A Options History — September 2017

In September 2017, A traded between $64.08 and $66.15. ATM implied volatility averaged 16.1%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.7% (HV 20d: 15.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-09-11: Highest Volume — 2,823 contracts
  • 2017-09-11: Largest IV spike — 22.7% change
  • 2017-09-11: Highest IV Rank — 13.2%
  • 2017-09-05: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.21$64.08$66.15$64.36$64.14
Max Pain$64.75$60.00$65.00$60.00$65.00
ATM IV16.1%14.3%18.1%14.3%16.2%
Expected Move4.7%4.1%5.0%4.1%4.7%
HV 20d15.4%10.1%22.4%22.4%11.3%
HV 60d16.7%16.0%17.4%17.4%16.1%
IV Rank6.2%0.0%13.2%0.0%6.7%
IV Percentile7.0%0.0%26.6%0.0%8.3%
Term Structure3.1%2.5%3.6%2.5%3.1%
VWIV17.2%15.6%19.5%16.1%17.5%
Skew 25d1.9%1.5%2.3%1.5%2.1%
Skew 10d4.0%3.3%4.7%3.3%4.7%
Call IV 25d15.8%14.6%17.1%14.6%16.2%
Put IV 25d17.8%16.1%19.3%16.1%18.3%
Bid-Ask Spread %6.273.228.888.648.88
Gamma HHI0.240.170.460.460.17
Net GEX650.1K291.4K1.4M1.4M347.8K
Net DEX-26.0M-37.5M-14.8M-29.6M-14.8M
Net VEX-78.1K-84.4K-72.1K-79.9K-84.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.493.212.700.53
Total Volume1,315.27072,8232,0241,255
Total OI13,230.2511,35515,26612,77912,586

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$64.36$60.0014.3%4.1%22.4%0.0%16.1%1.5%2.5%1.4M-29.6M-79.9K2.708.64N/AN/A5471,4777,4105,369
2017-09-05$64.25$65.0015.9%5.0%22.3%5.6%18.0%2.2%2.8%910.8K-27.7M-82.0K1.097.23N/AN/A4104477,4656,431
2017-09-06$64.67$65.0015.7%4.9%21.8%4.7%17.5%2.1%3.0%859.6K-30.2M-76.6K0.645.94N/AN/A6123907,4966,527
2017-09-07$65.13$65.0015.2%4.9%21.3%3.0%17.3%1.9%3.0%913.0K-33.1M-74.5K0.826.92N/AN/A5034117,6706,563
2017-09-08$65.03$65.0014.7%4.8%19.9%1.3%17.3%2.1%3.1%929.2K-33.0M-75.7K1.056.71N/AN/A7287667,7696,636
2017-09-11$66.10$65.0018.1%4.8%20.1%13.2%17.6%1.9%3.1%757.1K-37.5M-72.1K3.215.88N/AN/A6702,1537,9907,002
2017-09-12$66.15$65.0017.8%4.8%20.2%12.2%17.9%1.7%3.4%554.4K-36.6M-75.9K2.336.37N/AN/A6821,5888,0126,772
2017-09-13$65.43$65.0016.4%4.7%20.7%7.5%17.4%1.5%3.5%584.8K-34.4M-80.7K1.215.72N/AN/A5026068,2116,952
2017-09-14$65.57$65.0016.1%4.6%14.2%6.3%17.4%1.9%3.3%539.4K-35.3M-79.6K1.204.30N/AN/A5126148,2926,920
2017-09-15$65.94$65.0015.8%4.5%11.5%5.0%15.6%1.8%3.3%511.9K-37.2M-76.1K0.507.49N/AN/A7603788,3376,929
2017-09-18$66.08$65.0016.3%4.7%11.5%7.0%16.1%1.9%2.7%633.8K-21.3M-73.9K0.595.99N/AN/A6753995,8655,490
2017-09-19$66.10$65.0016.1%4.6%11.5%6.3%16.0%1.9%3.0%603.8K-21.3M-75.2K0.684.83N/AN/A4683175,9645,588
2017-09-20$66.11$65.0016.1%4.6%10.1%6.2%16.1%1.7%3.5%610.0K-21.3M-75.6K0.496.77N/AN/A6002935,9685,609
2017-09-21$65.88$65.0015.8%4.5%10.1%5.3%15.8%1.8%3.6%612.5K-21.3M-77.7K0.595.27N/AN/A5453226,1285,635
2017-09-22$65.77$65.0015.7%4.5%10.2%4.7%16.5%1.8%3.5%652.3K-21.5M-74.4K0.875.91N/AN/A3783296,2065,670
2017-09-25$64.74$65.0016.6%4.8%12.0%8.0%17.8%2.1%2.7%516.9K-17.2M-79.8K0.575.36N/AN/A9865606,2315,715
2017-09-26$64.08$65.0016.5%4.7%12.4%7.8%19.5%2.3%2.5%383.4K-15.3M-81.8K0.697.58N/AN/A8535926,3445,770
2017-09-27$64.42$65.0016.2%4.6%12.5%6.5%17.7%2.1%3.5%374.9K-16.1M-83.4K0.646.47N/AN/A9556126,3336,078
2017-09-28$64.17$65.0016.4%4.7%12.5%7.1%17.7%1.9%3.2%291.4K-15.1M-83.7K0.763.22N/AN/A7996106,4436,229
2017-09-29$64.14$65.0016.2%4.7%11.3%6.7%17.5%2.1%3.1%347.8K-14.8M-84.4K0.538.88N/AN/A8214346,4636,123