A Options History — April 2018

In April 2018, A traded between $63.61 and $69.59. ATM implied volatility averaged 28.0%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.8% (HV 20d: 29.8%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-04-24: Highest Volume — 16,080 contracts
  • 2018-04-24: Largest IV spike — 14.2% change
  • 2018-04-25: Highest IV Rank — 73.8%
  • 2018-04-25: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.61$63.61$69.59$64.45$66.09
Max Pain$69.29$67.50$70.00$67.50$67.50
ATM IV28.0%23.8%34.8%27.9%34.4%
Expected Move8.1%6.8%10.0%8.0%9.9%
HV 20d29.8%25.6%33.3%26.9%26.2%
HV 60d26.8%25.4%27.8%25.4%27.7%
IV Rank49.2%33.9%73.8%48.8%72.1%
IV Percentile92.3%79.4%99.2%96.4%98.4%
Term Structure-2.4%-7.2%1.4%1.4%-7.2%
VWIV28.0%24.2%34.7%27.1%33.8%
Skew 25d4.0%2.7%5.5%5.5%2.7%
Skew 10d8.8%4.1%12.4%12.4%9.9%
Call IV 25d26.8%22.4%33.7%26.4%32.8%
Put IV 25d30.9%26.5%38.2%31.9%35.6%
Bid-Ask Spread %27.919.0557.6513.3829.81
Gamma HHI0.310.160.620.160.61
Net GEX612.9K-1.1M4.9M-336.8K4.8M
Net DEX3.5M-37.8M35.7M27.8M-31.7M
Net VEX-164.2K-273.4K-125.7K-147.4K-254.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.061.950.550.52
Total Volume3,075.4761,06516,0801,2321,901
Total OI25,291.66715,30638,83722,42338,837

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$64.45$67.5027.9%8.0%26.9%48.8%27.1%5.5%1.4%-336.8K27.8M-147.4K0.5513.38N/AN/A79543711,60110,822
2018-04-03$65.36$67.5026.8%7.7%27.5%44.7%25.9%5.0%0.5%-333.2K24.3M-150.1K0.3811.66N/AN/A1,04640211,62410,867
2018-04-04$65.59$67.5025.9%7.4%27.4%41.4%26.3%4.8%0.6%-314.9K22.9M-154.3K0.7010.03N/AN/A86060311,94210,942
2018-04-05$65.81$70.0024.6%7.6%25.6%36.8%26.7%3.5%-0.7%-388.6K22.4M-152.1K0.7217.22N/AN/A71651711,99711,133
2018-04-06$63.61$70.0028.0%8.3%27.8%49.0%27.7%3.7%-1.8%-469.0K35.7M-125.7K0.6218.60N/AN/A66541212,05011,139
2018-04-09$65.64$70.0027.5%8.0%29.5%47.3%27.3%4.6%-2.0%-419.8K23.7M-143.2K0.479.05N/AN/A1,13452912,07511,176
2018-04-10$66.62$70.0024.7%7.6%30.3%37.2%25.7%4.2%-1.4%-288.6K14.5M-152.1K0.2611.26N/AN/A1,46437612,14011,262
2018-04-11$66.08$70.0027.2%7.8%30.3%46.1%27.0%4.3%-1.5%-745.1K22.9M-140.0K1.0218.57N/AN/A56758111,77311,348
2018-04-12$67.52$70.0025.3%7.3%31.4%39.5%25.7%4.3%-0.5%-586.0K8.1M-151.2K0.3314.87N/AN/A1,35444711,85611,577
2018-04-13$67.24$70.0026.1%7.5%31.4%42.3%26.4%3.8%-2.1%-1.1M12.8M-145.4K1.1628.64N/AN/A59168411,60711,670
2018-04-16$68.28$70.0025.1%7.2%32.0%38.7%25.5%3.3%-1.0%-777.1K235.0K-141.7K0.5336.81N/AN/A2,5911,37911,80811,867
2018-04-17$68.49$70.0024.6%7.1%31.9%37.0%24.2%4.3%-0.8%-368.9K-3.9M-137.7K0.9257.65N/AN/A55451111,72511,415
2018-04-18$69.59$70.0023.8%6.8%32.3%33.9%24.9%4.1%-0.9%552.7K-17.5M-133.1K1.9557.06N/AN/A7531,46911,67811,434
2018-04-19$67.99$70.0026.3%7.5%33.3%43.0%25.4%3.6%-2.7%-444.5K640.5K-129.6K0.9245.76N/AN/A1,1761,08211,92411,177
2018-04-20$67.56$70.0026.7%7.7%31.9%44.4%26.5%2.9%-2.8%-881.3K3.6M-126.9K1.2639.14N/AN/A71490112,36011,094
2018-04-23$68.07$70.0030.3%8.7%30.8%57.5%29.1%3.5%-4.2%242.3K-376.6K-129.8K0.0639.47N/AN/A8,3904958,0677,239
2018-04-24$66.32$70.0034.6%9.9%30.1%72.9%32.6%4.6%-6.9%1.5M-5.1M-162.8K0.1338.13N/AN/A14,2651,81513,7197,400
2018-04-25$65.65$70.0034.8%10.0%29.7%73.8%34.7%4.5%-4.8%3.7M-14.5M-225.2K0.2556.68N/AN/A5,7771,45924,3208,603
2018-04-26$66.46$67.5032.3%9.3%29.9%64.5%33.0%4.0%-5.2%4.7M-37.8M-273.4K0.5717.67N/AN/A1,8471,05928,3849,135
2018-04-27$66.33$67.5031.9%9.1%29.8%63.2%31.8%3.2%-5.7%4.9M-35.1M-271.8K0.5414.56N/AN/A1,47479328,9419,397
2018-04-30$66.09$67.5034.4%9.9%26.2%72.1%33.8%2.7%-7.2%4.8M-31.7M-254.2K0.5229.81N/AN/A1,25464729,3569,481