A Options History — August 2019

In August 2019, A traded between $65.51 and $72.02. ATM implied volatility averaged 36.8%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.6% (HV 20d: 28.2%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2019-08-15: Highest Volume — 7,696 contracts
  • 2019-08-14: Largest IV drop — 53.2% change
  • 2019-08-13: Highest IV Rank — 91.4%
  • 2019-08-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.34$65.51$72.02$69.23$70.95
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV36.8%21.1%82.4%37.7%23.6%
Expected Move8.2%6.1%11.4%10.8%6.8%
HV 20d28.2%16.6%36.4%16.6%35.3%
HV 60d25.5%18.6%32.2%31.4%24.8%
IV Rank29.7%8.5%91.4%30.4%12.1%
IV Percentile69.4%28.2%99.6%94.8%44.4%
Term Structure-2.3%-10.8%0.7%-10.6%0.2%
VWIV29.0%20.1%40.4%37.7%20.1%
Skew 25d5.3%3.0%6.5%3.5%5.3%
Skew 10d10.4%5.3%12.9%6.3%11.4%
Call IV 25d26.3%19.6%38.4%36.4%20.3%
Put IV 25d31.6%24.9%41.5%39.8%25.6%
Bid-Ask Spread %16.067.1853.1753.1714.82
Gamma HHI0.130.110.220.120.13
Net GEX-690.5K-1.9M284.5K-549.5K-351.4K
Net DEX16.4M-9.8M51.2M18.2M4.6M
Net VEX-309.9K-324.9K-293.4K-324.9K-310.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.288.160.760.31
Total Volume2,091.6822007,696804246
Total OI36,160.526,28750,99739,53927,601

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$69.23$70.0037.7%10.8%16.6%30.4%37.7%3.5%-10.6%-549.5K18.2M-324.9K0.7653.17N/AN/A45734721,61117,928
2019-08-02$68.01$70.0039.7%11.4%16.8%33.1%40.4%3.0%-10.8%-985.9K27.8M-312.6K3.0442.80N/AN/A27082221,70418,039
2019-08-05$66.24$70.0050.2%9.5%17.1%47.5%31.4%5.8%-3.1%-1.4M40.4M-293.4K2.5911.57N/AN/A3881,00521,83018,188
2019-08-06$67.47$70.0044.8%8.7%19.1%40.1%29.5%5.1%-2.8%-1.4M33.2M-299.7K1.588.52N/AN/A7321,15921,86718,569
2019-08-07$68.10$70.0049.1%8.9%19.6%46.0%31.7%5.2%-2.4%-894.2K25.2M-308.4K3.2013.58N/AN/A3421,09422,30217,646
2019-08-08$69.43$70.0047.8%8.4%20.0%44.2%30.3%4.7%-2.5%-605.1K15.7M-318.7K8.1610.52N/AN/A1771,44422,55418,536
2019-08-09$68.81$70.0055.3%9.4%20.2%54.4%35.7%6.2%-3.7%-860.1K21.0M-321.8K0.917.22N/AN/A2,3912,17822,59319,774
2019-08-12$66.72$70.0078.8%10.5%22.1%86.5%35.5%6.3%-5.8%-1.6M40.3M-314.1K2.638.41N/AN/A9012,36824,18821,903
2019-08-13$67.69$70.0082.4%9.8%22.8%91.4%35.2%5.1%-4.8%-1.3M31.0M-315.5K3.947.18N/AN/A8033,16424,51422,212
2019-08-14$65.51$70.0038.6%11.1%25.3%31.6%38.5%5.8%-6.1%-1.9M51.2M-304.4K1.5213.09N/AN/A2,9834,53624,85622,976
2019-08-15$69.69$70.0026.7%7.7%34.3%16.8%27.5%6.5%-0.1%284.5K10.2M-312.3K1.0217.75N/AN/A3,8083,88825,73825,259
2019-08-16$71.09$70.0024.2%6.9%34.2%13.0%24.0%5.5%0.7%21.5K-9.8M-306.5K1.8122.98N/AN/A1,4532,62325,52125,256
2019-08-19$71.83$70.0022.3%6.4%34.3%10.2%22.7%4.9%0.6%-308.5K294.3K-311.8K0.289.31N/AN/A76421310,79815,757
2019-08-20$71.30$70.0022.0%6.3%34.3%9.7%29.0%5.0%0.3%-338.4K2.4M-314.5K7.9316.55N/AN/A1911,51411,24415,802
2019-08-21$72.02$70.0021.1%6.1%34.4%8.5%23.4%5.3%0.7%-160.0K-1.6M-312.6K3.7517.71N/AN/A19974711,25416,141
2019-08-22$72.01$70.0021.9%6.3%34.4%9.5%22.2%5.1%0.2%-31.7K-2.3M-310.8K1.9814.95N/AN/A16733011,40314,884
2019-08-23$69.73$70.0025.3%7.2%36.4%14.6%25.2%5.9%-0.2%-591.2K11.8M-307.8K2.8613.41N/AN/A23968311,49515,101
2019-08-26$69.49$70.0025.3%7.3%36.0%14.7%25.7%5.8%-0.3%-612.6K12.4M-305.0K1.2411.56N/AN/A9411711,66815,256
2019-08-27$69.63$70.0024.9%7.1%35.9%14.1%24.4%5.7%0.1%-648.0K12.0M-305.0K0.7710.28N/AN/A21716711,70715,343
2019-08-28$69.92$70.0024.3%7.0%35.9%13.1%23.6%5.8%0.1%-606.5K10.8M-303.2K1.5316.27N/AN/A7912111,78915,416
2019-08-29$70.69$70.0023.0%6.6%36.0%11.3%23.8%5.2%0.5%-413.2K6.2M-303.1K1.3711.63N/AN/A25234411,79615,512
2019-08-30$70.95$70.0023.6%6.8%35.3%12.1%20.1%5.3%0.2%-351.4K4.6M-310.7K0.3114.82N/AN/A1885811,91515,686