A Options History — June 2018

In June 2018, A traded between $61.22 and $66.37. ATM implied volatility averaged 20.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 7.7% (HV 20d: 28.4%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-06-11: Highest Volume — 17,554 contracts
  • 2018-06-11: Largest IV spike — 32.9% change
  • 2018-06-11: Highest IV Rank — 38.5%
  • 2018-06-25: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.93$61.22$66.37$62.67$62.02
Max Pain$62.62$62.50$65.00$65.00$62.50
ATM IV20.7%17.8%25.1%20.7%21.1%
Expected Move5.7%5.0%6.9%5.9%6.1%
HV 20d28.4%18.1%43.4%42.5%19.9%
HV 60d31.5%30.3%32.1%31.8%30.4%
IV Rank22.8%12.2%38.5%22.7%24.5%
IV Percentile51.9%31.3%78.6%54.0%54.0%
Term Structure3.6%-1.1%4.9%-1.1%4.9%
VWIV20.1%17.3%23.7%20.6%21.0%
Skew 25d2.9%2.2%3.3%3.0%2.9%
Skew 10d6.0%4.5%8.4%6.2%5.6%
Call IV 25d19.0%16.5%22.3%19.7%20.5%
Put IV 25d21.9%19.3%25.6%22.7%23.5%
Bid-Ask Spread %11.895.1221.8410.369.11
Gamma HHI0.290.210.520.210.21
Net GEX3.2M413.3K7.4M1.1M757.0K
Net DEX-29.0M-88.9M18.4M-2.0M8.8M
Net VEX-377.4K-491.9K-198.7K-198.7K-440.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.082.210.791.23
Total Volume4,501.2861,21717,5541,3282,108
Total OI47,254.71433,20857,15633,20852,068

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$62.67$65.0020.7%5.9%42.5%22.7%20.6%3.0%-1.1%1.1M-2.0M-198.7K0.7910.36N/AN/A74058821,92311,285
2018-06-04$63.46$62.5024.2%5.8%42.4%35.6%19.6%3.1%3.0%1.6M-10.9M-205.8K0.0819.68N/AN/A10,34084222,05911,421
2018-06-05$63.53$62.5023.8%5.7%42.4%34.1%19.9%2.9%3.2%4.6M-24.1M-221.8K0.5514.08N/AN/A1,77197027,48011,770
2018-06-06$65.01$62.5017.8%5.0%43.4%12.2%18.2%2.8%3.4%6.9M-51.0M-221.1K0.3012.86N/AN/A2,30769027,58212,071
2018-06-07$65.27$62.5018.3%5.3%43.2%14.3%18.1%2.9%3.5%6.7M-53.0M-222.5K0.147.01N/AN/A4,54663627,26712,061
2018-06-08$65.82$62.5018.9%5.4%43.1%16.2%18.4%3.0%3.2%7.4M-67.0M-225.0K0.8217.22N/AN/A1,11191128,63912,276
2018-06-11$66.24$62.5025.1%5.7%43.1%38.5%19.9%3.3%3.0%6.0M-69.2M-214.9K0.6121.84N/AN/A10,8886,66627,13812,783
2018-06-12$66.34$62.5020.8%5.2%43.1%23.1%19.1%3.1%3.7%6.3M-81.5M-397.9K0.7815.41N/AN/A4,8993,80735,29415,558
2018-06-13$66.27$62.5018.0%5.2%20.0%13.1%18.6%3.0%3.5%6.5M-88.9M-464.3K0.3017.55N/AN/A3,6671,09038,64917,839
2018-06-14$66.37$62.5017.9%5.1%19.7%12.7%19.1%2.6%4.1%5.6M-84.5M-491.9K0.6810.48N/AN/A1,5731,06238,23418,334
2018-06-15$66.19$62.5018.8%5.4%18.1%16.0%20.2%2.6%4.0%3.4M-85.3M-485.3K1.5614.98N/AN/A1,3612,12438,81118,345
2018-06-18$64.91$62.5018.9%5.4%19.1%16.3%19.3%2.3%3.6%2.6M-35.8M-471.1K2.2110.98N/AN/A1,5443,41529,35315,728
2018-06-19$63.52$62.5020.9%6.0%19.4%23.6%23.7%2.7%3.4%1.3M-10.0M-481.5K1.985.12N/AN/A2,1664,29329,43518,595
2018-06-20$62.95$62.5020.5%5.9%19.3%22.1%20.3%2.2%4.1%1.1M-2.9M-485.0K0.659.91N/AN/A2,5011,63731,01220,130
2018-06-21$62.90$62.5021.1%6.0%19.2%24.1%21.3%3.0%4.2%1.2M-4.4M-478.8K0.3116.18N/AN/A1,73653231,21419,774
2018-06-22$62.93$62.5020.2%5.8%19.1%20.9%17.3%2.8%4.6%1.3M-5.3M-474.3K0.635.22N/AN/A1,40588331,55419,834
2018-06-25$61.22$62.5023.9%6.9%20.6%34.5%22.6%3.2%3.6%609.3K16.7M-430.9K0.888.79N/AN/A1,8511,62531,71219,998
2018-06-26$62.11$62.5020.8%6.0%20.0%23.3%20.8%3.0%4.9%810.5K7.2M-451.5K0.407.96N/AN/A1,97279531,03720,422
2018-06-27$61.42$62.5021.7%6.2%19.9%26.6%22.0%3.3%4.5%519.9K16.2M-438.2K0.407.34N/AN/A1,61264631,24520,548
2018-06-28$61.33$62.5021.3%6.1%19.8%25.0%22.1%3.0%4.9%413.3K18.4M-423.4K1.207.73N/AN/A55366431,27020,601
2018-06-29$62.02$62.5021.1%6.1%19.9%24.5%21.0%2.9%4.9%757.0K8.8M-440.9K1.239.11N/AN/A9451,16331,45820,610