A Options History — August 2017

In August 2017, A traded between $58.59 and $64.73. ATM implied volatility averaged 21.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.7% (HV 20d: 17.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-08-16: Highest Volume — 7,434 contracts
  • 2017-08-09: Largest IV drop — 31.1% change
  • 2017-08-08: Highest IV Rank — 62.4%
  • 2017-08-15: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.36$58.59$64.73$59.96$64.73
Max Pain$59.35$55.00$60.00$55.00$60.00
ATM IV21.6%14.8%32.3%24.6%14.8%
Expected Move5.7%4.2%7.4%7.1%4.2%
HV 20d17.8%12.2%22.8%13.6%22.3%
HV 60d16.7%15.6%18.5%16.0%17.5%
IV Rank23.3%0.0%62.4%34.5%0.0%
IV Percentile45.9%0.0%96.0%77.0%0.0%
Term Structure0.3%-4.6%3.8%-4.5%2.0%
VWIV20.7%15.4%27.3%27.2%15.4%
Skew 25d2.1%1.2%3.3%2.4%1.2%
Skew 10d4.6%2.8%7.3%6.0%2.8%
Call IV 25d19.5%14.9%25.6%23.9%14.9%
Put IV 25d21.6%16.1%28.2%26.4%16.1%
Bid-Ask Spread %12.183.2933.2416.4610.04
Gamma HHI0.430.220.690.220.46
Net GEX1.5M811.2K4.2M1.2M1.3M
Net DEX-27.5M-54.9M-18.0M-25.8M-30.8M
Net VEX-89.8K-105.8K-76.0K-87.5K-76.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.322.451.040.77
Total Volume2,160.0439627,4341,0811,090
Total OI16,010.56511,52923,74215,46012,484

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$59.96$55.0024.6%7.1%13.6%34.5%27.2%2.4%-4.5%1.2M-25.8M-87.5K1.0416.46N/AN/A5315508,8456,615
2017-08-02$60.17$55.0024.9%7.2%13.0%35.6%27.3%1.9%-4.6%1.2M-26.4M-88.8K1.1313.07N/AN/A4545158,9086,632
2017-08-03$60.35$60.0027.2%5.8%12.4%43.8%20.9%2.2%0.7%1.2M-27.4M-85.5K0.5212.23N/AN/A9665048,9066,636
2017-08-04$60.05$60.0027.5%5.8%12.2%44.8%22.9%1.9%1.0%1.3M-27.1M-85.3K1.607.84N/AN/A4447129,1676,644
2017-08-07$60.71$60.0031.2%6.0%12.7%58.5%21.3%1.9%0.5%1.3M-29.5M-85.3K1.188.92N/AN/A5726779,2546,859
2017-08-08$60.16$60.0032.3%6.0%13.1%62.4%21.6%1.6%0.4%1.3M-27.6M-87.5K0.9713.14N/AN/A6025839,3467,087
2017-08-09$59.58$57.5022.2%6.4%12.2%25.6%23.4%2.8%-0.2%1.2M-23.6M-91.7K2.4518.42N/AN/A6601,6179,4657,175
2017-08-10$58.59$57.5025.7%7.4%12.9%38.3%24.3%2.8%-1.9%811.2K-18.0M-95.6K0.4111.31N/AN/A2,8131,1479,6528,097
2017-08-11$59.40$60.0024.4%7.0%13.8%33.7%25.7%3.3%-1.2%1.3M-25.5M-105.8K0.7533.24N/AN/A1,00775711,6168,388
2017-08-14$59.69$60.0025.1%7.2%14.0%36.1%24.8%2.6%-2.5%1.6M-27.6M-99.8K0.6825.23N/AN/A1,6451,12112,0358,403
2017-08-15$59.43$60.0025.8%7.4%13.9%38.7%26.5%3.0%-1.9%1.6M-26.7M-101.3K1.0831.22N/AN/A2,9363,17412,6168,730
2017-08-16$62.17$60.0019.0%5.4%21.6%13.7%19.8%2.2%2.2%4.2M-54.9M-96.6K0.4315.62N/AN/A5,2162,21814,2399,503
2017-08-17$60.96$60.0020.2%5.8%22.7%18.1%19.2%2.4%2.3%2.6M-38.8M-92.4K0.3218.60N/AN/A4,1971,35313,3889,076
2017-08-18$61.36$60.0017.5%5.0%22.7%8.3%18.4%1.9%3.8%1.2M-36.9M-89.9K0.8910.20N/AN/A1,3391,18512,3679,457
2017-08-21$61.82$60.0017.8%5.1%22.8%9.4%18.2%2.2%1.6%1.3M-18.2M-90.4K0.793.91N/AN/A7696096,8624,667
2017-08-22$62.96$60.0017.6%5.0%22.7%8.5%17.7%2.1%1.0%1.4M-23.6M-87.4K0.603.29N/AN/A8485057,0674,835
2017-08-23$62.81$60.0017.1%4.9%21.9%6.8%17.4%1.9%1.2%1.4M-22.5M-90.2K0.833.55N/AN/A6125117,1324,905
2017-08-24$62.74$60.0017.0%4.9%22.0%6.6%17.1%2.1%1.3%1.5M-22.2M-89.1K1.003.35N/AN/A5335357,1294,851
2017-08-25$62.90$60.0016.2%4.6%22.0%3.5%16.3%1.4%1.5%1.5M-23.1M-87.9K1.373.44N/AN/A4756497,1654,954
2017-08-28$63.45$60.0016.5%4.7%21.9%4.5%16.3%1.9%1.4%1.5M-25.1M-84.9K1.065.35N/AN/A5405717,1835,108
2017-08-29$63.45$60.0016.7%4.8%22.0%5.2%17.4%1.7%1.2%1.5M-25.0M-84.2K0.857.66N/AN/A5214417,1995,137
2017-08-30$63.82$60.0015.3%4.4%22.0%0.0%16.7%1.6%1.9%1.5M-26.9M-82.1K0.943.91N/AN/A5034747,2625,197
2017-08-31$64.73$60.0014.8%4.2%22.3%0.0%15.4%1.2%2.0%1.3M-30.8M-76.0K0.7710.04N/AN/A6174737,2715,213