A Options History — May 2018

In May 2018, A traded between $61.81 and $69.38. ATM implied volatility averaged 26.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.1% (HV 20d: 32.3%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2018-05-14: Highest Volume — 16,234 contracts
  • 2018-05-09: Largest IV drop — 32.2% change
  • 2018-05-08: Highest IV Rank — 96.2%
  • 2018-05-02: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.33$61.81$69.38$66.01$62.04
Max Pain$65.34$65.00$67.50$67.50$65.00
ATM IV26.3%18.2%41.1%36.4%21.3%
Expected Move6.9%5.2%10.4%10.4%6.1%
HV 20d32.3%17.6%42.2%25.8%42.2%
HV 60d28.8%22.9%32.2%27.4%32.2%
IV Rank42.8%14.0%96.2%79.3%24.8%
IV Percentile71.2%40.1%99.6%99.2%57.1%
Term Structure-0.9%-8.4%3.6%-8.1%-1.2%
VWIV24.4%18.4%36.6%35.2%21.5%
Skew 25d2.9%2.0%3.8%2.2%3.0%
Skew 10d6.2%4.8%7.5%6.4%5.8%
Call IV 25d23.2%17.7%35.6%35.3%20.6%
Put IV 25d26.1%20.7%37.6%37.5%23.6%
Bid-Ask Spread %12.866.2621.9814.2010.34
Gamma HHI0.430.170.680.590.18
Net GEX3.1M-2.4M8.5M4.8M752.0K
Net DEX-21.8M-89.0M63.0M-35.2M5.1M
Net VEX-230.4K-283.4K-155.9K-264.9K-187.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.232.040.231.00
Total Volume4,379.6821,31916,2344,3101,847
Total OI41,918.45529,30657,00039,72332,494

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$66.01$67.5036.4%10.4%25.8%79.3%35.2%2.2%-8.1%4.8M-35.2M-264.9K0.2314.20N/AN/A3,51379730,0209,703
2018-05-02$66.06$67.5036.4%10.4%25.8%79.5%36.6%2.0%-8.4%5.3M-37.7M-265.9K1.1613.93N/AN/A79892532,1299,908
2018-05-03$66.23$65.0037.6%8.1%25.8%83.7%27.7%3.1%-1.1%5.4M-41.8M-268.6K0.9719.81N/AN/A89286432,31810,259
2018-05-04$67.13$65.0035.0%7.5%22.7%74.3%26.9%3.0%-0.6%6.4M-50.5M-269.7K1.5212.90N/AN/A1,2961,96532,27410,781
2018-05-07$67.33$65.0039.4%7.7%20.0%90.1%26.9%2.9%-1.2%6.4M-50.5M-274.7K0.9615.65N/AN/A1,6931,61832,16111,818
2018-05-08$67.39$65.0041.1%7.7%19.4%96.2%26.8%3.1%-1.4%6.4M-52.5M-267.3K1.2519.06N/AN/A58573432,35012,146
2018-05-09$68.08$65.0027.9%8.0%19.4%48.6%28.1%3.0%-1.7%7.1M-63.9M-273.0K2.0421.98N/AN/A2,0184,12632,61612,632
2018-05-10$68.77$65.0026.9%7.7%18.2%45.1%27.8%2.7%-1.8%6.7M-73.6M-278.1K0.6216.18N/AN/A2,4371,50933,37815,948
2018-05-11$69.38$65.0027.9%8.0%18.3%48.8%29.1%2.8%-2.3%6.9M-89.0M-283.4K0.3717.49N/AN/A1,75065234,41116,195
2018-05-14$69.33$65.0026.4%7.6%17.6%43.4%26.6%2.1%-1.9%8.5M-87.7M-246.4K0.4616.81N/AN/A11,1295,10534,81216,348
2018-05-15$62.46$67.5022.4%6.4%41.2%29.0%21.9%3.8%2.7%-2.1M63.0M-155.9K1.1215.48N/AN/A7,6388,54131,32720,047
2018-05-16$62.06$65.0020.2%5.8%40.5%20.9%20.3%2.7%3.6%-2.4M62.6M-175.3K1.068.66N/AN/A2,2482,39435,86121,139
2018-05-17$63.61$65.0021.3%6.1%41.3%25.0%20.5%3.2%3.0%-1.7M25.4M-195.1K0.469.19N/AN/A3,8501,79036,78618,913
2018-05-18$64.51$65.0018.7%5.4%41.7%15.7%20.6%2.9%2.8%1.1M18.6M-193.9K0.9013.04N/AN/A3,8883,50337,31118,882
2018-05-21$65.68$65.0020.2%5.8%42.2%21.1%19.8%3.0%-1.0%1.6M-27.2M-220.3K0.308.55N/AN/A3,4321,02418,40010,906
2018-05-22$64.94$65.0019.1%5.5%41.4%17.0%19.6%2.8%0.0%2.0M-22.6M-225.7K0.638.05N/AN/A1,44090719,85710,644
2018-05-23$64.54$65.0018.6%5.3%41.3%15.3%18.7%2.7%0.1%1.9M-18.1M-222.6K0.898.06N/AN/A79170620,25310,628
2018-05-24$64.20$65.0018.2%5.2%41.0%14.0%18.6%2.8%0.4%1.7M-13.7M-218.2K1.216.26N/AN/A63777320,35210,933
2018-05-25$63.11$65.0019.0%5.5%41.4%16.9%18.4%3.0%0.2%1.1M-1.6M-202.9K0.408.54N/AN/A1,22448420,36911,194
2018-05-29$61.81$65.0022.2%6.4%41.9%28.3%23.5%3.7%-1.6%429.7K9.9M-187.4K0.968.70N/AN/A1,2051,16120,68311,263
2018-05-30$62.52$65.0021.5%6.2%42.2%25.8%21.7%3.3%-1.3%977.2K443.5K-191.5K0.8110.00N/AN/A1,3651,09921,03010,727
2018-05-31$62.04$65.0021.3%6.1%42.2%24.8%21.5%3.0%-1.2%752.0K5.1M-187.9K1.0010.34N/AN/A92492321,47511,019