A Options History — December 2019

In December 2019, A traded between $79.94 and $85.37. ATM implied volatility averaged 18.5%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.6% (HV 20d: 14.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2019-12-10: Highest Volume — 17,665 contracts
  • 2019-12-18: Largest IV spike — 10.6% change
  • 2019-12-03: Highest IV Rank — 7.4%
  • 2019-12-03: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.57$79.94$85.37$80.63$85.31
Max Pain$76.79$75.00$80.00$80.00$80.00
ATM IV18.5%17.0%20.9%20.7%19.3%
Expected Move5.4%4.9%6.0%5.9%5.5%
HV 20d14.0%12.7%15.9%14.0%12.9%
HV 60d18.6%15.7%20.0%19.8%15.7%
IV Rank3.8%1.5%7.4%7.1%5.0%
IV Percentile6.1%0.8%15.9%14.7%12.7%
Term Structure4.5%-0.2%6.8%-0.2%5.6%
VWIV19.6%17.3%26.4%21.6%19.9%
Skew 25d3.8%2.8%5.1%3.3%2.8%
Skew 10d8.3%6.4%10.9%7.6%6.5%
Call IV 25d17.4%16.0%20.0%19.3%18.0%
Put IV 25d21.2%19.6%23.5%22.6%20.8%
Bid-Ask Spread %9.174.0614.5510.016.64
Gamma HHI0.180.150.220.190.17
Net GEX5.4M2.4M8.0M2.9M8.0M
Net DEX-90.0M-128.1M-45.6M-52.3M-98.4M
Net VEX-402.6K-438.0K-370.7K-434.5K-425.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.073.981.170.72
Total Volume2,45160217,6652,153719
Total OI54,197.04849,65061,08150,99353,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$80.63$80.0020.7%5.9%14.0%7.1%21.6%3.3%-0.2%2.9M-52.3M-434.5K1.1710.01N/AN/A9901,16323,07427,919
2019-12-03$79.94$80.0020.9%6.0%14.5%7.4%22.3%3.5%-0.0%2.4M-45.6M-430.7K2.3611.49N/AN/A28466923,29627,699
2019-12-04$80.97$80.0020.1%5.8%13.3%6.1%20.0%3.5%0.4%3.3M-56.8M-438.0K3.136.60N/AN/A4801,50323,29727,727
2019-12-05$81.56$75.0018.1%5.3%13.3%3.2%19.5%4.7%3.6%4.0M-65.8M-432.3K0.8410.24N/AN/A36330423,34126,717
2019-12-06$82.20$75.0017.4%5.3%13.3%2.1%20.6%4.8%3.3%4.5M-76.0M-408.8K1.344.67N/AN/A31942623,32126,610
2019-12-09$81.73$75.0019.0%5.5%13.7%4.5%26.4%5.1%3.3%4.1M-68.2M-403.9K3.986.18N/AN/A20079523,23426,602
2019-12-10$82.88$75.0018.8%5.7%14.2%4.2%20.8%4.9%3.6%5.0M-85.8M-389.7K0.3711.72N/AN/A12,8854,78023,23726,413
2019-12-11$83.30$75.0020.3%5.8%14.2%6.4%19.3%4.5%3.3%5.4M-88.7M-424.8K0.078.79N/AN/A8866628,03427,515
2019-12-12$84.83$75.0018.4%5.3%15.0%3.7%17.9%4.2%5.4%6.3M-111.6M-413.6K0.199.36N/AN/A3,92674728,30027,600
2019-12-13$83.83$75.0017.3%5.0%15.9%1.9%18.6%4.3%5.6%6.4M-99.2M-423.6K3.077.31N/AN/A5091,56330,55627,613
2019-12-16$84.41$75.0017.1%4.9%15.5%1.6%20.3%3.8%5.6%5.7M-105.2M-393.2K1.105.38N/AN/A84692830,66928,749
2019-12-17$83.97$75.0017.0%4.9%15.8%1.5%17.6%3.8%5.8%5.6M-99.2M-389.8K0.579.47N/AN/A70340330,82328,590
2019-12-18$83.60$75.0018.8%5.4%15.0%4.2%18.2%3.4%5.1%5.7M-91.6M-386.3K0.554.06N/AN/A38921330,94228,655
2019-12-19$84.47$75.0017.6%5.0%14.4%2.4%18.6%3.6%5.8%5.1M-106.1M-385.4K0.419.75N/AN/A1,63066330,97228,706
2019-12-20$85.19$77.5017.2%4.9%13.9%1.8%17.3%3.2%6.4%3.7M-128.1M-387.1K1.9610.61N/AN/A9611,88131,89829,183
2019-12-23$85.24$77.5017.2%4.9%13.6%1.7%17.6%3.8%6.6%6.5M-102.4M-380.0K0.3114.55N/AN/A70321828,24724,295
2019-12-24$85.25$77.5017.2%4.9%12.7%1.8%19.1%3.5%6.8%6.8M-105.1M-383.0K1.7612.24N/AN/A31855928,65924,315
2019-12-26$85.37$77.5018.2%5.2%12.7%3.3%18.0%2.8%6.6%7.1M-108.5M-378.6K0.6214.14N/AN/A83751528,77824,685
2019-12-27$85.33$77.5018.9%5.4%12.8%4.4%18.3%3.2%5.8%7.6M-109.6M-374.8K2.9910.56N/AN/A4771,42629,31624,692
2019-12-30$84.87$80.0019.8%5.7%12.9%5.7%20.2%3.2%5.4%7.4M-85.6M-370.7K0.278.83N/AN/A3,32390127,20723,421
2019-12-31$85.31$80.0019.3%5.5%12.9%5.0%19.9%2.8%5.6%8.0M-98.4M-425.1K0.726.64N/AN/A41730229,56523,666