A Options History — January 2019

In January 2019, A traded between $63.41 and $76.10. ATM implied volatility averaged 25.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 4.8% (HV 20d: 30.8%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-01-18: Highest Volume — 2,271 contracts
  • 2019-01-18: Largest IV drop — 27.7% change
  • 2019-01-03: Highest IV Rank — 25.5%
  • 2019-01-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.39$63.41$76.10$65.51$76.10
Max Pain$66.67$65.00$75.00$67.50$75.00
ATM IV25.9%19.7%34.2%31.2%22.3%
Expected Move7.6%5.7%9.7%9.0%7.6%
HV 20d30.8%24.5%34.7%28.9%24.5%
HV 60d33.7%32.5%34.9%33.6%32.8%
IV Rank14.3%5.8%25.5%21.5%9.3%
IV Percentile59.9%21.4%90.1%85.3%39.3%
Term Structure0.8%-2.7%4.9%1.8%-1.5%
VWIV26.8%20.7%33.9%31.0%27.0%
Skew 25d4.4%3.2%6.3%6.3%3.8%
Skew 10d9.9%7.1%15.4%13.2%8.7%
Call IV 25d24.4%18.5%31.4%28.3%24.2%
Put IV 25d28.8%21.8%36.8%34.6%28.0%
Bid-Ask Spread %13.303.8340.133.8324.69
Gamma HHI0.210.140.400.140.39
Net GEX704.8K-1.6K1.2M177.0K1.1M
Net DEX-16.6M-36.2M6.5M1.0M-36.2M
Net VEX-94.8K-99.2K-86.8K-96.2K-98.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.071.771.100.30
Total Volume884.193182,271417919
Total OI11,564.8110,01113,29210,81912,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$65.51$67.5031.2%9.0%28.9%21.5%31.0%6.3%1.8%177.0K1.0M-96.2K1.103.83N/AN/A1992186,1604,659
2019-01-03$63.41$65.0034.2%9.7%29.8%25.5%33.9%5.4%-2.7%-1.6K6.5M-88.6K0.349.79N/AN/A9773356,1684,763
2019-01-04$65.47$65.0029.1%9.2%32.8%18.6%32.5%5.7%-2.2%250.9K-518.5K-95.0K0.4913.19N/AN/A5222546,6034,682
2019-01-07$67.06$65.0027.0%8.7%34.2%15.7%31.9%5.0%-1.6%381.1K-5.1M-96.8K0.7220.47N/AN/A2321686,6514,805
2019-01-08$67.90$65.0026.2%8.7%33.9%14.6%30.0%4.2%-2.2%468.8K-8.2M-99.0K0.2016.45N/AN/A448896,8724,891
2019-01-09$69.28$65.0028.2%8.1%34.7%17.4%28.5%4.5%-1.1%620.9K-13.2M-98.5K0.6510.95N/AN/A6924526,9434,892
2019-01-10$69.86$65.0028.0%8.0%34.7%17.0%29.7%4.4%-1.2%677.2K-15.0M-99.0K0.768.97N/AN/A4343306,9804,939
2019-01-11$70.27$65.0026.1%7.5%34.5%14.5%26.3%4.5%0.3%719.4K-16.6M-95.0K0.489.93N/AN/A6333016,9964,868
2019-01-14$69.87$65.0026.4%7.6%34.4%14.9%26.9%4.2%-0.1%822.8K-17.0M-92.7K1.778.28N/AN/A1152037,2034,837
2019-01-15$70.70$65.0025.6%7.3%33.1%13.8%24.7%4.0%0.0%967.5K-20.4M-90.8K0.277.77N/AN/A5651547,2374,747
2019-01-16$69.99$65.0026.0%7.4%32.1%14.3%24.7%4.1%-0.5%938.1K-18.5M-92.0K1.245.96N/AN/A3063797,5644,787
2019-01-17$70.72$65.0027.3%7.8%32.2%16.1%27.6%3.4%-1.4%964.2K-21.6M-91.9K0.196.79N/AN/A1,1872227,6404,837
2019-01-18$71.88$65.0019.7%5.7%31.3%5.8%20.7%3.2%4.9%940.5K-31.5M-86.8K1.424.71N/AN/A9391,3328,4274,865
2019-01-22$70.88$67.5024.8%7.1%30.5%12.8%27.0%4.1%3.3%614.4K-14.7M-93.0K0.4740.13N/AN/A5342495,7624,249
2019-01-23$71.56$67.5024.5%7.0%28.6%12.3%25.1%3.9%3.5%666.2K-16.8M-95.9K0.429.12N/AN/A6872865,8954,347
2019-01-24$71.99$67.5024.2%6.9%28.0%11.9%22.4%3.6%3.8%702.9K-18.3M-97.5K0.2811.37N/AN/A5121456,0924,557
2019-01-25$73.67$67.5022.5%6.4%26.8%9.5%22.4%4.0%4.1%854.1K-23.9M-94.1K0.4113.17N/AN/A5522266,1634,592
2019-01-28$73.13$67.5024.8%7.1%27.1%12.8%24.8%4.7%3.1%826.1K-22.0M-94.4K0.8217.99N/AN/A1991636,2744,702
2019-01-29$73.51$70.0024.0%6.9%27.0%11.7%23.1%3.7%3.5%849.5K-23.1M-95.4K0.077.77N/AN/A1,250896,3434,850
2019-01-30$75.41$70.0022.8%6.5%27.4%10.0%23.2%5.4%3.9%1.2M-33.6M-99.2K1.1127.95N/AN/A5085637,3684,863
2019-01-31$76.10$75.0022.3%7.6%24.5%9.3%27.0%3.8%-1.5%1.1M-36.2M-98.6K0.3024.69N/AN/A7082117,5255,263