A Options History — May 2017

In May 2017, A traded between $55.84 and $60.40. ATM implied volatility averaged 18.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.8% (HV 20d: 14.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-05-23: Highest Volume — 8,239 contracts
  • 2017-05-23: Largest IV drop — 27.4% change
  • 2017-05-22: Highest IV Rank — 32.9%
  • 2017-05-22: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.17$55.84$60.40$55.91$60.40
Max Pain$54.32$50.00$55.00$50.00$55.00
ATM IV18.9%15.3%23.9%18.7%17.2%
Expected Move5.6%4.4%6.8%5.4%4.9%
HV 20d14.1%10.7%18.8%11.6%18.1%
HV 60d15.4%14.3%16.7%15.3%16.0%
IV Rank14.9%1.9%32.9%14.3%8.9%
IV Percentile26.5%0.4%71.4%21.4%5.6%
Term Structure0.7%-2.7%3.6%2.6%0.2%
VWIV19.6%15.9%23.9%18.1%17.6%
Skew 25d2.3%1.1%3.8%1.8%1.8%
Skew 10d5.4%2.8%8.2%5.0%3.4%
Call IV 25d18.6%15.1%22.6%17.4%16.8%
Put IV 25d20.9%16.6%24.8%19.2%18.5%
Bid-Ask Spread %34.468.2895.2383.0625.98
Gamma HHI0.470.240.710.500.39
Net GEX1.9M-20.2K4.2M1.5M3.6M
Net DEX-45.1M-70.2M-19.5M-41.0M-69.5M
Net VEX-132.7K-159.9K-100.2K-102.0K-108.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.098.380.370.91
Total Volume2,828.0459928,2391,4231,502
Total OI25,459.86417,75929,77717,75926,992

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$55.91$50.0018.7%5.4%11.6%14.3%18.1%1.8%2.6%1.5M-41.0M-102.0K0.3783.06N/AN/A1,03638711,9555,804
2017-05-02$55.86$50.0017.4%5.0%11.7%9.7%16.7%2.0%3.1%1.6M-41.7M-100.2K8.3881.91N/AN/A6465,41212,2095,848
2017-05-03$56.18$50.0017.9%5.1%10.7%11.4%16.5%3.8%3.6%52.9K-33.6M-133.9K0.2895.23N/AN/A1,49041612,20610,853
2017-05-04$56.72$55.0016.6%5.8%10.9%6.9%21.0%3.1%0.6%63.5K-34.8M-123.3K0.3545.91N/AN/A1,25344111,74310,860
2017-05-05$56.66$55.0017.0%5.7%11.1%8.1%21.3%2.9%0.9%-2.2K-34.4M-124.3K0.3239.23N/AN/A1,31741511,72310,869
2017-05-08$56.20$55.0018.5%6.0%11.6%13.5%20.7%1.9%0.5%-20.2K-32.0M-120.7K0.5938.98N/AN/A90853311,76610,883
2017-05-09$56.85$55.0017.3%5.8%11.8%9.2%22.8%2.2%0.7%69.1K-36.7M-118.2K0.9236.18N/AN/A57653212,03211,027
2017-05-10$56.28$55.0020.0%5.7%12.7%19.1%20.1%2.1%0.8%17.7K-33.2M-120.1K0.0937.91N/AN/A6,51356412,02611,027
2017-05-11$56.26$55.0019.9%5.7%12.5%18.7%19.8%1.9%0.3%2.1M-44.9M-159.9K0.6127.71N/AN/A61737517,86911,046
2017-05-12$56.09$55.0021.4%6.1%12.6%24.0%20.2%2.3%0.1%2.1M-43.6M-158.0K0.3932.02N/AN/A96737317,90911,069
2017-05-15$56.72$55.0020.7%5.9%12.8%21.4%21.2%2.6%-0.4%2.4M-50.5M-151.4K0.2323.48N/AN/A1,76740318,10711,067
2017-05-16$56.82$55.0020.1%5.8%12.8%19.4%20.9%2.3%0.7%2.4M-52.3M-153.2K0.6219.10N/AN/A64940118,31311,085
2017-05-17$55.84$55.0022.3%6.4%14.6%27.3%22.3%2.7%-0.7%2.2M-40.4M-156.3K0.6327.23N/AN/A98562318,40311,095
2017-05-18$55.95$55.0022.7%6.5%14.6%28.7%22.1%3.2%-1.1%2.1M-41.4M-156.2K0.5015.43N/AN/A99450118,39711,174
2017-05-19$56.11$55.0023.1%6.6%14.6%30.2%23.0%1.9%-0.5%1.2M-44.7M-157.6K0.2819.83N/AN/A2,63074018,55711,220
2017-05-22$56.19$55.0023.9%6.8%13.1%32.9%23.9%2.2%-2.7%1.3M-19.5M-151.9K0.8843.28N/AN/A3,2872,87912,5179,010
2017-05-23$58.38$55.0017.3%5.0%18.4%9.3%17.0%2.0%1.2%3.5M-49.8M-140.4K0.258.28N/AN/A6,5951,64414,76511,255
2017-05-24$59.22$55.0015.4%4.4%18.8%2.3%17.7%2.6%1.7%3.8M-56.8M-131.4K1.7722.84N/AN/A2,1433,79315,56511,441
2017-05-25$59.41$55.0015.8%4.5%18.6%3.7%16.3%2.1%1.4%4.0M-60.0M-126.3K0.5111.55N/AN/A1,08455516,03310,757
2017-05-26$59.41$55.0015.3%4.4%18.3%1.9%15.9%1.1%1.3%4.2M-61.2M-122.3K0.6913.77N/AN/A97266615,98410,810
2017-05-30$60.29$55.0016.3%4.7%18.2%5.7%16.0%2.3%1.1%3.9M-70.2M-103.8K0.269.12N/AN/A2,08954416,09510,751
2017-05-31$60.40$55.0017.2%4.9%18.1%8.9%17.6%1.8%0.2%3.6M-69.5M-108.6K0.9125.98N/AN/A78771516,12510,867