A Options History — July 2019

In July 2019, A traded between $68.82 and $76.88. ATM implied volatility averaged 26.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.4% (HV 20d: 18.8%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2019-07-11: Highest Volume — 3,257 contracts
  • 2019-07-05: Largest IV spike — 23.4% change
  • 2019-07-31: Highest IV Rank — 27.6%
  • 2019-07-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.59$68.82$76.88$75.69$69.62
Max Pain$71.70$70.00$72.50$72.50$70.00
ATM IV26.2%16.0%35.7%19.3%35.7%
Expected Move7.7%4.6%10.2%5.5%10.2%
HV 20d18.8%13.2%21.5%13.2%18.4%
HV 60d32.5%32.1%33.4%32.6%32.1%
IV Rank14.6%0.7%27.6%5.2%27.6%
IV Percentile58.8%1.6%92.5%18.7%92.5%
Term Structure-2.9%-9.8%7.8%6.0%-9.8%
VWIV27.2%18.7%35.5%18.7%35.5%
Skew 25d3.3%1.9%5.6%4.1%3.3%
Skew 10d6.7%3.3%9.7%8.0%5.8%
Call IV 25d25.6%15.4%34.2%17.3%34.2%
Put IV 25d29.0%19.1%37.4%21.4%37.4%
Bid-Ask Spread %20.955.2260.927.8146.06
Gamma HHI0.160.120.250.190.13
Net GEX761.2K-2.5M4.4M3.7M-300.4K
Net DEX-1.5M-62.5M33.8M-50.8M14.4M
Net VEX-336.8K-397.9K-296.3K-397.9K-316.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.243.451.232.45
Total Volume1,807.7735983,2572,3392,081
Total OI38,606.59134,00141,83737,16738,099

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$75.69$72.5019.3%5.5%13.2%5.2%18.7%4.1%6.0%3.7M-50.8M-397.9K1.237.81N/AN/A1,0471,29221,11016,057
2019-07-02$75.61$72.5017.9%5.1%13.4%3.3%19.7%4.6%5.5%4.0M-48.4M-392.0K1.087.17N/AN/A72778721,40516,926
2019-07-03$76.88$72.5016.0%4.6%13.8%0.7%21.8%3.7%7.8%4.4M-62.5M-388.4K1.1510.32N/AN/A49957521,78316,354
2019-07-05$75.65$72.5019.8%7.5%15.5%5.8%25.7%4.4%-2.4%4.1M-47.2M-389.0K0.2514.95N/AN/A1,31132621,81216,423
2019-07-08$73.83$72.5020.6%7.5%18.5%7.0%26.4%4.7%-2.8%3.4M-25.8M-371.9K1.4916.63N/AN/A44165522,59416,522
2019-07-09$73.28$72.5022.4%7.9%18.7%9.5%26.2%4.5%-4.1%2.7M-17.3M-363.1K1.5720.48N/AN/A6671,04822,80417,090
2019-07-10$73.33$72.5026.9%7.7%18.6%15.6%26.7%5.6%-4.3%2.9M-18.6M-363.9K3.4533.78N/AN/A4331,49422,99016,945
2019-07-11$71.78$72.5024.1%6.9%20.4%11.8%25.0%3.3%-1.8%794.0K3.8M-332.6K1.2910.67N/AN/A1,4221,83523,25017,161
2019-07-12$71.74$72.5023.8%6.8%20.4%11.4%25.0%3.2%-1.8%504.5K5.1M-335.4K2.659.55N/AN/A4571,21223,23217,874
2019-07-15$70.59$72.5026.1%7.5%21.3%14.6%25.2%2.5%-2.2%-871.3K17.6M-318.3K0.4217.37N/AN/A2,06887723,36117,810
2019-07-16$69.91$72.5027.0%7.7%21.5%15.8%26.5%3.0%-2.7%-2.0M26.1M-311.2K0.3312.03N/AN/A1,99565422,56618,018
2019-07-17$69.83$72.5026.6%7.6%19.7%15.1%26.2%2.9%-2.5%-2.3M25.6M-313.6K0.4224.33N/AN/A1,51064123,35718,202
2019-07-18$70.13$72.5026.3%7.5%19.4%14.7%25.2%3.0%-2.4%-2.5M20.5M-311.1K0.2422.17N/AN/A1,70640123,51017,907
2019-07-19$68.82$72.5025.9%7.4%20.0%14.3%25.8%1.9%-1.8%-630.6K33.8M-296.3K0.5126.63N/AN/A1,72287823,85417,983
2019-07-22$69.27$72.5031.5%9.0%20.2%21.8%31.4%2.5%-7.4%-185.1K15.9M-310.3K0.3360.92N/AN/A1,66354619,69614,305
2019-07-23$69.95$70.0030.3%8.7%20.7%20.2%30.3%2.0%-5.6%64.4K10.6M-316.5K0.3327.19N/AN/A45615220,21214,505
2019-07-24$69.49$70.0029.6%8.5%20.7%19.3%29.4%2.2%-5.2%-158.3K13.9M-309.5K2.3313.09N/AN/A6871,60320,46714,568
2019-07-25$69.73$70.0029.2%8.4%20.7%18.8%28.9%2.6%-4.9%-376.9K14.7M-316.6K0.2443.82N/AN/A1,00924620,37115,994
2019-07-26$69.41$70.0030.1%8.6%19.9%19.9%30.4%2.7%-5.7%-380.6K16.3M-317.8K0.6012.30N/AN/A71542920,97616,135
2019-07-29$70.45$70.0032.7%9.4%19.9%23.6%32.7%3.2%-7.8%108.2K7.9M-319.4K0.415.22N/AN/A42317521,14016,201
2019-07-30$69.92$70.0034.7%10.0%18.4%26.3%35.2%3.7%-9.1%-120.2K11.9M-319.1K1.2418.31N/AN/A40550121,40016,376
2019-07-31$69.62$70.0035.7%10.2%18.4%27.6%35.5%3.3%-9.8%-300.4K14.4M-316.6K2.4546.06N/AN/A6041,47721,47616,623