A Options History — October 2017

In October 2017, A traded between $64.85 and $68.06. ATM implied volatility averaged 17.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.2% (HV 20d: 11.1%). Max pain ranged from $57.50 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-10-05: Highest Volume — 4,545 contracts
  • 2017-10-11: Largest IV spike — 31.9% change
  • 2017-10-13: Highest IV Rank — 20.9%
  • 2017-10-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.75$64.85$68.06$64.85$68.06
Max Pain$62.16$57.50$65.00$65.00$65.00
ATM IV17.3%14.7%20.2%16.7%19.5%
Expected Move5.2%4.6%5.8%4.8%5.6%
HV 20d11.1%9.5%12.4%11.8%9.7%
HV 60d15.8%15.4%16.2%16.1%15.4%
IV Rank10.6%1.1%20.9%8.3%18.2%
IV Percentile23.5%0.4%52.4%13.5%48.4%
Term Structure1.5%-1.7%4.0%2.5%2.6%
VWIV18.2%16.2%20.8%17.4%18.6%
Skew 25d2.2%1.6%2.8%2.3%2.8%
Skew 10d4.3%3.2%5.0%4.9%4.6%
Call IV 25d17.4%15.3%19.5%16.3%18.2%
Put IV 25d19.6%17.3%21.9%18.5%21.0%
Bid-Ask Spread %11.195.1566.057.928.86
Gamma HHI0.460.210.580.210.50
Net GEX2.0M541.0K2.6M541.0K2.5M
Net DEX-29.4M-36.1M-17.5M-17.5M-34.9M
Net VEX-103.9K-120.1K-74.3K-79.3K-115.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.181.480.821.04
Total Volume2,401.7271,6994,5451,7801,776
Total OI16,670.13612,35018,99812,35018,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$64.85$65.0016.7%4.8%11.8%8.3%17.4%2.3%2.5%541.0K-17.5M-79.3K0.827.92N/AN/A9788026,2946,056
2017-10-03$65.10$65.0016.0%4.6%11.9%6.0%16.7%2.0%4.0%594.1K-18.5M-76.7K0.747.06N/AN/A9767236,3026,225
2017-10-04$65.80$65.0016.3%4.7%12.2%6.8%16.4%2.0%3.4%695.6K-21.4M-74.3K0.638.09N/AN/A1,1867476,3126,247
2017-10-05$65.69$57.5016.2%5.7%12.0%6.5%19.3%2.2%-1.0%689.0K-21.0M-75.3K0.1810.00N/AN/A3,8407056,5356,286
2017-10-06$66.29$57.5014.7%5.5%12.4%1.1%20.1%2.5%-1.1%1.9M-31.5M-98.2K0.8511.54N/AN/A1,0178649,5596,292
2017-10-09$66.46$57.5015.3%5.7%11.0%3.2%20.2%2.7%-1.7%2.0M-33.0M-93.5K0.7720.20N/AN/A1,3361,0239,5676,302
2017-10-10$66.56$60.0015.1%5.8%11.0%2.6%20.8%2.4%-1.5%2.1M-32.9M-101.0K1.048.14N/AN/A1,1921,2389,8076,627
2017-10-11$66.59$60.0019.9%5.7%10.2%19.7%20.6%2.3%-1.2%2.0M-31.0M-109.1K0.916.01N/AN/A9248419,7257,135
2017-10-12$67.49$60.0019.9%5.7%11.1%19.7%20.4%2.1%-1.2%2.1M-36.1M-104.5K0.746.07N/AN/A1,2639359,7307,174
2017-10-13$66.98$60.0020.2%5.8%11.4%20.9%20.6%2.2%-1.4%2.1M-32.9M-107.7K0.775.81N/AN/A1,1508899,7457,340
2017-10-16$66.89$60.0017.7%5.1%11.5%12.0%17.8%2.0%0.9%2.3M-32.3M-106.4K0.6966.05N/AN/A2,2801,5699,8897,394
2017-10-17$66.15$62.5017.3%5.0%12.2%10.5%16.5%2.0%2.3%2.3M-25.3M-108.6K0.9012.71N/AN/A1,4521,30410,2748,068
2017-10-18$66.44$62.5016.2%4.7%12.3%6.7%17.2%1.9%2.6%2.4M-27.5M-109.5K1.005.37N/AN/A1,3261,32710,3268,094
2017-10-19$66.89$62.5016.1%4.6%12.4%6.2%16.8%2.0%2.7%2.6M-31.0M-110.4K1.008.60N/AN/A1,3341,33010,5018,130
2017-10-20$67.17$62.5015.9%4.6%12.4%5.5%16.2%2.0%3.0%2.4M-32.7M-110.8K0.865.81N/AN/A1,5611,35010,6318,367
2017-10-23$67.02$62.5017.3%5.0%10.8%10.5%17.2%1.6%2.8%2.5M-28.6M-113.7K0.996.37N/AN/A1,3471,33910,0716,979
2017-10-24$67.33$62.5017.6%5.0%9.9%11.6%17.4%1.9%3.2%2.5M-29.7M-116.3K1.295.15N/AN/A1,1271,45910,1497,223
2017-10-25$67.41$65.0018.1%5.2%9.8%13.4%17.9%2.5%3.3%2.2M-29.8M-119.4K0.8312.83N/AN/A1,4501,20410,3147,560
2017-10-26$67.79$65.0018.1%5.2%9.6%13.4%17.5%2.4%3.1%2.4M-33.0M-120.1K1.0311.15N/AN/A1,0361,06810,6397,692
2017-10-27$67.90$65.0018.1%5.2%9.6%13.2%16.8%2.3%3.2%2.5M-34.0M-119.7K1.486.72N/AN/A7241,07210,6597,702
2017-10-30$67.54$65.0019.0%5.4%9.5%16.4%17.9%2.2%2.9%2.5M-31.1M-115.6K1.145.71N/AN/A82894610,6457,727
2017-10-31$68.06$65.0019.5%5.6%9.7%18.2%18.6%2.8%2.6%2.5M-34.9M-115.7K1.048.86N/AN/A86990710,6847,765