A Options History — June 2019

In June 2019, A traded between $67.12 and $74.33. ATM implied volatility averaged 22.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 4.9% (HV 20d: 27.6%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2019-06-19: Highest Volume — 7,973 contracts
  • 2019-06-06: Largest IV drop — 10.8% change
  • 2019-06-03: Highest IV Rank — 14.0%
  • 2019-06-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.99$67.12$74.33$67.12$74.33
Max Pain$70.63$67.50$72.50$67.50$72.50
ATM IV22.7%20.5%25.8%25.8%20.5%
Expected Move6.5%5.9%7.4%7.4%5.9%
HV 20d27.6%11.7%49.4%49.1%12.6%
HV 60d32.7%32.2%33.1%33.0%32.4%
IV Rank9.9%6.9%14.0%14.0%6.9%
IV Percentile41.4%26.2%61.5%61.5%26.2%
Term Structure3.2%-0.5%4.6%-0.5%4.6%
VWIV22.9%20.9%25.8%25.8%22.3%
Skew 25d4.0%3.3%5.0%5.0%4.4%
Skew 10d8.7%6.6%13.7%10.1%13.7%
Call IV 25d21.3%19.6%24.5%24.5%19.9%
Put IV 25d25.3%22.9%29.5%29.5%24.3%
Bid-Ask Spread %7.804.5114.179.616.34
Gamma HHI0.130.110.160.110.16
Net GEX2.0M519.2K3.1M519.2K3.0M
Net DEX-14.9M-44.5M14.8M14.8M-31.3M
Net VEX-364.9K-401.4K-293.3K-295.7K-392.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.385.400.741.29
Total Volume2,271.655447,9738711,482
Total OI39,549.235,11944,72235,42936,821

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$67.12$67.5025.8%7.4%49.1%14.0%25.8%5.0%-0.5%519.2K14.8M-295.7K0.749.61N/AN/A50037121,16214,267
2019-06-04$67.69$67.5023.8%6.8%49.4%11.4%23.8%4.1%0.5%847.5K10.9M-293.3K0.729.91N/AN/A1,7811,28821,38914,336
2019-06-05$68.45$67.5024.4%7.0%48.6%12.1%24.4%3.9%0.2%1.1M4.5M-332.8K1.026.31N/AN/A9921,00922,26515,173
2019-06-06$69.44$70.0021.7%6.6%49.0%8.5%20.9%4.5%3.4%1.3M-1.2M-343.7K0.7914.17N/AN/A56744622,08615,749
2019-06-07$69.51$70.0022.2%6.6%49.0%9.2%22.2%4.2%3.2%1.4M-2.2M-340.3K0.6910.96N/AN/A61442322,18915,736
2019-06-10$70.20$70.0024.3%6.8%49.3%12.0%23.1%4.5%3.2%1.8M-10.1M-343.0K0.769.78N/AN/A1,3591,02622,69715,686
2019-06-11$70.01$70.0024.3%6.7%47.2%12.0%23.7%3.9%3.6%1.9M-9.9M-362.4K0.756.96N/AN/A1,3311,00123,90416,372
2019-06-12$70.13$70.0023.4%6.7%45.1%10.9%22.9%4.5%3.3%2.0M-11.0M-367.1K0.747.57N/AN/A1,34299624,49116,667
2019-06-13$70.17$70.0023.3%6.7%15.1%10.7%24.2%4.1%3.4%2.2M-13.5M-372.4K0.949.12N/AN/A75270925,04316,660
2019-06-14$70.05$70.0022.9%6.6%13.7%10.1%23.2%4.1%3.7%2.1M-11.3M-362.5K1.037.41N/AN/A1,9732,03624,97516,689
2019-06-17$70.37$70.0023.0%6.6%13.8%10.3%23.6%3.9%3.6%2.1M-14.5M-374.0K0.807.38N/AN/A30324125,85618,186
2019-06-18$72.02$70.0021.6%6.2%15.8%8.3%21.5%3.8%3.9%2.8M-31.2M-381.0K0.386.45N/AN/A1,91572525,83418,331
2019-06-19$72.64$72.5021.4%6.1%15.4%8.0%22.3%3.8%3.9%3.0M-38.1M-395.0K1.0413.45N/AN/A3,9004,07325,85018,857
2019-06-20$73.22$72.5021.6%6.2%15.1%8.3%22.3%3.4%3.8%3.1M-44.5M-401.4K1.195.38N/AN/A1,6351,94126,37618,346
2019-06-21$73.31$72.5021.3%6.1%14.7%7.9%21.8%3.3%4.3%2.6M-44.2M-394.8K1.805.00N/AN/A1,1362,04326,28318,417
2019-06-24$73.10$72.5022.3%6.4%14.4%9.3%22.4%3.5%3.5%2.4M-20.9M-387.8K1.484.87N/AN/A24836720,79914,320
2019-06-25$72.52$72.5022.5%6.5%11.7%9.6%21.9%3.7%3.5%2.0M-14.2M-380.8K3.316.33N/AN/A4301,42320,86314,528
2019-06-26$72.23$72.5022.4%6.4%12.0%9.5%23.6%3.9%3.7%1.6M-10.3M-387.7K5.404.59N/AN/A3111,67920,99715,804
2019-06-27$73.26$72.5021.9%6.3%12.1%8.8%22.1%4.3%4.2%2.3M-19.9M-390.2K1.884.51N/AN/A37069521,05415,926
2019-06-28$74.33$72.5020.5%5.9%12.6%6.9%22.3%4.4%4.6%3.0M-31.3M-392.3K1.296.34N/AN/A64883421,10515,716