A Options History — March 2020 In March 2020, A traded between $62.97 and $83.84. ATM implied volatility averaged 58.9%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 0.6% (HV 20d: 59.5%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.76.
Notable Days 2020-03-19 : Highest Volume — 5,136 contracts2020-03-09 : Largest IV spike — 75.0% change2020-03-16 : Highest IV Rank — 97.0%2020-03-16 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $71.62 $62.97 $83.84 $80.90 $71.62 Max Pain $79.55 $77.50 $82.50 $82.50 $77.50 ATM IV 58.9% 31.4% 80.5% 39.5% 52.7% Expected Move 16.3% 9.0% 23.1% 11.3% 15.1% HV 20d 59.5% 37.6% 77.8% 37.6% 72.7% HV 60d 38.0% 25.4% 48.0% 25.5% 48.0% IV Rank 64.6% 23.2% 97.0% 35.3% 55.3% IV Percentile 95.4% 84.1% 99.6% 93.7% 91.7% Term Structure -6.8% -18.3% -1.6% -4.6% -4.0% VWIV 55.5% 37.4% 79.6% 40.0% 53.8% Skew 25d 16.6% 7.7% 27.1% 10.8% 16.6% Skew 10d 38.3% 16.3% 61.7% 19.8% 37.6% Call IV 25d 51.2% 30.0% 69.3% 34.5% 49.5% Put IV 25d 67.8% 37.7% 96.4% 45.3% 66.1% Bid-Ask Spread % 57.87 20.08 88.90 37.79 71.16 Gamma HHI 0.10 0.09 0.16 0.11 0.12 Net GEX -730.9K -1.2M -176.2K -677.6K -640.6K Net DEX 43.7M -6.1M 75.0M 12.3M 35.0M Net VEX -355.5K -420.8K -281.8K -416.9K -366.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.76 0.18 13.74 0.81 0.35 Total Volume 1,659.909 289 5,136 1,143 1,452 Total OI 30,557.727 25,340 34,757 30,352 28,423
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $80.90 $82.50 39.5% 11.3% 37.6% 35.3% 40.0% 10.8% -4.6% -677.6K 12.3M -416.9K 0.81 37.79 N/A N/A 631 512 13,718 16,634 2020-03-03 $81.21 $82.50 40.6% 11.6% 37.7% 37.0% 38.5% 10.7% -4.5% -616.8K 11.9M -420.8K 0.41 31.17 N/A N/A 1,262 523 14,052 16,879 2020-03-04 $83.84 $82.50 31.4% 9.0% 39.2% 23.2% 37.4% 7.7% -1.6% -176.2K -6.1M -419.0K 3.16 20.08 N/A N/A 240 758 13,205 17,110 2020-03-05 $79.93 $80.00 41.9% 11.0% 42.2% 39.0% 40.9% 12.0% -3.2% -1.0M 20.1M -415.5K 6.26 33.17 N/A N/A 329 2,059 13,240 17,115 2020-03-06 $78.29 $80.00 45.7% 12.6% 42.6% 44.6% 45.6% 12.7% -6.1% -1.2M 31.9M -412.5K 2.73 48.62 N/A N/A 124 338 13,520 17,347 2020-03-09 $71.56 $80.00 79.9% 17.0% 52.2% 96.2% 60.2% 14.5% -7.9% -947.0K 54.3M -354.2K 0.91 47.07 N/A N/A 949 862 13,548 17,387 2020-03-10 $71.90 $80.00 73.0% 15.9% 51.8% 85.8% 55.5% 15.6% -5.4% -1.1M 58.0M -346.3K 2.54 44.80 N/A N/A 1,339 3,399 13,873 17,710 2020-03-11 $68.81 $80.00 57.3% 16.4% 53.0% 62.2% 57.4% 12.2% -3.6% -988.6K 67.1M -340.3K 1.10 50.72 N/A N/A 888 980 14,264 18,873 2020-03-12 $64.84 $80.00 67.7% 19.4% 55.4% 77.8% 53.9% 11.2% -6.9% -802.8K 75.0M -298.2K 9.75 88.90 N/A N/A 229 2,233 14,437 19,251 2020-03-13 $67.95 $80.00 63.7% 18.3% 59.3% 71.9% 58.5% 20.6% -2.6% -982.4K 65.6M -341.3K 0.79 68.05 N/A N/A 2,195 1,729 14,479 19,786 2020-03-16 $65.19 $80.00 80.5% 23.1% 59.9% 97.0% 69.6% 27.1% -18.3% -909.4K 71.8M -307.8K 0.31 60.37 N/A N/A 220 69 14,938 19,771 2020-03-17 $69.06 $80.00 68.5% 19.7% 65.1% 79.1% 66.1% 19.9% -8.5% -1.1M 62.5M -354.9K 1.09 56.77 N/A N/A 185 201 14,842 19,774 2020-03-18 $68.79 $80.00 69.9% 20.1% 64.8% 81.2% 64.8% 16.1% -11.7% -996.8K 64.6M -343.7K 7.35 68.05 N/A N/A 72 529 14,867 19,754 2020-03-19 $65.90 $80.00 74.4% 21.3% 65.8% 87.9% 79.6% 22.2% -10.6% -1.0M 73.9M -306.1K 4.49 67.45 N/A N/A 935 4,201 14,838 19,558 2020-03-20 $67.28 $80.00 62.4% 17.9% 66.5% 69.9% 62.8% 21.7% -12.2% -508.5K 71.4M -318.0K 0.18 67.01 N/A N/A 1,468 264 14,682 20,075 2020-03-23 $62.97 $77.50 71.4% 20.5% 68.1% 83.4% 55.8% 25.8% -10.3% -456.8K 46.9M -281.8K 1.41 54.49 N/A N/A 428 603 11,011 14,364 2020-03-24 $66.30 $77.50 56.1% 16.1% 71.3% 60.3% 48.4% 20.4% -4.1% -503.0K 42.1M -302.0K 0.56 72.63 N/A N/A 208 116 11,059 14,281 2020-03-25 $71.28 $77.50 54.6% 15.7% 76.9% 58.1% 62.0% 21.2% -8.5% -369.5K 29.1M -359.7K 0.58 76.84 N/A N/A 220 127 11,081 14,316 2020-03-26 $73.40 $77.50 55.2% 15.8% 77.8% 58.9% 51.3% 15.9% -7.1% -299.5K 21.9M -381.2K 0.20 67.21 N/A N/A 594 116 11,133 14,408 2020-03-27 $72.02 $77.50 55.5% 15.9% 77.0% 59.5% 58.2% 14.4% -5.2% -298.5K 25.2M -368.1K 13.74 70.36 N/A N/A 65 893 11,589 14,454 2020-03-30 $72.69 $77.50 54.6% 15.6% 72.7% 58.1% 60.7% 15.2% -2.5% -442.3K 25.7M -365.9K 2.08 70.55 N/A N/A 640 1,333 11,616 15,008 2020-03-31 $71.62 $77.50 52.7% 15.1% 72.7% 55.3% 53.8% 16.6% -4.0% -640.6K 35.0M -366.9K 0.35 71.16 N/A N/A 1,077 375 12,165 16,258
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