A Options History — September 2018

In September 2018, A traded between $67.01 and $71.06. ATM implied volatility averaged 16.7%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.8% (HV 20d: 14.0%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2018-09-21: Highest Volume — 4,022 contracts
  • 2018-09-13: Largest IV drop — 6.7% change
  • 2018-09-10: Highest IV Rank — 4.4%
  • 2018-09-07: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.07$67.01$71.06$67.26$70.58
Max Pain$66.18$65.00$67.50$65.00$67.50
ATM IV16.7%16.0%17.9%17.2%16.5%
Expected Move4.8%4.6%5.1%4.9%4.7%
HV 20d14.0%9.3%19.8%19.8%12.0%
HV 60d18.4%17.4%19.3%19.2%17.4%
IV Rank2.8%1.8%4.4%3.8%2.5%
IV Percentile15.7%5.2%28.2%21.4%12.7%
Term Structure3.5%0.3%4.4%0.4%3.5%
VWIV17.0%14.7%19.4%17.3%15.2%
Skew 25d2.3%1.7%2.5%1.9%2.4%
Skew 10d5.0%4.3%5.6%4.3%5.1%
Call IV 25d16.2%15.1%17.4%17.0%15.5%
Put IV 25d18.5%17.3%19.5%18.9%18.0%
Bid-Ask Spread %12.345.6924.3612.4814.93
Gamma HHI0.330.250.460.260.33
Net GEX5.6M3.9M8.3M4.3M5.5M
Net DEX-67.5M-118.2M-36.9M-43.3M-70.6M
Net VEX-288.0K-319.0K-255.7K-308.9K-255.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.322.631.490.61
Total Volume2,216.9479794,0223,7432,406
Total OI45,017.52637,97450,72345,48038,552

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$67.26$65.0017.2%4.9%19.8%3.8%17.3%1.9%0.4%4.3M-43.3M-308.9K1.4912.48N/AN/A1,5062,23727,29418,186
2018-09-05$67.01$65.0017.3%5.0%18.9%3.5%17.7%1.7%0.3%3.9M-36.9M-315.8K2.639.07N/AN/A8142,13927,91517,469
2018-09-06$67.38$65.0017.0%5.1%18.9%3.2%17.5%2.5%3.6%4.6M-43.4M-319.0K2.0614.03N/AN/A1,1572,38427,97417,583
2018-09-07$67.42$65.0017.3%5.1%18.5%3.5%17.6%2.5%3.3%4.6M-45.1M-311.8K1.246.49N/AN/A8891,10128,09717,665
2018-09-10$67.95$65.0017.9%5.1%18.4%4.4%17.7%2.5%3.5%5.1M-53.6M-306.7K0.575.79N/AN/A62235728,22918,085
2018-09-11$67.67$65.0017.1%5.0%18.5%3.3%17.6%2.4%3.4%4.3M-45.6M-300.3K1.0311.51N/AN/A55757427,93318,626
2018-09-12$67.97$65.0017.5%5.0%17.9%3.9%17.8%2.3%3.9%5.0M-52.2M-302.7K1.2411.77N/AN/A54968328,47518,652
2018-09-13$69.25$65.0016.4%4.7%12.3%2.3%17.2%2.4%4.2%6.6M-78.4M-302.7K0.6019.34N/AN/A1,08464628,49318,761
2018-09-14$68.85$65.0016.0%4.6%11.7%1.8%16.2%2.4%4.3%6.1M-70.6M-294.6K0.368.29N/AN/A1,90068028,54818,794
2018-09-17$69.02$65.0016.5%4.7%9.3%2.5%17.9%2.4%4.2%6.7M-73.7M-282.9K0.9213.02N/AN/A1,2541,14829,01718,884
2018-09-18$69.02$67.5016.3%4.7%9.3%2.2%17.6%2.5%4.0%7.0M-74.0M-287.1K1.345.69N/AN/A1,2601,68829,61519,424
2018-09-19$69.60$67.5016.0%4.6%9.4%1.9%19.4%2.2%4.4%8.3M-86.1M-279.2K1.8612.73N/AN/A49993029,76219,754
2018-09-20$71.06$67.5016.4%4.7%11.0%2.3%15.9%2.4%4.0%7.5M-118.2M-266.7K0.4714.88N/AN/A2,3891,11429,76519,923
2018-09-21$70.75$67.5016.1%4.6%11.3%1.9%15.2%2.2%3.9%5.6M-116.0M-264.9K1.5915.11N/AN/A1,5522,47030,02120,702
2018-09-24$70.04$67.5016.7%4.8%12.2%2.8%16.5%2.2%4.2%4.8M-64.3M-275.1K0.5110.16N/AN/A96649123,63814,336
2018-09-25$70.39$67.5016.7%4.8%12.2%2.7%16.0%2.1%3.8%5.0M-68.5M-268.9K0.3412.74N/AN/A1,04835723,72614,538
2018-09-26$70.49$67.5016.6%4.8%12.1%2.6%17.1%2.3%3.9%5.2M-68.8M-265.8K0.3224.36N/AN/A1,00732023,80214,596
2018-09-27$70.65$67.5016.6%4.8%12.0%2.7%14.7%2.4%3.5%5.4M-72.7M-262.1K0.4012.00N/AN/A96138323,88514,614
2018-09-28$70.58$67.5016.5%4.7%12.0%2.5%15.2%2.4%3.5%5.5M-70.6M-255.7K0.6114.93N/AN/A1,49191523,91314,639