A Options History — June 2017

In June 2017, A traded between $58.92 and $60.83. ATM implied volatility averaged 17.3%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.0% (HV 20d: 17.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-06-12: Highest Volume — 3,763 contracts
  • 2017-06-12: Largest IV spike — 20.6% change
  • 2017-06-12: Highest IV Rank — 16.9%
  • 2017-06-27: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.79$58.92$60.83$60.60$59.50
Max Pain$59.09$55.00$60.00$55.00$60.00
ATM IV17.3%15.8%19.4%16.6%17.2%
Expected Move5.0%4.7%5.2%4.7%4.9%
HV 20d17.2%14.4%19.1%18.1%15.8%
HV 60d15.0%13.8%16.2%16.0%15.3%
IV Rank9.2%4.0%16.9%6.6%9.0%
IV Percentile12.0%2.0%33.3%4.0%9.9%
Term Structure2.6%1.1%3.3%1.3%3.1%
VWIV18.5%16.4%21.8%16.6%18.3%
Skew 25d2.1%1.6%2.6%1.8%1.8%
Skew 10d4.5%1.6%6.1%1.6%4.4%
Call IV 25d16.9%16.0%18.2%16.2%17.3%
Put IV 25d19.1%17.6%20.6%18.1%19.1%
Bid-Ask Spread %10.165.0518.0812.1215.83
Gamma HHI0.320.190.540.400.30
Net GEX2.6M567.2K5.7M3.5M1.2M
Net DEX-46.9M-75.9M-19.8M-72.4M-23.6M
Net VEX-82.1K-101.1K-68.6K-101.1K-82.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.503.930.762.57
Total Volume1,677.0459203,7631,1171,876
Total OI20,759.63611,35129,00927,22113,726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$60.60$55.0016.6%4.7%18.1%6.6%16.6%1.8%1.3%3.5M-72.4M-101.1K0.7612.12N/AN/A63648116,19811,023
2017-06-02$60.83$55.0016.4%4.7%18.0%6.0%16.4%1.6%1.1%3.3M-74.3M-96.0K0.699.16N/AN/A54537516,14511,168
2017-06-05$60.50$57.5017.2%5.0%18.2%8.8%18.5%2.1%2.8%3.6M-73.2M-89.1K1.198.05N/AN/A50059716,11611,210
2017-06-06$60.13$57.5015.8%4.9%18.0%4.0%18.7%1.8%3.3%4.1M-70.4M-90.8K0.7612.10N/AN/A69152716,09211,290
2017-06-07$60.73$57.5016.1%5.0%17.9%5.0%18.8%2.3%2.4%3.8M-75.9M-84.8K1.1310.08N/AN/A47053216,36311,300
2017-06-08$60.16$57.5016.3%4.9%17.9%5.7%18.0%1.9%2.4%4.8M-70.7M-86.0K1.439.86N/AN/A43462116,30411,262
2017-06-09$59.24$60.0016.1%4.9%19.0%5.0%17.7%2.1%3.0%5.3M-61.4M-93.8K1.0218.08N/AN/A52253216,26911,341
2017-06-12$58.93$60.0019.4%5.0%19.1%16.9%18.4%2.3%2.5%5.7M-57.9M-89.5K3.938.73N/AN/A7642,99916,26911,418
2017-06-13$59.33$60.0019.3%4.9%18.9%16.4%18.1%2.1%2.7%5.2M-62.9M-87.3K2.425.05N/AN/A7661,85116,37312,413
2017-06-14$59.32$60.0017.0%4.9%19.0%8.1%19.2%2.6%2.4%4.8M-63.6M-84.2K2.4113.52N/AN/A7301,75916,47512,531
2017-06-15$59.09$60.0017.1%4.9%17.7%8.4%18.4%2.2%2.7%4.4M-61.6M-81.4K2.138.12N/AN/A8221,75416,47112,538
2017-06-16$59.46$60.0016.9%4.8%17.7%7.8%19.0%2.0%3.1%567.2K-63.7M-77.2K1.857.18N/AN/A9751,80816,40012,538
2017-06-19$60.59$60.0017.1%4.9%18.6%8.5%17.0%2.2%2.7%633.0K-24.3M-68.9K1.347.82N/AN/A4205636,4044,947
2017-06-20$60.40$60.0017.4%5.0%18.7%9.6%18.5%2.5%2.6%661.3K-24.5M-68.6K0.918.30N/AN/A6035506,5324,984
2017-06-21$59.70$60.0017.9%5.1%14.4%11.3%19.2%2.0%2.6%639.2K-22.2M-72.8K1.177.82N/AN/A5085966,5615,035
2017-06-22$60.66$60.0017.8%5.1%14.6%11.0%18.1%2.3%3.0%635.1K-24.7M-70.1K0.929.93N/AN/A5935466,5765,087
2017-06-23$59.66$60.0017.4%5.0%15.9%9.8%18.7%2.2%2.8%661.0K-22.2M-71.9K1.4910.35N/AN/A6589806,6945,103
2017-06-26$59.25$60.0017.9%5.1%16.1%11.5%19.8%2.3%2.6%591.4K-20.3M-77.9K1.098.68N/AN/A7358046,6855,370
2017-06-27$59.01$60.0018.1%5.2%15.1%12.2%19.2%2.4%2.5%601.1K-19.8M-77.6K1.1410.68N/AN/A7007996,7145,415
2017-06-28$59.38$60.0017.5%5.0%15.3%10.1%17.6%2.0%3.1%616.3K-20.8M-75.5K0.506.87N/AN/A1,5567806,7645,442
2017-06-29$58.92$60.0017.7%5.1%15.4%10.6%21.8%2.5%2.8%1.1M-21.6M-79.3K2.5215.18N/AN/A5511,3867,7105,456
2017-06-30$59.50$60.0017.2%4.9%15.8%9.0%18.3%1.8%3.1%1.2M-23.6M-82.4K2.5715.83N/AN/A5261,3507,6976,029