A Options History — March 2017

In March 2017, A traded between $51.17 and $54.17. ATM implied volatility averaged 19.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 18.0%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.40.

Notable Days

  • 2017-03-07: Highest Volume — 9,436 contracts
  • 2017-03-09: Largest IV spike — 22.5% change
  • 2017-03-07: Highest IV Rank — 23.0%
  • 2017-03-27: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.59$51.17$54.17$52.09$52.96
Max Pain$51.30$50.00$52.50$50.00$52.50
ATM IV19.2%16.7%21.1%19.3%17.3%
Expected Move5.4%5.0%5.9%5.5%5.0%
HV 20d18.0%14.2%20.8%14.2%18.7%
HV 60d18.8%17.9%19.7%18.2%18.6%
IV Rank16.0%7.1%23.0%16.3%9.2%
IV Percentile20.1%2.4%38.5%18.7%2.8%
Term Structure2.6%-0.6%5.2%-0.6%5.2%
VWIV19.5%17.1%20.8%19.4%17.1%
Skew 25d1.5%-4.9%2.8%-0.3%1.8%
Skew 10d3.7%2.0%6.0%2.2%2.5%
Call IV 25d19.1%17.1%26.4%19.8%17.1%
Put IV 25d20.6%18.2%22.9%19.5%18.9%
Bid-Ask Spread %28.0110.2397.3055.0242.25
Gamma HHI0.340.250.510.460.27
Net GEX1.0M-172.2K1.9M1.5M1.2M
Net DEX-22.6M-37.0M-15.7M-24.8M-19.5M
Net VEX-106.8K-120.1K-99.3K-104.8K-108.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.1817.392.780.56
Total Volume2,244.4786819,4362,0961,392
Total OI17,136.95713,42522,39114,85515,988

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$52.09$50.0019.3%5.5%14.2%16.3%19.4%-0.3%-0.6%1.5M-24.8M-104.8K2.7855.02N/AN/A5551,5419,0855,770
2017-03-02$51.44$50.0018.3%5.3%15.2%13.0%19.3%0.7%0.0%1.7M-21.9M-107.2K2.6910.23N/AN/A5791,5589,3455,781
2017-03-03$52.00$50.0017.7%5.1%15.2%10.8%18.5%0.2%-0.6%1.7M-25.3M-104.9K4.8428.93N/AN/A3391,6409,4665,825
2017-03-06$51.37$50.0018.9%5.2%15.8%15.1%20.0%1.3%3.6%1.9M-22.0M-104.0K5.4219.24N/AN/A3371,8269,4915,803
2017-03-07$51.17$50.0021.1%5.7%15.8%23.0%20.3%2.2%2.7%1.9M-20.9M-104.4K17.3916.28N/AN/A5138,9239,4955,828
2017-03-08$51.34$50.0016.7%5.2%15.8%7.1%19.7%1.9%3.3%-172.2K-15.7M-120.1K4.5825.19N/AN/A4752,1749,64011,082
2017-03-09$51.45$50.0020.4%5.4%15.6%20.5%18.7%1.8%2.8%-127.7K-17.1M-118.1K5.5914.19N/AN/A3151,7629,74011,101
2017-03-10$52.20$50.0017.4%5.2%16.0%9.5%19.5%2.4%2.8%502.8K-25.8M-107.1K2.0725.49N/AN/A8031,6619,74911,124
2017-03-13$52.42$50.0019.7%5.3%15.8%17.7%18.6%2.5%3.3%887.0K-28.8M-105.2K2.2124.35N/AN/A7451,64910,18911,158
2017-03-14$52.16$50.0020.2%5.1%15.9%19.9%18.6%1.8%3.6%892.0K-27.5M-106.0K0.5324.42N/AN/A84545210,29411,304
2017-03-15$54.17$50.0018.8%5.4%20.4%14.6%20.4%-4.9%3.2%757.0K-37.0M-99.3K0.2197.30N/AN/A2,75458810,39111,307
2017-03-16$53.05$52.5020.1%5.8%20.8%19.4%19.8%2.8%2.9%1.5M-33.6M-105.4K0.1826.51N/AN/A3,51161810,97111,420
2017-03-17$53.38$52.5019.2%5.5%19.8%16.1%19.6%2.4%3.0%760.8K-32.9M-104.6K0.6425.67N/AN/A90458010,45411,539
2017-03-20$53.19$52.5019.6%5.6%19.5%17.7%20.2%2.6%2.0%745.7K-16.8M-103.3K0.4020.34N/AN/A1,0374147,2506,175
2017-03-21$52.64$52.5020.2%5.8%19.9%19.6%20.8%1.5%1.9%849.7K-16.0M-105.6K0.8424.99N/AN/A5054257,6896,202
2017-03-22$53.14$52.5020.1%5.8%20.1%19.4%20.1%2.0%1.8%927.2K-18.0M-104.3K1.5314.59N/AN/A2694127,7856,206
2017-03-23$53.13$52.5019.8%5.7%20.1%18.4%20.0%1.7%2.6%929.5K-18.2M-104.5K0.9532.16N/AN/A4284087,7976,207
2017-03-24$53.12$52.5019.6%5.6%20.1%17.4%20.7%1.3%2.8%898.7K-17.7M-104.0K0.4526.35N/AN/A9724377,7456,223
2017-03-27$53.28$52.5020.5%5.9%20.1%20.9%19.9%2.5%2.7%990.9K-19.3M-108.5K0.3115.98N/AN/A1,4314498,3046,361
2017-03-28$53.46$52.5019.7%5.6%19.9%17.7%20.6%1.2%2.7%1.0M-20.9M-109.6K0.3435.83N/AN/A1,4014768,9736,454
2017-03-29$53.13$52.5018.0%5.1%19.5%11.7%18.0%1.6%4.4%1.1M-19.3M-108.1K0.3422.97N/AN/A1,3824678,9976,468
2017-03-30$53.30$52.5018.3%5.2%18.8%12.7%19.4%2.4%3.7%1.2M-20.6M-108.2K0.3916.03N/AN/A1,2054669,5116,463
2017-03-31$52.96$52.5017.3%5.0%18.7%9.2%17.1%1.8%5.2%1.2M-19.5M-108.2K0.5642.25N/AN/A8934999,5146,474