A Options History — September 2019

In September 2019, A traded between $70.40 and $78.22. ATM implied volatility averaged 22.3%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.4% (HV 20d: 26.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.47.

Notable Days

  • 2019-09-18: Highest Volume — 10,144 contracts
  • 2019-09-06: Largest IV drop — 16.3% change
  • 2019-09-03: Highest IV Rank — 14.9%
  • 2019-09-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.87$70.40$78.22$70.40$76.88
Max Pain$73.50$70.00$75.00$70.00$75.00
ATM IV22.3%19.1%25.4%25.4%22.6%
Expected Move6.4%5.9%7.3%7.3%6.5%
HV 20d26.8%18.2%35.5%33.9%22.7%
HV 60d26.2%24.8%27.0%24.8%26.5%
IV Rank10.2%5.3%14.9%14.9%10.6%
IV Percentile33.2%11.1%57.1%57.1%34.5%
Term Structure0.8%-1.2%3.0%-1.1%0.1%
VWIV23.2%20.6%26.6%25.5%22.9%
Skew 25d5.1%4.1%6.5%6.5%4.8%
Skew 10d11.4%8.0%16.3%13.6%8.6%
Call IV 25d20.2%18.2%22.7%22.3%20.7%
Put IV 25d25.4%23.4%28.8%28.8%25.5%
Bid-Ask Spread %17.2910.3925.6110.3915.28
Gamma HHI0.180.120.250.130.22
Net GEX-240.3K-1.6M746.9K-585.7K-1.3M
Net DEX-17.2M-37.9M9.4M9.4M-8.2M
Net VEX-358.1K-431.0K-297.5K-299.9K-424.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.2813.547.084.59
Total Volume1,808.918110,1441,737660
Total OI34,287.227,65542,74327,65539,805

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$70.40$70.0025.4%7.3%33.9%14.9%25.5%6.5%-1.1%-585.7K9.4M-299.9K7.0810.39N/AN/A2151,52211,89915,756
2019-09-04$70.91$70.0024.2%6.9%33.5%13.0%22.5%6.4%-0.6%-950.5K8.8M-306.5K1.2117.56N/AN/A829911,88817,169
2019-09-05$73.51$70.0022.8%6.7%35.5%10.9%21.7%5.9%0.1%239.3K-11.6M-306.9K0.4517.74N/AN/A1,05447111,93917,225
2019-09-06$74.27$70.0019.1%6.0%35.1%5.3%24.6%5.3%1.7%603.2K-17.1M-305.4K6.4114.67N/AN/A2181,39812,25217,277
2019-09-09$74.02$70.0021.8%6.2%34.9%9.4%23.1%5.0%1.6%629.3K-16.2M-300.1K4.9715.19N/AN/A2691,33812,38517,238
2019-09-10$74.55$72.5021.1%6.1%32.4%8.4%21.6%4.9%1.6%228.8K-16.6M-308.7K0.5213.24N/AN/A55728912,51418,465
2019-09-11$76.74$72.5020.5%5.9%33.4%7.5%21.6%5.2%1.5%746.9K-34.0M-297.5K1.3025.61N/AN/A1,0931,42512,72418,631
2019-09-12$77.74$75.0020.7%5.9%30.0%7.8%24.3%5.6%0.8%670.4K-37.9M-304.0K9.5317.84N/AN/A2962,82112,77219,912
2019-09-13$77.81$75.0020.7%5.9%22.6%7.8%20.6%5.3%0.9%600.1K-36.3M-332.7K1.1412.81N/AN/A1,4251,62812,77219,563
2019-09-16$77.11$75.0022.1%6.3%22.5%9.8%22.4%6.1%0.7%534.9K-30.2M-341.8K0.2816.37N/AN/A56015913,06519,666
2019-09-17$76.44$75.0021.7%6.2%22.8%9.3%22.5%5.2%0.8%353.3K-23.5M-341.4K2.0420.67N/AN/A48999612,96319,711
2019-09-18$77.49$75.0022.5%6.4%22.7%10.5%23.2%4.6%1.7%549.4K-32.0M-343.0K4.9425.06N/AN/A1,7088,43613,12419,761
2019-09-19$78.08$75.0022.2%6.4%22.6%10.0%21.5%4.5%1.9%-432.2K-33.1M-407.5K0.3618.05N/AN/A63522614,59927,624
2019-09-20$78.18$75.0023.1%6.6%22.6%11.3%23.2%4.4%1.8%-433.2K-34.4M-416.4K0.6520.84N/AN/A63340914,97027,773
2019-09-23$78.22$75.0022.7%6.5%18.2%10.7%22.5%4.7%1.2%-597.1K-19.2M-407.7K0.7117.92N/AN/A47433612,94423,405
2019-09-24$75.76$75.0025.1%7.2%22.4%14.3%26.6%4.4%-1.2%-1.3M1.3M-429.5K4.0319.26N/AN/A3341,34513,60323,773
2019-09-25$76.44$75.0021.7%6.2%22.5%9.3%26.5%5.1%3.0%-1.4M-5.0M-428.1K2.6314.26N/AN/A16142413,71824,922
2019-09-26$76.67$75.0022.1%6.3%22.5%9.9%23.2%4.7%1.3%-1.3M-6.4M-429.5K13.5417.06N/AN/A4155513,78725,159
2019-09-27$76.20$75.0024.7%7.1%22.6%13.8%24.8%4.1%-0.8%-1.6M-1.0M-431.0K3.1216.07N/AN/A3391,05813,80825,183
2019-09-30$76.88$75.0022.6%6.5%22.7%10.6%22.9%4.8%0.1%-1.3M-8.2M-424.7K4.5915.28N/AN/A11854213,91425,891