A Options History — February 2018

In February 2018, A traded between $65.33 and $72.80. ATM implied volatility averaged 26.6%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.3% (HV 20d: 26.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 6.33.

Notable Days

  • 2018-02-09: Highest Volume — 81,549 contracts
  • 2018-02-07: Largest IV drop — 34.8% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.73$65.33$72.80$72.80$68.72
Max Pain$71.05$70.00$75.00$75.00$70.00
ATM IV26.6%20.0%42.1%27.5%23.0%
Expected Move7.2%5.7%9.4%6.6%6.6%
HV 20d26.9%17.0%30.7%17.0%30.2%
HV 60d21.7%17.4%23.3%17.4%22.5%
IV Rank46.8%20.4%100.0%63.7%31.1%
IV Percentile86.4%65.5%100.0%96.4%81.7%
Term Structure-1.4%-5.2%3.4%-1.2%-0.4%
VWIV24.7%20.9%31.8%23.6%21.6%
Skew 25d3.7%1.5%8.9%2.5%3.5%
Skew 10d7.3%4.2%14.1%4.7%8.3%
Call IV 25d23.7%19.5%31.0%22.2%21.7%
Put IV 25d27.4%22.5%38.7%24.7%25.2%
Bid-Ask Spread %21.756.3941.819.8217.52
Gamma HHI0.770.180.930.850.21
Net GEX-14.2M-24.3M-54.7K-14.8M-407.0K
Net DEX113.8M-5.6M261.5M43.6M5.7M
Net VEX-344.7K-530.1K-152.6K-338.6K-153.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.330.2477.731.390.62
Total Volume8,660.73782881,5499691,081
Total OI56,014.21117,06486,14257,43917,381

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$72.80$75.0027.5%6.6%17.0%63.7%23.6%2.5%-1.2%-14.8M43.6M-338.6K1.399.82N/AN/A4055649,39748,042
2018-02-02$71.32$75.0029.3%6.8%18.5%72.4%24.5%2.8%-1.3%-17.7M86.7M-362.1K0.9112.13N/AN/A6405859,39348,196
2018-02-05$68.73$75.0038.0%8.4%22.5%100.0%28.0%1.5%-4.2%-16.5M162.6M-336.8K0.9736.82N/AN/A6846669,36348,260
2018-02-06$68.41$72.5042.1%8.5%22.5%100.0%28.6%4.3%-3.8%-15.2M169.2M-321.9K0.9636.47N/AN/A6506269,38848,501
2018-02-07$68.27$72.5027.5%7.9%20.2%47.2%27.4%3.8%-2.7%-17.8M182.6M-304.1K1.6419.35N/AN/A7421,2209,51948,716
2018-02-08$65.33$70.0032.8%9.4%24.7%66.4%31.8%5.6%-5.2%-9.7M232.8M-230.7K0.2430.55N/AN/A3,6849009,86948,828
2018-02-09$67.06$70.0032.0%9.2%26.9%63.7%28.8%8.9%-2.8%-13.8M217.8M-257.3K23.6738.60N/AN/A3,30678,24312,24348,939
2018-02-12$68.49$70.0029.3%8.4%27.6%53.8%27.6%5.9%-3.2%-24.3M261.5M-530.1K2.1241.81N/AN/A1,2492,64713,83172,311
2018-02-13$68.35$70.0028.6%8.2%27.6%51.4%27.8%4.0%-2.8%-19.9M217.9M-473.2K2.3928.15N/AN/A1,0792,58313,63761,528
2018-02-14$69.71$70.0025.6%7.3%28.4%40.5%25.8%2.5%-1.6%-20.8M162.7M-491.2K0.5031.48N/AN/A4,8882,45114,17061,979
2018-02-15$71.93$70.0020.9%6.0%30.7%23.6%22.4%3.1%2.4%-14.7M36.3M-428.8K0.3518.61N/AN/A5,9182,07617,18162,921
2018-02-16$72.01$70.0020.0%5.7%30.4%20.4%21.0%3.2%3.4%-14.5M37.5M-406.3K0.5117.80N/AN/A3,0811,57615,30162,938
2018-02-20$71.17$70.0022.6%6.5%30.5%29.7%21.8%3.3%-0.4%-16.1M82.8M-408.7K1.0113.41N/AN/A5825898,22343,316
2018-02-21$71.38$70.0021.0%6.0%30.6%24.1%22.4%3.0%-0.4%-16.2M76.3M-400.2K1.2918.38N/AN/A3874988,41843,620
2018-02-22$70.70$70.0021.7%6.2%30.7%26.5%22.0%2.9%-0.2%-18.4M94.8M-401.6K1.3512.37N/AN/A4576158,47243,715
2018-02-23$70.79$70.0021.1%6.0%30.7%24.2%20.9%3.0%-0.3%-19.3M93.5M-393.5K77.7312.00N/AN/A48537,6988,53443,918
2018-02-26$70.54$70.0021.4%6.1%30.1%25.3%22.0%2.6%-0.7%-54.7K-5.6M-157.6K1.2911.56N/AN/A3814908,5898,475
2018-02-27$69.14$70.0021.2%6.1%30.7%24.7%21.5%3.3%-0.5%-392.9K3.7M-152.6K1.256.39N/AN/A3684608,6718,487
2018-02-28$68.72$70.0023.0%6.6%30.2%31.1%21.6%3.5%-0.4%-407.0K5.7M-153.9K0.6217.52N/AN/A6664158,7928,589