A Options History — March 2018

In March 2018, A traded between $66.12 and $71.08. ATM implied volatility averaged 21.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.1% (HV 20d: 23.3%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2018-03-01: Highest Volume — 21,203 contracts
  • 2018-03-22: Largest IV spike — 18.0% change
  • 2018-03-23: Highest IV Rank — 38.7%
  • 2018-03-23: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.77$66.12$71.08$67.42$66.98
Max Pain$67.74$67.50$70.00$70.00$67.50
ATM IV21.3%17.6%25.1%23.4%21.9%
Expected Move6.0%5.0%7.2%6.7%6.3%
HV 20d23.3%17.2%30.6%30.5%23.3%
HV 60d22.8%21.7%24.8%22.8%24.8%
IV Rank24.8%11.7%38.7%32.6%27.0%
IV Percentile68.5%36.1%90.1%83.7%72.6%
Term Structure1.9%-1.0%3.8%-0.6%3.8%
VWIV21.4%18.1%24.5%22.5%22.4%
Skew 25d4.1%2.6%5.4%4.0%4.5%
Skew 10d8.6%5.7%11.8%7.1%9.6%
Call IV 25d19.8%16.7%23.5%22.5%21.1%
Put IV 25d23.9%19.3%28.4%26.5%25.6%
Bid-Ask Spread %19.958.9032.3419.2816.87
Gamma HHI0.530.170.990.260.17
Net GEX16.4M-552.4K179.5M-552.4K-157.5K
Net DEX-27.6M-102.1M18.6M14.1M11.4M
Net VEX-202.3K-266.4K-144.5K-144.5K-175.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.142.140.140.46
Total Volume2,506.23891021,20321,2031,247
Total OI30,927.42917,69441,53717,69422,383

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$67.42$70.0023.4%6.7%30.5%32.6%22.5%4.0%-0.6%-552.4K14.1M-144.5K0.1419.28N/AN/A18,5302,6739,0158,679
2018-03-02$67.64$70.0022.5%6.4%30.6%29.3%24.1%4.2%-1.0%7.3M-10.3M-247.2K2.148.90N/AN/A8031,72127,83110,917
2018-03-05$67.57$67.5021.8%6.1%29.9%26.6%22.4%4.3%2.3%6.3M-2.0M-232.9K1.9626.32N/AN/A6161,20526,63411,883
2018-03-06$68.01$67.5021.5%6.0%27.2%25.9%20.7%4.0%2.5%8.0M-5.4M-231.1K0.7023.32N/AN/A1,00270526,77511,958
2018-03-07$69.72$67.5021.0%5.8%28.6%23.9%22.0%4.0%2.8%12.5M-55.6M-266.4K0.6024.57N/AN/A1,38183427,36012,335
2018-03-08$69.73$67.5019.4%5.7%28.6%18.1%20.2%4.5%2.8%14.6M-55.5M-259.0K1.1629.72N/AN/A81094227,71612,290
2018-03-09$71.08$67.5018.9%5.6%23.7%16.5%20.9%3.3%1.9%14.2M-102.1M-240.8K0.3527.21N/AN/A98434327,93912,484
2018-03-12$70.86$67.5022.2%5.8%22.4%28.1%21.0%3.3%2.4%16.0M-96.5M-221.7K0.8632.34N/AN/A90277827,81112,481
2018-03-13$70.66$67.5021.5%5.8%21.4%25.7%21.9%3.0%2.8%19.3M-92.2M-214.7K1.5724.78N/AN/A38760627,86012,354
2018-03-14$69.93$67.5018.7%5.4%21.7%15.8%18.9%3.4%2.5%27.3M-59.9M-209.9K0.7016.07N/AN/A1,17782127,85412,479
2018-03-15$70.27$67.5018.7%5.4%20.7%15.7%18.4%3.1%1.8%39.8M-84.9M-203.7K0.7123.27N/AN/A54438528,38713,094
2018-03-16$70.02$67.5017.6%5.0%17.2%11.7%18.1%2.6%2.2%179.5M-69.5M-176.8K0.5221.68N/AN/A1,40173228,41313,124
2018-03-19$69.42$67.5020.6%5.9%17.3%22.6%20.2%4.6%1.3%196.1K-7.1M-178.0K0.7710.50N/AN/A8506559,8999,717
2018-03-20$69.89$67.5019.9%5.7%17.2%19.9%19.8%4.0%1.7%303.4K-11.1M-179.4K1.4011.13N/AN/A37953110,32110,040
2018-03-21$69.51$67.5019.1%5.5%17.2%17.2%19.3%3.9%0.7%175.3K-7.7M-179.6K0.7727.57N/AN/A78260610,42510,215
2018-03-22$67.60$67.5022.6%6.5%19.4%29.6%21.8%4.5%2.2%-52.6K7.0M-177.7K0.8922.16N/AN/A70362310,82310,309
2018-03-23$66.12$67.5025.1%7.2%20.6%38.7%22.9%5.4%1.5%-224.8K18.6M-164.4K0.9117.80N/AN/A91783111,02710,389
2018-03-26$68.27$67.5022.6%6.5%24.1%29.5%23.2%4.6%2.3%80.7K1.8M-189.8K0.909.06N/AN/A85276811,36310,750
2018-03-27$67.06$67.5023.3%6.7%23.9%32.3%24.0%5.4%1.7%-157.3K12.1M-178.9K0.5117.20N/AN/A78240211,20310,771
2018-03-28$66.50$67.5024.1%6.9%24.0%35.0%24.5%4.9%2.7%-191.3K15.4M-175.6K0.469.16N/AN/A97444711,32510,843
2018-03-29$66.98$67.5021.9%6.3%23.3%27.0%22.4%4.5%3.8%-157.5K11.4M-175.5K0.4616.87N/AN/A85739011,56810,815