A Options History — January 2020

In January 2020, A traded between $82.50 and $90.20. ATM implied volatility averaged 24.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 12.0% (HV 20d: 12.4%). Max pain ranged from $77.50 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2020-01-17: Highest Volume — 5,960 contracts
  • 2020-01-15: Largest IV spike — 16.3% change
  • 2020-01-31: Highest IV Rank — 25.9%
  • 2020-01-31: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.08$82.50$90.20$85.65$82.50
Max Pain$82.74$77.50$85.00$80.00$85.00
ATM IV24.4%17.7%33.2%18.7%33.2%
Expected Move7.4%5.4%9.5%5.4%9.5%
HV 20d12.4%9.4%20.5%12.2%20.5%
HV 60d13.4%12.4%16.2%15.6%16.2%
IV Rank12.6%2.6%25.9%4.1%25.9%
IV Percentile51.1%4.4%92.5%6.3%92.5%
Term Structure-1.4%-4.7%5.7%5.7%-4.7%
VWIV26.1%18.9%33.4%18.9%33.4%
Skew 25d3.8%2.8%5.5%2.8%4.1%
Skew 10d7.9%4.3%12.9%5.3%7.7%
Call IV 25d24.0%17.2%31.2%17.2%31.2%
Put IV 25d27.8%20.1%35.3%20.1%35.3%
Bid-Ask Spread %19.524.5567.299.937.34
Gamma HHI0.250.110.850.180.11
Net GEX7.8M306.0K35.2M8.4M306.0K
Net DEX-88.8M-174.7M1.7M-106.4M1.7M
Net VEX-412.7K-433.9K-383.4K-410.2K-412.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.159.611.713.47
Total Volume1,352.2382505,9601,3611,046
Total OI44,983.76228,88457,00253,31833,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$85.65$80.0018.7%5.4%12.2%4.1%18.9%2.8%5.7%8.4M-106.4M-410.2K1.719.93N/AN/A50385829,59823,720
2020-01-03$84.63$80.0020.7%5.9%12.8%7.1%22.0%3.0%4.9%7.6M-88.9M-426.1K2.2010.22N/AN/A26658629,84024,240
2020-01-06$84.69$77.5020.1%7.2%12.7%6.1%24.9%3.8%-0.7%7.7M-87.2M-403.7K0.7116.08N/AN/A44031129,79424,550
2020-01-07$85.15$80.0020.0%7.1%12.5%6.0%26.9%4.4%-0.0%7.7M-92.7M-392.3K0.4967.29N/AN/A32816229,85024,684
2020-01-08$86.19$80.0020.0%7.1%12.7%6.1%24.7%5.5%-0.6%8.7M-112.6M-392.7K0.1934.76N/AN/A1,21522729,92024,778
2020-01-09$87.07$80.0017.7%6.6%12.3%2.6%23.5%3.7%0.0%9.5M-128.6M-383.4K0.8048.38N/AN/A1,6131,28429,84524,893
2020-01-10$87.55$82.5018.3%6.9%12.4%3.5%23.5%2.9%-0.8%9.5M-132.1M-425.7K0.1560.01N/AN/A1,40720630,38625,971
2020-01-13$87.34$82.5020.6%6.9%11.0%7.0%23.5%3.2%-0.8%9.5M-132.1M-409.9K0.3157.26N/AN/A34010530,62126,060
2020-01-14$87.91$82.5021.1%7.1%9.9%7.6%23.7%3.7%-1.8%10.0M-141.1M-403.9K0.2629.28N/AN/A1985230,57526,109
2020-01-15$88.53$82.5024.5%7.0%9.9%12.8%22.6%3.8%-1.0%10.6M-151.6M-399.8K0.2711.14N/AN/A76420430,64026,133
2020-01-16$89.33$82.5023.2%6.6%9.7%10.8%22.9%3.8%-1.0%13.1M-163.1M-397.9K0.178.73N/AN/A75913030,62726,247
2020-01-17$89.94$82.5024.5%7.0%9.4%12.8%24.2%3.5%-1.4%35.2M-174.7M-397.5K0.467.95N/AN/A4,0741,88630,75426,248
2020-01-21$89.53$85.0025.8%7.4%9.5%14.7%26.2%3.8%-2.0%3.9M-61.0M-422.9K1.164.55N/AN/A66977717,86911,015
2020-01-22$90.20$85.0026.1%7.5%9.4%15.2%25.5%3.8%-2.5%4.2M-66.8M-422.4K1.505.13N/AN/A63795518,10611,349
2020-01-23$88.97$85.0026.4%7.6%11.1%15.6%26.3%3.8%-2.7%3.8M-55.0M-431.7K0.964.81N/AN/A17616918,24311,658
2020-01-24$88.21$85.0028.0%8.0%11.7%18.1%28.4%3.8%-2.9%3.5M-48.5M-431.6K5.774.68N/AN/A2051,18218,28711,762
2020-01-27$86.66$85.0031.8%9.1%13.6%23.8%32.5%4.4%-4.7%2.7M-36.0M-429.0K4.826.03N/AN/A18890618,37112,470
2020-01-28$87.26$85.0029.9%8.6%13.8%20.9%32.1%3.5%-3.8%2.9M-39.0M-428.8K6.744.73N/AN/A12987018,36212,962
2020-01-29$87.38$85.0030.3%8.7%13.5%21.5%29.4%3.8%-4.5%2.7M-39.0M-433.9K0.946.99N/AN/A23622318,42813,704
2020-01-30$84.06$85.0030.6%8.8%19.6%22.0%33.2%4.0%-3.9%1.2M-11.0M-411.9K9.614.74N/AN/A1991,91218,48213,807
2020-01-31$82.50$85.0033.2%9.5%20.5%25.9%33.4%4.1%-4.7%306.0K1.7M-412.3K3.477.34N/AN/A23481218,48615,215