A Options History — April 2017

In April 2017, A traded between $52.44 and $55.39. ATM implied volatility averaged 19.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.5% (HV 20d: 12.6%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-04-17: Highest Volume — 2,909 contracts
  • 2017-04-12: Largest IV spike — 28.2% change
  • 2017-04-17: Highest IV Rank — 31.1%
  • 2017-04-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.41$52.44$55.39$53.13$55.01
Max Pain$50.00$47.50$52.50$52.50$50.00
ATM IV19.1%17.1%23.4%18.6%17.5%
Expected Move5.7%5.0%6.7%5.3%5.0%
HV 20d12.6%7.3%18.5%18.1%10.9%
HV 60d16.6%15.0%18.3%18.3%15.1%
IV Rank15.6%8.4%31.1%14.0%10.1%
IV Percentile21.4%2.8%61.5%16.3%4.4%
Term Structure1.9%-1.0%5.0%3.9%3.8%
VWIV20.7%16.1%26.4%20.0%18.1%
Skew 25d2.0%1.1%3.0%3.0%1.5%
Skew 10d4.5%2.4%7.3%5.4%2.7%
Call IV 25d19.6%16.9%24.2%18.0%17.5%
Put IV 25d21.6%18.9%26.1%21.0%19.0%
Bid-Ask Spread %36.5411.1695.4392.5655.37
Gamma HHI0.330.260.480.270.47
Net GEX1.5M1.1M2.0M1.2M1.6M
Net DEX-24.8M-38.1M-15.4M-19.9M-36.1M
Net VEX-106.8K-123.5K-93.4K-103.8K-108.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.381.160.620.58
Total Volume1,406.1589512,9091,4321,114
Total OI17,256.15815,88620,06715,88617,694

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$53.13$52.5018.6%5.3%18.1%14.0%20.0%3.0%3.9%1.2M-19.9M-103.8K0.6292.56N/AN/A8865469,4206,466
2017-04-04$52.59$52.5018.3%5.2%18.5%12.9%18.3%1.8%4.0%1.1M-17.2M-104.6K0.6877.00N/AN/A6394359,4216,568
2017-04-05$52.81$52.5017.7%5.1%18.5%10.7%19.8%2.1%5.0%1.2M-18.1M-102.0K1.0395.43N/AN/A5345519,3736,592
2017-04-06$53.02$47.5017.1%6.3%18.5%8.4%21.1%1.9%0.1%1.3M-19.6M-99.1K1.1419.75N/AN/A4455069,4066,628
2017-04-07$52.89$47.5017.9%6.5%17.9%11.3%21.7%1.9%-0.7%1.2M-19.0M-100.0K1.0318.63N/AN/A5045209,4036,616
2017-04-10$52.75$47.5018.2%6.4%17.9%12.6%23.6%1.4%-0.5%1.2M-18.3M-96.6K1.1611.99N/AN/A5216039,3766,630
2017-04-11$52.75$50.0017.9%6.6%17.8%11.5%23.9%2.1%-0.6%1.3M-17.7M-97.6K0.5212.43N/AN/A1,0325329,4256,652
2017-04-12$52.50$50.0023.0%6.6%11.1%29.7%26.4%2.8%-1.0%1.1M-16.1M-98.8K0.7720.61N/AN/A6945349,4746,677
2017-04-13$52.44$50.0022.6%6.5%8.4%28.2%23.6%1.7%-0.9%1.2M-15.4M-96.0K0.7434.02N/AN/A7635659,4626,675
2017-04-17$52.85$50.0023.4%6.7%8.6%31.1%23.8%1.9%-0.3%1.3M-17.7M-93.4K0.4054.08N/AN/A2,0788319,4556,714
2017-04-18$53.11$50.0019.6%5.6%8.7%17.6%20.6%2.6%2.4%2.0M-27.5M-123.5K1.0118.39N/AN/A1,0551,06312,8607,068
2017-04-19$52.97$50.0019.6%5.6%7.9%17.6%19.0%3.0%2.7%2.0M-27.2M-121.6K0.6111.16N/AN/A74545112,8557,049
2017-04-20$53.17$50.0019.1%5.5%7.3%15.7%20.2%1.5%3.8%2.0M-28.2M-122.8K0.3823.80N/AN/A1,20646212,9037,049
2017-04-21$53.33$50.0020.5%5.9%7.4%20.7%21.4%2.1%1.5%1.6M-30.8M-120.4K0.5715.39N/AN/A84748413,0826,985
2017-04-24$54.40$50.0018.0%5.2%10.1%11.9%18.8%1.1%2.7%1.6M-33.8M-112.6K0.4520.85N/AN/A1,24955911,7935,545
2017-04-25$54.85$50.0017.6%5.0%10.4%10.2%18.2%1.8%3.2%1.6M-35.1M-109.9K0.6748.11N/AN/A82855511,6735,707
2017-04-26$54.86$50.0017.8%5.1%10.4%11.2%18.3%1.5%3.9%1.5M-35.2M-110.0K0.6330.31N/AN/A72545511,7835,753
2017-04-27$55.39$50.0017.7%5.1%10.4%10.7%16.1%2.0%4.0%1.5M-38.1M-107.3K0.5434.47N/AN/A77742311,8695,766
2017-04-28$55.01$50.0017.5%5.0%10.9%10.1%18.1%1.5%3.8%1.6M-36.1M-108.8K0.5855.37N/AN/A70441011,9105,784