A Options History — December 2017

In December 2017, A traded between $65.80 and $68.57. ATM implied volatility averaged 18.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.7% (HV 20d: 20.0%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.83.

Notable Days

  • 2017-12-20: Highest Volume — 20,940 contracts
  • 2017-12-07: Largest IV drop — 15.1% change
  • 2017-12-05: Highest IV Rank — 41.7%
  • 2017-12-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.08$65.80$68.57$68.57$66.95
Max Pain$65.25$65.00$67.50$67.50$67.50
ATM IV18.3%15.8%23.0%20.3%15.9%
Expected Move5.1%4.5%5.8%5.8%4.6%
HV 20d20.0%15.4%22.0%17.6%15.4%
HV 60d14.6%13.2%15.1%13.2%14.3%
IV Rank19.2%6.9%41.7%28.9%7.6%
IV Percentile36.5%6.3%77.8%63.1%7.9%
Term Structure3.7%-0.6%4.8%-0.6%4.6%
VWIV18.1%15.8%20.5%20.1%17.4%
Skew 25d1.9%1.0%2.9%2.3%1.9%
Skew 10d4.4%3.0%6.0%4.3%6.0%
Call IV 25d17.3%15.3%19.3%19.2%15.5%
Put IV 25d19.2%16.8%22.1%21.5%17.4%
Bid-Ask Spread %10.938.0616.2113.1311.40
Gamma HHI0.440.200.800.310.80
Net GEX-1.6M-8.7M9.2M1.7M-8.7M
Net DEX1.9M-19.1M29.5M-19.1M29.5M
Net VEX-151.7K-240.3K-113.5K-129.5K-216.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.2837.001.160.50
Total Volume2,544.1594020,9401,6051,804
Total OI27,376.8518,25139,87821,15239,317

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$68.57$67.5020.3%5.8%17.6%28.9%20.1%2.3%-0.6%1.7M-19.1M-129.5K1.1613.13N/AN/A74286312,2768,876
2017-12-04$66.28$65.0022.7%5.7%21.3%40.5%20.3%2.9%2.9%608.9K-5.1M-117.1K1.3815.08N/AN/A1,0081,39112,2409,026
2017-12-05$65.80$65.0023.0%5.8%21.4%41.7%20.3%2.4%2.8%288.0K-861.5K-115.0K2.388.06N/AN/A7301,73912,4799,407
2017-12-06$65.92$65.0022.7%5.8%21.5%40.3%20.5%2.3%2.5%70.1K602.9K-123.2K0.8716.21N/AN/A69560712,68610,436
2017-12-07$66.67$65.0019.2%5.4%21.9%23.7%20.4%2.2%3.0%411.9K-4.4M-123.3K1.7611.96N/AN/A5941,04712,82210,560
2017-12-08$67.29$65.0017.7%5.1%22.0%16.2%18.1%2.1%3.9%645.9K-8.8M-124.6K0.7411.61N/AN/A67650112,88610,880
2017-12-11$66.96$65.0020.3%5.3%21.8%28.6%18.5%2.2%3.6%476.5K-6.3M-118.3K1.398.24N/AN/A39454612,84110,853
2017-12-12$67.05$65.0020.5%5.2%21.8%29.9%18.2%2.7%3.5%615.2K-6.7M-116.4K0.858.47N/AN/A76164612,86010,994
2017-12-13$66.64$65.0017.8%5.1%21.8%16.9%18.3%1.4%4.1%299.8K-2.9M-113.5K0.3013.99N/AN/A2,10664112,83711,083
2017-12-14$66.62$65.0016.7%4.8%21.8%11.1%17.0%1.8%4.6%311.7K-2.8M-114.7K0.719.55N/AN/A99671113,34811,192
2017-12-15$67.48$65.0016.2%4.6%20.8%9.0%16.6%1.7%4.0%9.2M-11.1M-117.9K0.7210.03N/AN/A88563713,25811,346
2017-12-18$67.62$65.0017.1%4.9%20.8%13.4%17.4%1.8%4.1%468.6K-11.1M-117.0K1.008.81N/AN/A6976969,2359,016
2017-12-19$67.68$65.0017.4%5.0%19.7%14.6%17.9%2.1%4.1%476.5K-11.2M-128.4K1.2310.22N/AN/A5977339,6149,388
2017-12-20$67.33$65.0016.7%4.8%19.8%11.3%18.4%1.9%4.4%362.6K-9.5M-125.2K37.009.07N/AN/A55120,3899,6719,500
2017-12-21$67.46$65.0016.8%4.8%19.2%11.6%16.9%1.6%4.1%-7.3M21.8M-240.3K0.9710.03N/AN/A6706539,72429,216
2017-12-22$67.26$65.0016.3%4.7%19.0%9.3%16.2%1.9%4.5%-7.7M25.1M-236.1K1.5511.21N/AN/A3695729,77929,298
2017-12-26$67.20$65.0017.0%4.9%19.0%12.9%17.6%1.0%4.4%-8.3M24.0M-223.4K0.759.02N/AN/A6855169,93029,315
2017-12-27$67.28$65.0016.3%4.7%17.8%9.5%16.9%1.1%4.5%-8.3M20.6M-220.4K1.1110.89N/AN/A68475710,12229,348
2017-12-28$67.45$65.0015.8%4.5%15.5%6.9%15.8%1.5%4.8%-8.2M16.7M-212.5K0.2811.66N/AN/A1,24235210,15729,721
2017-12-29$66.95$67.5015.9%4.6%15.4%7.6%17.4%1.9%4.6%-8.7M29.5M-216.6K0.5011.40N/AN/A1,1996059,61229,705