A Options History — October 2019

In October 2019, A traded between $72.57 and $76.30. ATM implied volatility averaged 24.7%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.7% (HV 20d: 25.4%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.86.

Notable Days

  • 2019-10-08: Highest Volume — 6,300 contracts
  • 2019-10-08: Largest IV spike — 21.1% change
  • 2019-10-08: Highest IV Rank — 22.1%
  • 2019-10-09: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.96$72.57$76.30$74.69$75.69
Max Pain$73.48$72.50$75.00$75.00$75.00
ATM IV24.7%21.6%30.7%25.0%23.8%
Expected Move7.1%6.2%8.2%7.2%6.8%
HV 20d25.4%21.3%28.1%25.3%21.4%
HV 60d27.7%26.7%28.4%26.7%27.0%
IV Rank13.2%8.5%22.1%14.2%11.7%
IV Percentile48.4%18.7%81.7%55.2%43.7%
Term Structure1.7%-1.7%3.3%-1.2%2.8%
VWIV24.2%20.4%28.0%24.2%21.7%
Skew 25d2.8%-2.1%5.3%5.2%3.3%
Skew 10d5.9%-6.0%10.2%10.2%6.7%
Call IV 25d22.9%20.3%28.9%22.9%21.2%
Put IV 25d25.7%20.9%30.1%28.1%24.5%
Bid-Ask Spread %43.479.0081.0715.1516.14
Gamma HHI0.200.170.280.260.18
Net GEX-1.9M-3.6M-309.8K-2.6M-1.9M
Net DEX7.3M-12.8M36.4M12.6M2.1M
Net VEX-447.4K-482.9K-401.5K-423.2K-449.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0716.912.130.08
Total Volume1,446.2612576,300583292
Total OI46,031.34840,01549,47540,01549,475

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$74.69$75.0025.0%7.2%25.3%14.2%24.2%5.2%-1.2%-2.6M12.6M-423.2K2.1315.15N/AN/A18639713,86926,146
2019-10-02$73.30$75.0028.2%8.1%26.3%19.1%27.1%5.3%-1.7%-3.2M27.3M-437.6K3.9914.14N/AN/A5882,34613,94126,113
2019-10-03$73.62$72.5026.7%7.8%23.1%16.1%24.7%2.5%1.7%-3.2M31.0M-457.1K1.5379.67N/AN/A24737814,10627,796
2019-10-04$75.70$72.5023.6%7.1%24.9%11.4%23.7%3.5%1.6%-2.3M3.1M-436.3K0.1572.77N/AN/A1,25119214,25227,981
2019-10-07$75.28$72.5025.3%6.9%24.9%14.0%24.7%3.0%2.3%-2.3M4.7M-440.2K0.6328.88N/AN/A22714215,24628,073
2019-10-08$72.57$72.5030.7%8.1%28.1%22.1%28.0%2.7%0.2%-3.6M36.4M-457.8K0.2969.15N/AN/A4,8751,42515,39328,127
2019-10-09$73.60$72.5028.6%8.2%26.4%19.0%27.7%0.4%-0.3%-2.3M20.9M-472.6K0.1174.42N/AN/A1,52016117,44228,564
2019-10-10$73.94$72.5026.3%7.5%26.0%15.5%26.3%1.6%0.9%-1.9M14.2M-461.3K0.5770.83N/AN/A64837218,11328,514
2019-10-11$75.64$72.5026.1%7.5%27.5%15.2%26.7%4.0%0.4%-663.2K-8.1M-448.1K0.3481.07N/AN/A1,42749018,15328,730
2019-10-14$75.10$72.5023.7%6.8%27.4%11.6%25.7%3.3%2.3%-1.4M191.2K-422.0K0.6875.98N/AN/A26918317,47329,093
2019-10-15$75.84$72.5023.6%6.8%27.5%11.4%22.7%2.4%2.0%-600.8K-12.8M-409.4K0.0771.64N/AN/A6404517,40729,128
2019-10-16$75.41$72.5023.4%6.7%27.1%11.1%23.1%1.9%2.0%-754.5K-8.2M-401.5K1.0066.56N/AN/A46146317,54029,081
2019-10-17$75.08$72.5025.0%7.2%26.9%13.5%23.4%-2.1%1.4%-309.8K-3.5M-420.9K3.5372.32N/AN/A3721,31217,88429,460
2019-10-18$74.66$72.5022.0%6.3%26.9%9.0%24.7%4.9%2.8%-446.9K6.8M-425.2K16.9174.03N/AN/A3225,44417,90630,041
2019-10-21$75.35$72.5023.6%6.8%27.2%11.4%23.5%3.0%2.8%-1.8M3.4M-459.5K3.3330.07N/AN/A27993014,70530,229
2019-10-22$74.67$72.5023.0%6.6%24.9%10.5%23.1%2.9%3.2%-2.4M10.8M-469.0K4.1113.88N/AN/A4912,01714,87030,896
2019-10-23$74.97$75.0023.3%6.7%24.7%10.9%22.6%2.4%2.8%-2.9M12.5M-482.9K0.9713.53N/AN/A16716215,12333,091
2019-10-24$74.91$75.0022.8%6.5%24.7%10.2%20.4%2.8%3.0%-3.0M14.7M-478.0K1.0313.89N/AN/A30030815,23333,140
2019-10-25$75.58$75.0023.2%6.7%24.9%10.9%23.2%3.5%2.5%-2.4M7.1M-475.8K0.4611.47N/AN/A35516215,32933,490
2019-10-28$76.30$75.0021.6%6.2%24.9%8.5%21.5%2.4%3.3%-1.5M-3.9M-454.1K0.1411.12N/AN/A6719715,48033,523
2019-10-29$76.16$75.0024.5%7.0%22.5%12.8%24.0%1.1%1.9%-1.6M-3.1M-453.2K0.509.00N/AN/A26213115,65233,525
2019-10-30$76.05$75.0024.7%7.1%21.3%13.0%22.8%3.9%2.0%-1.7M-1.0M-455.0K0.2014.04N/AN/A2144315,80233,586
2019-10-31$75.69$75.0023.8%6.8%21.4%11.7%21.7%3.3%2.8%-1.9M2.1M-449.7K0.0816.14N/AN/A2702215,87533,600