A Options History — December 2018

In December 2018, A traded between $62.92 and $74.52. ATM implied volatility averaged 28.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 6.2% (HV 20d: 35.2%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.63.

Notable Days

  • 2018-12-17: Highest Volume — 4,477 contracts
  • 2018-12-04: Largest IV spike — 32.7% change
  • 2018-12-24: Highest IV Rank — 29.2%
  • 2018-12-24: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.70$62.92$74.52$74.52$67.32
Max Pain$69.50$67.50$70.00$67.50$67.50
ATM IV28.9%20.2%36.8%20.2%28.7%
Expected Move8.1%5.8%10.6%5.8%8.2%
HV 20d35.2%27.0%41.2%39.9%30.6%
HV 60d31.4%29.9%33.2%29.9%33.2%
IV Rank18.4%6.5%29.2%6.5%18.1%
IV Percentile78.1%33.3%94.4%33.3%81.0%
Term Structure0.7%-3.4%2.8%-0.1%2.8%
VWIV28.4%22.6%36.6%22.6%29.7%
Skew 25d5.2%3.3%6.9%3.3%5.8%
Skew 10d11.1%7.6%18.1%8.0%12.0%
Call IV 25d26.2%20.0%33.9%20.0%27.0%
Put IV 25d31.3%23.3%40.7%23.3%32.8%
Bid-Ask Spread %7.874.1316.269.655.14
Gamma HHI0.220.140.400.210.15
Net GEX-367.3K-1.6M364.1K364.1K303.3K
Net DEX-599.1K-30.4M39.2M-30.4M-3.8M
Net VEX-116.1K-135.4K-95.0K-105.8K-102.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.3812.440.970.47
Total Volume1,508.31374,4771,675137
Total OI15,923.4510,01320,55513,83910,770

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$74.52$67.5020.2%5.8%39.9%6.5%22.6%3.3%-0.1%364.1K-30.4M-105.8K0.979.65N/AN/A8498266,5577,282
2018-12-04$72.82$70.0026.8%7.7%41.2%15.5%27.1%4.9%-3.3%145.7K-22.6M-123.2K3.274.48N/AN/A8952,9256,8877,785
2018-12-05$72.88$70.0027.3%7.8%41.1%16.2%27.8%4.7%-3.4%171.3K-23.1M-121.1K3.2411.26N/AN/A9082,9416,8877,785
2018-12-06$71.85$70.0027.2%6.9%39.9%16.0%24.9%4.7%1.5%-553.2K-13.5M-135.0K1.4912.46N/AN/A4026007,2199,406
2018-12-07$70.25$70.0029.0%7.4%40.7%18.5%25.9%4.9%1.4%-596.7K-4.8M-135.4K0.9610.35N/AN/A4244097,3639,337
2018-12-10$70.62$70.0031.0%7.6%40.7%21.1%26.8%5.3%1.5%-674.2K-6.3M-130.2K8.518.79N/AN/A1391,1837,4109,546
2018-12-11$71.06$67.5028.5%7.4%37.4%17.7%25.7%4.8%1.8%-684.3K-9.6M-131.6K1.164.80N/AN/A4945747,45710,095
2018-12-12$71.85$70.0023.3%6.7%37.1%10.6%23.1%4.3%2.1%-715.9K-15.1M-130.9K1.177.08N/AN/A4545297,76410,218
2018-12-13$71.11$70.0024.6%7.1%37.2%12.5%23.1%3.8%1.6%-677.6K-10.5M-128.3K0.384.95N/AN/A1,2184627,97410,204
2018-12-14$69.16$70.0025.5%7.3%38.8%13.7%25.9%4.5%1.5%-478.9K2.3M-127.2K1.296.24N/AN/A3724808,78810,201
2018-12-17$67.51$70.0028.1%8.1%40.0%17.2%28.1%4.9%0.9%-594.0K12.3M-117.4K12.445.74N/AN/A3334,1448,86210,276
2018-12-18$68.02$70.0028.0%8.0%37.0%17.0%27.1%4.8%1.8%-1.3M13.6M-119.9K8.474.13N/AN/A2622,2209,03111,330
2018-12-19$66.60$70.0027.3%7.8%27.0%16.1%28.8%4.5%2.1%-1.2M23.1M-110.8K0.988.81N/AN/A3623559,04111,444
2018-12-20$65.10$70.0030.3%8.7%27.9%20.2%30.0%5.9%1.7%-1.6M31.3M-104.5K1.066.66N/AN/A6687059,07811,429
2018-12-21$63.55$70.0032.7%9.4%28.8%23.5%31.6%5.4%0.5%77.0K39.2M-96.2K2.839.55N/AN/A4061,1509,28011,275
2018-12-24$62.92$70.0036.8%10.6%28.1%29.2%36.6%6.8%-1.4%53.8K5.8M-95.0K0.8116.26N/AN/A2962395,8384,175
2018-12-26$65.10$70.0034.6%9.9%31.3%26.1%35.7%6.7%-0.3%155.1K1.5M-100.4K0.677.19N/AN/A2801875,8764,170
2018-12-27$65.96$70.0035.7%10.2%29.7%27.6%35.4%6.9%-0.4%221.1K-676.4K-103.9K0.737.99N/AN/A2511845,9784,199
2018-12-28$65.90$67.5033.2%9.5%29.4%24.2%31.9%6.1%0.9%229.9K-656.3K-102.6K1.655.88N/AN/A3415626,0384,214
2018-12-31$67.32$67.5028.7%8.2%30.6%18.1%29.7%5.8%2.8%303.3K-3.8M-102.8K0.475.14N/AN/A93446,1204,650