A Options History — July 2017

In July 2017, A traded between $59.13 and $61.64. ATM implied volatility averaged 21.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.1% (HV 20d: 15.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-07-07: Highest Volume — 2,265 contracts
  • 2017-07-12: Largest IV spike — 20.0% change
  • 2017-07-31: Highest IV Rank — 34.2%
  • 2017-07-31: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.47$59.13$61.64$59.13$59.94
Max Pain$55.50$55.00$60.00$60.00$55.00
ATM IV21.2%17.6%24.6%17.8%24.6%
Expected Move6.2%5.1%7.0%5.1%7.0%
HV 20d15.0%12.0%16.3%15.8%13.8%
HV 60d15.8%15.4%16.1%15.4%16.0%
IV Rank22.3%10.5%34.2%11.2%34.2%
IV Percentile51.8%15.5%76.2%18.7%76.2%
Term Structure-0.8%-4.2%3.1%3.1%-4.2%
VWIV22.6%17.8%26.0%17.8%26.0%
Skew 25d2.1%-2.9%3.0%2.0%2.7%
Skew 10d5.4%-3.0%7.8%4.1%7.8%
Call IV 25d21.5%18.3%24.0%18.3%23.8%
Put IV 25d23.7%20.3%26.5%20.3%26.5%
Bid-Ask Spread %19.485.8866.9227.1812.50
Gamma HHI0.270.160.370.300.22
Net GEX1.2M764.8K1.7M1.2M1.1M
Net DEX-28.4M-37.1M-21.4M-22.3M-25.5M
Net VEX-79.3K-90.9K-68.3K-82.4K-88.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.281.380.610.85
Total Volume1,663.359572,2651,8511,256
Total OI14,757.3513,09615,90713,72915,249

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$59.13$60.0017.8%5.1%15.8%11.2%17.8%2.0%3.1%1.2M-22.3M-82.4K0.6127.18N/AN/A1,1497027,6976,032
2017-07-05$59.81$60.0018.6%5.3%16.3%14.0%20.7%-2.9%2.6%876.3K-23.6M-74.4K1.3066.92N/AN/A8601,1167,0916,005
2017-07-06$59.17$55.0018.9%6.0%16.3%15.0%23.8%2.7%0.3%1.1M-21.4M-90.5K1.3520.23N/AN/A8121,0958,0526,355
2017-07-07$59.67$55.0018.3%6.1%16.3%13.0%22.3%2.2%0.1%1.2M-24.0M-86.9K1.126.63N/AN/A1,0671,1988,0526,361
2017-07-10$59.96$55.0017.6%6.1%15.4%10.5%22.0%2.4%0.4%1.4M-25.9M-80.1K1.1822.08N/AN/A9131,0758,0646,502
2017-07-11$59.80$55.0017.8%6.1%15.3%11.2%21.5%2.5%-0.1%1.4M-24.9M-83.2K0.946.87N/AN/A1,0911,0248,3356,642
2017-07-12$60.77$55.0021.4%6.1%16.1%24.0%22.5%2.5%-0.2%1.5M-30.8M-79.6K0.9739.81N/AN/A9669388,5016,636
2017-07-13$61.27$55.0020.2%5.8%16.3%18.2%21.3%2.5%0.3%1.5M-33.6M-77.1K1.0249.85N/AN/A1,0251,0438,5776,609
2017-07-14$61.61$55.0019.9%5.7%16.2%17.2%20.5%1.4%0.3%1.4M-35.4M-75.4K1.358.81N/AN/A6508788,6566,719
2017-07-17$61.64$55.0020.5%5.9%16.2%19.1%21.4%2.3%-0.0%1.4M-36.9M-68.3K1.1540.53N/AN/A7618738,6636,701
2017-07-18$61.20$55.0023.3%6.7%15.1%29.6%22.8%3.0%-2.0%1.5M-33.1M-75.7K1.288.45N/AN/A7229258,6856,908
2017-07-19$61.34$55.0021.5%6.2%15.1%23.0%23.2%2.6%-1.3%1.5M-34.8M-72.6K1.388.62N/AN/A7361,0158,8396,921
2017-07-20$60.98$55.0023.6%6.8%14.6%30.8%23.5%2.5%-2.3%1.7M-33.2M-71.4K0.5011.20N/AN/A9694858,7456,810
2017-07-21$61.33$55.0021.9%6.3%13.6%24.5%23.1%2.9%-1.8%764.8K-37.1M-71.7K0.746.97N/AN/A5514069,0816,826
2017-07-24$61.55$55.0021.9%6.3%12.0%24.5%21.9%2.5%-1.6%785.2K-27.5M-69.2K0.707.02N/AN/A5984187,0576,099
2017-07-25$60.48$55.0023.9%6.9%13.5%31.8%23.4%2.3%-2.6%814.7K-24.7M-73.1K0.285.88N/AN/A1,5724397,1506,182
2017-07-26$59.64$55.0023.8%6.8%14.4%31.4%25.1%2.1%-2.2%970.8K-22.9M-88.0K0.4713.68N/AN/A1,2145768,0696,313
2017-07-27$59.85$55.0024.0%6.9%14.3%31.9%24.8%2.2%-2.5%1.1M-25.6M-87.1K0.6813.02N/AN/A6884668,4656,395
2017-07-28$60.17$55.0023.9%6.8%14.1%31.6%24.5%2.8%-3.2%1.1M-25.8M-90.9K0.7313.47N/AN/A5744218,6086,495
2017-07-31$59.94$55.0024.6%7.0%13.8%34.2%26.0%2.7%-4.2%1.1M-25.5M-88.3K0.8512.50N/AN/A6805768,7426,507