A Options History — January 2018

In January 2018, A traded between $67.55 and $74.74. ATM implied volatility averaged 21.4%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.1% (HV 20d: 16.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2018-01-19: Highest Volume — 42,785 contracts
  • 2018-01-10: Largest IV spike — 28.9% change
  • 2018-01-31: Highest IV Rank — 64.7%
  • 2018-01-31: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.88$67.55$74.74$67.55$73.49
Max Pain$68.21$65.00$70.00$67.50$70.00
ATM IV21.4%16.2%27.7%16.5%27.7%
Expected Move6.4%4.7%7.9%4.7%7.9%
HV 20d16.2%13.2%18.6%15.6%18.5%
HV 60d16.3%14.4%17.3%14.4%17.3%
IV Rank34.0%9.1%64.7%10.4%64.7%
IV Percentile63.9%13.9%96.8%18.3%96.8%
Term Structure-1.2%-4.0%5.4%4.9%-4.0%
VWIV23.0%18.5%27.6%18.5%27.6%
Skew 25d2.2%1.1%3.4%2.4%1.1%
Skew 10d5.2%3.2%6.8%6.0%3.5%
Call IV 25d21.5%15.9%26.9%15.9%26.9%
Put IV 25d23.7%18.4%28.1%18.4%28.0%
Bid-Ask Spread %12.955.3222.5312.2614.25
Gamma HHI0.580.250.850.760.82
Net GEX-6.3M-15.5M4.7M-7.5M-12.5M
Net DEX-4.2M-61.7M41.1M16.8M30.9M
Net VEX-248.1K-364.0K-132.3K-190.2K-331.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.1921.330.671.64
Total Volume5,291.38191942,7851,922962
Total OI58,204.14339,17863,77639,17857,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$67.55$67.5016.5%4.7%15.6%10.4%18.5%2.4%4.9%-7.5M16.8M-190.2K0.6712.26N/AN/A1,1527709,67729,501
2018-01-03$69.41$67.5016.5%4.7%13.2%10.3%18.7%2.3%5.4%-3.2M-7.6M-168.6K3.9616.10N/AN/A5,24520,7459,74529,626
2018-01-04$68.86$65.0016.5%6.4%13.3%10.4%24.0%2.8%-1.0%-15.5M27.5M-298.4K0.3617.26N/AN/A2,67595512,03649,130
2018-01-05$69.85$65.0016.2%6.1%13.9%9.1%21.6%3.4%-0.4%-9.4M-4.7M-264.5K0.4917.30N/AN/A1,47772013,21449,483
2018-01-08$70.05$67.5017.0%6.1%13.6%12.7%22.1%3.1%-0.2%-7.9M-12.3M-239.7K0.5022.53N/AN/A1,36968913,34349,615
2018-01-09$71.82$67.5016.8%6.0%15.6%11.9%21.9%2.6%-1.0%-3.3M-33.4M-214.0K0.2717.43N/AN/A4,3921,20713,23949,637
2018-01-10$70.76$67.5021.7%6.2%16.7%35.4%21.6%2.6%-1.2%-3.7M-23.7M-198.6K0.4717.46N/AN/A1,88489113,00450,299
2018-01-11$70.71$67.5021.5%6.2%16.7%34.5%23.0%2.7%-1.1%-2.7M-26.6M-178.8K0.4721.12N/AN/A1,11452912,48350,189
2018-01-12$71.69$67.5020.5%5.9%16.8%29.8%21.1%2.6%-0.7%1.8M-42.9M-149.5K0.3220.96N/AN/A1,46846612,48350,237
2018-01-16$71.30$67.5021.6%6.2%17.1%35.0%22.8%2.7%-1.5%978.3K-37.2M-143.4K0.198.59N/AN/A2,53547912,25150,280
2018-01-17$71.99$67.5023.1%6.6%16.9%42.1%23.2%2.7%-2.7%3.5M-49.6M-138.9K0.289.49N/AN/A2,08857913,16250,323
2018-01-18$72.19$67.5022.4%6.4%16.9%39.2%23.2%2.6%-2.4%4.7M-51.8M-137.6K0.476.88N/AN/A1,41466513,42650,290
2018-01-19$73.01$67.5021.1%6.1%17.1%32.9%22.3%2.3%-1.1%1.3M-61.7M-132.3K21.3314.19N/AN/A1,91640,86913,36450,412
2018-01-22$73.48$70.0022.0%6.3%16.8%37.2%22.4%1.7%-1.4%-12.2M32.0M-359.6K0.596.19N/AN/A2,2551,3388,53345,669
2018-01-23$73.47$70.0022.2%6.4%16.8%37.8%22.4%1.3%-1.7%-11.6M30.1M-364.0K0.626.83N/AN/A1,3028079,37546,714
2018-01-24$73.61$70.0023.4%6.7%16.6%43.8%23.6%1.1%-1.8%-11.5M31.6M-362.3K0.536.49N/AN/A9354959,14147,117
2018-01-25$73.77$70.0023.5%6.7%16.5%44.4%24.4%1.4%-2.6%-11.3M29.6M-359.3K1.715.32N/AN/A5208889,18547,260
2018-01-26$74.74$70.0024.3%7.0%16.7%47.9%24.9%1.7%-2.8%-9.4M9.5M-318.7K1.215.70N/AN/A6387719,16847,812
2018-01-29$74.57$70.0026.7%7.6%16.9%59.7%26.2%1.6%-3.8%-9.8M14.1M-309.2K1.0515.63N/AN/A4875099,25247,898
2018-01-30$73.12$70.0027.6%7.9%18.6%64.0%27.4%1.4%-3.8%-13.1M41.1M-350.2K1.209.89N/AN/A4175029,34747,977
2018-01-31$73.49$70.0027.7%7.9%18.5%64.7%27.6%1.1%-4.0%-12.5M30.9M-331.8K1.6414.25N/AN/A3645989,34148,049