A Options History — February 2020

In February 2020, A traded between $75.63 and $85.67. ATM implied volatility averaged 31.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.4% (HV 20d: 23.4%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2020-02-18: Highest Volume — 12,681 contracts
  • 2020-02-12: Largest IV drop — 30.0% change
  • 2020-02-28: Highest IV Rank — 52.1%
  • 2020-02-28: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.93$75.63$85.67$82.49$75.63
Max Pain$85.13$82.50$87.50$85.00$82.50
ATM IV31.8%21.3%50.6%33.0%50.6%
Expected Move8.6%6.1%14.5%9.5%14.5%
HV 20d23.4%20.1%28.7%20.1%28.1%
HV 60d17.5%15.8%21.4%15.8%21.4%
IV Rank23.8%8.0%52.1%25.5%52.1%
IV Percentile79.8%27.8%98.0%92.1%98.0%
Term Structure-3.0%-9.0%1.2%-5.3%-9.0%
VWIV30.1%21.8%51.8%35.2%51.8%
Skew 25d4.9%2.5%10.3%3.9%10.3%
Skew 10d9.9%5.6%17.5%7.0%17.5%
Call IV 25d28.1%20.5%47.3%31.3%47.3%
Put IV 25d33.0%23.0%57.6%35.2%57.6%
Bid-Ask Spread %8.213.8726.064.0926.06
Gamma HHI0.150.110.420.110.11
Net GEX37.4K-4.8M2.3M199.7K-895.4K
Net DEX-2.5M-26.7M38.1M2.1M38.1M
Net VEX-395.5K-414.7K-363.3K-400.8K-385.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.055.363.401.41
Total Volume3,337.21127112,6811,4291,596
Total OI35,795.52625,19146,49433,97429,434

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$82.49$85.0033.0%9.5%20.1%25.5%35.2%3.9%-5.3%199.7K2.1M-400.8K3.404.09N/AN/A3251,10418,59715,377
2020-02-04$83.52$85.0033.0%9.5%20.7%25.6%32.0%3.5%-5.3%470.6K-4.4M-409.6K0.424.21N/AN/A30012618,70716,021
2020-02-05$84.88$85.0032.5%9.3%21.5%24.8%33.6%2.9%-5.5%1.2M-15.5M-414.7K1.313.87N/AN/A51066618,81716,089
2020-02-06$84.97$87.5032.8%7.7%21.0%25.3%26.9%4.3%-1.8%1.2M-15.9M-408.6K0.157.42N/AN/A2353619,03816,113
2020-02-07$83.26$87.5033.3%8.0%21.7%26.1%27.0%4.9%-2.3%291.5K-2.0M-398.9K3.469.66N/AN/A3651,26219,10216,124
2020-02-10$84.44$85.0036.8%7.9%22.3%31.2%28.5%4.4%-1.6%749.7K-11.1M-399.3K0.489.32N/AN/A4,1541,97519,34717,236
2020-02-11$85.03$85.0039.0%7.8%22.5%34.6%28.4%4.2%-1.9%971.3K-17.5M-398.0K1.247.14N/AN/A76194018,53817,563
2020-02-12$85.37$85.0027.3%7.8%22.4%17.0%25.9%4.2%-2.6%1.2M-19.6M-406.7K0.126.45N/AN/A3,09636319,07618,388
2020-02-13$85.27$85.0027.9%8.0%22.2%17.9%26.1%4.3%-2.8%1.6M-21.7M-412.9K0.056.66N/AN/A1,85710120,75218,567
2020-02-14$85.67$85.0027.1%7.8%21.9%16.6%25.9%3.6%-2.2%2.3M-26.7M-413.4K0.535.04N/AN/A1,04155321,69018,619
2020-02-18$84.72$85.0029.2%8.4%21.9%19.8%29.3%3.5%-3.2%1.5M-18.1M-400.2K1.3112.20N/AN/A5,4787,20322,07418,793
2020-02-19$85.31$85.0021.4%6.1%22.2%8.1%22.0%2.5%1.0%91.7K-17.7M-384.4K0.925.45N/AN/A5,0214,60625,21921,275
2020-02-20$84.30$85.0021.3%6.1%22.1%8.0%21.8%3.4%1.2%-2.1M102.4K-376.7K1.014.93N/AN/A1,5461,56524,39421,510
2020-02-21$84.83$85.0023.4%6.7%22.0%11.1%22.7%3.4%0.1%-4.8M-5.0M-385.1K0.324.05N/AN/A4,7641,52524,58420,896
2020-02-24$80.82$85.0029.2%8.4%27.4%19.8%31.4%5.9%-2.4%-361.5K10.9M-372.9K2.7810.86N/AN/A5141,43012,67412,517
2020-02-25$78.32$85.0033.3%9.5%28.7%26.0%32.6%7.3%-2.5%-702.5K23.4M-363.3K5.3610.49N/AN/A7183,85112,88313,314
2020-02-26$78.36$85.0033.3%9.5%28.4%26.0%32.9%6.8%-3.9%-1.2M27.6M-381.9K0.725.65N/AN/A52937913,03114,997
2020-02-27$78.47$85.0040.5%11.6%28.4%36.8%38.3%9.0%-6.2%-972.4K26.4M-401.0K1.3412.40N/AN/A1,2431,66913,13715,622
2020-02-28$75.63$82.5050.6%14.5%28.1%52.1%51.8%10.3%-9.0%-895.4K38.1M-385.9K1.4126.06N/AN/A66193513,45215,982