A Options History — March 2019

In March 2019, A traded between $77.76 and $82.17. ATM implied volatility averaged 20.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.5% (HV 20d: 18.9%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2019-03-01: Highest Volume — 5,047 contracts
  • 2019-03-04: Largest IV spike — 32.4% change
  • 2019-03-07: Highest IV Rank — 11.0%
  • 2019-03-26: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.07$77.76$82.17$81.42$80.38
Max Pain$70.00$67.50$75.00$75.00$70.00
ATM IV20.4%16.6%23.6%16.6%21.4%
Expected Move6.3%4.8%6.8%4.8%6.8%
HV 20d18.9%15.8%21.9%15.8%20.1%
HV 60d23.3%20.8%25.1%25.1%20.8%
IV Rank6.6%1.6%11.0%1.6%8.1%
IV Percentile28.1%6.3%47.2%6.3%36.9%
Term Structure2.2%1.4%3.7%2.1%2.2%
VWIV23.0%17.5%26.1%17.5%26.1%
Skew 25d4.4%3.8%5.4%5.4%4.6%
Skew 10d9.2%7.5%12.2%11.9%9.0%
Call IV 25d18.5%16.1%20.9%16.2%19.4%
Put IV 25d22.9%19.8%25.8%21.6%24.0%
Bid-Ask Spread %6.843.6710.666.399.91
Gamma HHI0.230.140.460.310.17
Net GEX1.2M-2.5K3.4M2.6M186.7K
Net DEX-18.0M-35.9M-3.3M-33.1M-8.3M
Net VEX-216.8K-226.8K-208.1K-226.8K-224.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.274.921.260.38
Total Volume988.2862275,0475,047830
Total OI17,778.1912,85121,96621,78915,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$81.42$75.0016.6%4.8%15.8%1.6%17.5%5.4%2.1%2.6M-33.1M-226.8K1.266.39N/AN/A2,2292,81810,35911,430
2019-03-04$80.02$75.0022.0%6.3%17.3%8.9%23.5%4.5%2.0%1.7M-25.8M-210.7K0.277.40N/AN/A8552279,7409,815
2019-03-05$79.83$75.0019.8%5.7%17.3%5.9%20.3%4.4%1.9%1.6M-23.6M-208.1K0.753.87N/AN/A7475609,8389,901
2019-03-06$78.80$75.0020.2%5.8%18.2%6.4%21.3%4.2%2.1%1.1M-17.9M-212.2K0.643.67N/AN/A69944710,03110,094
2019-03-07$78.60$75.0023.6%6.8%18.2%11.0%24.8%4.5%1.6%1.2M-16.5M-213.2K1.414.15N/AN/A8071,13510,19810,144
2019-03-08$77.76$75.0022.4%6.4%17.7%9.5%23.4%4.4%1.8%430.5K-11.0M-225.4K1.893.91N/AN/A5431,02710,45910,831
2019-03-11$79.35$67.5020.6%6.4%18.9%7.0%23.1%4.3%2.5%2.3M-23.9M-217.1K1.078.60N/AN/A20121510,48810,865
2019-03-12$80.12$67.5019.8%6.2%19.0%5.9%22.4%4.2%2.0%3.0M-29.6M-214.5K0.839.38N/AN/A35229310,55710,927
2019-03-13$80.19$67.5019.4%6.2%18.5%5.3%23.1%4.4%2.3%3.4M-30.6M-213.8K0.546.91N/AN/A91149310,67311,063
2019-03-14$80.51$67.5019.0%6.3%18.5%4.8%22.6%4.6%2.9%3.2M-32.1M-215.4K0.666.60N/AN/A33422110,58111,325
2019-03-15$80.99$67.5018.8%6.2%18.5%4.5%22.6%3.9%2.6%774.8K-35.9M-210.9K0.457.46N/AN/A49822210,56411,402
2019-03-18$81.10$67.5019.2%6.2%18.0%5.0%23.1%4.2%2.5%797.8K-15.1M-211.5K4.925.43N/AN/A1135566,1706,681
2019-03-19$81.12$67.5019.1%6.3%17.8%5.0%22.7%3.9%2.8%663.4K-14.2M-215.4K0.718.45N/AN/A133946,2407,157
2019-03-20$81.06$67.5019.1%6.2%17.4%5.0%24.5%4.3%2.6%679.3K-13.9M-213.7K1.5110.66N/AN/A1502276,2657,171
2019-03-21$82.17$67.5017.1%6.0%17.1%2.2%23.4%3.8%3.7%816.8K-17.9M-213.8K0.757.52N/AN/A2161626,3117,290
2019-03-22$79.27$67.5020.8%6.6%21.9%7.2%24.5%4.3%2.2%207.9K-5.9M-218.1K2.048.09N/AN/A2334756,3557,673
2019-03-25$79.58$67.5021.9%6.7%21.2%8.7%22.9%4.7%1.5%202.4K-6.0M-221.5K0.386.41N/AN/A200756,6327,992
2019-03-26$80.38$67.5022.3%6.8%21.2%9.2%24.1%4.5%1.6%316.8K-9.2M-221.8K2.355.18N/AN/A1714016,6428,034
2019-03-27$79.22$70.0022.2%6.8%21.7%9.1%23.5%4.8%1.4%-2.5K-3.3M-221.3K1.007.31N/AN/A2492496,6718,322
2019-03-28$79.67$70.0022.1%6.8%21.8%9.1%24.7%4.5%1.4%65.1K-5.2M-223.6K1.636.27N/AN/A1472396,7868,393
2019-03-29$80.38$70.0021.4%6.8%20.1%8.1%26.1%4.6%2.2%186.7K-8.3M-224.2K0.389.91N/AN/A6012296,8418,431