A Options History — July 2018

In July 2018, A traded between $61.24 and $66.73. ATM implied volatility averaged 25.5%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.5% (HV 20d: 18.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2018-07-31: Highest Volume — 15,691 contracts
  • 2018-07-31: Largest IV spike — 31.0% change
  • 2018-07-31: Highest IV Rank — 86.4%
  • 2018-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.70$61.24$66.73$61.24$66.07
Max Pain$62.50$62.50$62.50$62.50$62.50
ATM IV25.5%19.9%38.3%23.4%38.3%
Expected Move7.6%6.6%11.0%6.7%11.0%
HV 20d18.0%15.3%19.7%19.7%18.0%
HV 60d28.5%27.7%29.7%29.7%28.8%
IV Rank40.1%19.9%86.4%32.4%86.4%
IV Percentile75.1%39.7%98.8%68.7%98.8%
Term Structure-2.4%-10.9%4.9%4.5%-10.9%
VWIV27.0%22.2%41.4%22.4%41.4%
Skew 25d2.8%1.7%5.9%3.3%5.9%
Skew 10d5.9%3.2%9.7%6.6%9.7%
Call IV 25d25.4%21.3%36.3%21.3%36.3%
Put IV 25d28.2%23.9%42.2%24.6%42.2%
Bid-Ask Spread %10.095.3421.618.0821.61
Gamma HHI0.230.200.270.200.27
Net GEX1.6M321.9K3.6M610.6K2.8M
Net DEX-16.9M-60.9M18.4M16.3M-46.6M
Net VEX-398.8K-422.8K-371.6K-422.6K-410.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.4014.791.3414.79
Total Volume2,380.76298215,6911,04315,691
Total OI51,829.90547,02355,37752,35949,211

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$61.24$62.5023.4%6.7%19.7%32.4%22.4%3.3%4.5%610.6K16.3M-422.6K1.348.08N/AN/A44659731,74720,612
2018-07-03$61.25$62.5023.0%6.6%19.7%31.1%22.2%2.5%4.9%486.8K18.4M-408.5K1.2120.09N/AN/A80697231,80020,680
2018-07-05$61.79$62.5021.2%7.5%17.8%24.7%26.5%3.8%-1.1%578.1K11.7M-415.5K1.1111.85N/AN/A85594831,51820,845
2018-07-06$62.31$62.5020.2%7.3%18.1%21.1%25.4%3.5%-0.7%948.9K2.4M-422.8K0.8613.50N/AN/A74063931,92721,100
2018-07-09$63.14$62.5020.4%7.2%18.6%21.8%24.7%3.2%-1.1%1.3M-9.0M-419.6K0.8612.43N/AN/A76265532,07521,168
2018-07-10$63.66$62.5019.9%7.1%18.7%19.9%26.3%2.9%-1.0%1.6M-17.1M-418.0K1.129.08N/AN/A58565432,03321,199
2018-07-11$62.97$62.5024.8%7.1%18.9%37.6%26.4%2.6%-1.1%1.1M-6.4M-400.1K0.969.43N/AN/A70267232,27121,274
2018-07-12$63.46$62.5024.1%6.9%19.3%35.3%26.1%2.8%-1.0%1.5M-13.1M-409.8K1.1411.34N/AN/A50357332,38821,381
2018-07-13$63.39$62.5024.2%6.9%19.2%35.4%25.4%2.9%-1.0%1.3M-12.9M-405.6K0.998.78N/AN/A54954232,55421,416
2018-07-16$62.77$62.5024.4%7.0%19.4%36.1%24.5%2.8%-1.0%406.6K-41.5K-378.6K1.088.14N/AN/A47151132,53521,478
2018-07-17$63.17$62.5024.4%7.0%18.6%36.2%24.4%2.7%-1.1%668.5K-7.1M-376.2K1.846.90N/AN/A6671,22532,64421,504
2018-07-18$63.01$62.5028.0%8.0%17.0%49.2%28.3%2.4%-4.2%321.9K-6.7M-386.8K3.6313.94N/AN/A1,3384,85732,82121,970
2018-07-19$64.21$62.5027.5%7.9%18.0%47.4%28.7%2.9%-4.1%2.5M-31.4M-403.9K0.827.35N/AN/A94177033,28222,095
2018-07-20$63.96$62.5027.0%7.7%18.0%45.5%27.2%2.7%-3.7%1.8M-26.7M-392.0K0.406.29N/AN/A1,38555233,37721,975
2018-07-23$63.71$62.5027.9%8.0%18.1%48.7%27.9%2.5%-4.6%1.8M-16.6M-373.8K0.685.72N/AN/A85458429,45017,573
2018-07-24$64.71$62.5026.9%7.7%15.5%45.1%27.7%2.4%-4.3%2.4M-30.8M-384.9K1.187.58N/AN/A62073429,63417,820
2018-07-25$65.86$62.5027.1%7.8%15.8%45.8%27.1%2.0%-4.4%3.1M-47.4M-388.5K0.517.77N/AN/A1,15258729,70218,036
2018-07-26$66.73$62.5026.5%7.6%15.3%43.7%27.1%1.7%-4.4%3.6M-60.9M-398.1K1.265.34N/AN/A63479729,90918,221
2018-07-27$65.65$62.5027.1%7.8%16.9%46.0%28.1%2.0%-4.6%3.0M-42.0M-389.1K1.4111.02N/AN/A69397529,95418,521
2018-07-30$64.70$62.5029.3%8.4%17.7%53.7%29.1%2.0%-6.0%2.3M-28.2M-371.6K1.155.57N/AN/A81894029,93918,789
2018-07-31$66.07$62.5038.3%11.0%18.0%86.4%41.4%5.9%-10.9%2.8M-46.6M-410.0K14.7921.61N/AN/A99414,69730,09319,118