7K2.0713.11N/AN/A3417058,7274,161
2017-02-22$51.39$50.0018.7%5.4%19.1%14.4%20.8%1.6%1.0%1.5M-21.8M-98.2K1.5045.24N/AN/A5017508,7804,413
2017-02-23$51.49$50.0018.2%5.2%18.0%12.6%19.5%1.6%1.3%1.5M-22.9M-97.6K1.1519.42N/AN/A5085848,9054,502
2017-02-24$51.68$50.0017.8%5.1%17.9%11.2%19.7%1.7%1.1%1.6M-23.8M-97.1K0.9321.30N/AN/A5364998,9204,466
2017-02-27$51.68$50.0019.3%5.5%17.8%16.4%20.4%1.5%-0.5%1.6M-23.9M-94.8K0.9325.10N/AN/A6446018,9744,535
2017-02-28$51.32$50.0020.5%5.9%16.0%20.7%20.9%1.3%-2.1%1.7M-22.3M-95.9K4.4816.51N/AN/A3631,6259,0874,578