A Options History — April 2020

In April 2020, A traded between $68.79 and $79.25. ATM implied volatility averaged 41.4%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 15.2% (HV 20d: 56.7%). Max pain ranged from $72.50 to $82.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2020-04-21: Highest Volume — 5,025 contracts
  • 2020-04-29: Largest IV drop — 17.3% change
  • 2020-04-01: Highest IV Rank — 61.3%
  • 2020-04-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.74$68.79$79.25$68.79$76.67
Max Pain$81.19$72.50$82.50$72.50$80.00
ATM IV41.4%30.8%56.7%56.7%34.2%
Expected Move11.8%8.8%16.3%16.3%9.8%
HV 20d56.7%41.3%72.7%72.2%42.6%
HV 60d51.8%48.6%53.5%48.6%53.5%
IV Rank38.3%22.3%61.3%61.3%27.3%
IV Percentile83.2%69.0%94.0%94.0%75.0%
Term Structure-0.6%-7.2%4.1%-4.1%4.1%
VWIV41.9%32.5%61.0%61.0%35.8%
Skew 25d12.7%9.3%22.1%17.4%9.6%
Skew 10d28.0%19.1%54.4%46.2%23.5%
Call IV 25d35.9%27.7%54.4%54.4%31.3%
Put IV 25d48.6%37.5%71.8%71.8%40.8%
Bid-Ask Spread %57.6119.8976.2176.2133.45
Gamma HHI0.120.100.170.120.12
Net GEX-121.7K-582.6K588.0K-578.4K-269.7K
Net DEX15.6M-7.9M43.6M43.6M19.9M
Net VEX-365.2K-396.4K-339.6K-339.6K-354.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.077.281.601.04
Total Volume932.4291565,0251561,191
Total OI31,597.66729,28734,90729,60134,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$68.79$72.5056.7%16.3%72.2%61.3%61.0%17.4%-4.1%-578.4K43.6M-339.6K1.6076.21N/AN/A609613,17916,422
2020-04-02$71.54$82.5051.2%12.3%72.7%52.9%44.8%18.6%2.2%-434.5K31.1M-378.6K2.0369.87N/AN/A11824013,18316,456
2020-04-03$70.08$82.5050.8%14.4%72.7%52.4%47.0%16.3%-7.2%-582.6K39.8M-347.2K1.0954.90N/AN/A53758613,21116,511
2020-04-06$74.15$82.5043.0%12.6%68.6%40.6%42.4%12.5%-4.1%-355.8K23.9M-369.2K0.9266.94N/AN/A12511513,53516,915
2020-04-07$74.63$82.5043.7%12.5%68.7%41.7%48.7%12.7%-2.8%-255.3K20.9M-380.9K0.5265.77N/AN/A25313113,57316,942
2020-04-08$76.21$82.5042.7%12.2%66.8%40.2%46.1%14.3%-3.9%-120.5K12.5M-383.9K2.3361.24N/AN/A4911413,73016,991
2020-04-09$78.46$82.5041.9%12.0%62.7%39.1%51.4%15.3%-3.9%91.1K-667.2K-396.4K2.0865.03N/AN/A20642913,75817,024
2020-04-13$76.26$82.5038.6%11.1%62.4%34.1%42.7%22.1%-5.2%-100.4K12.4M-364.0K0.9375.21N/AN/A15114013,73717,143
2020-04-14$78.52$82.5038.6%11.1%60.3%34.0%39.7%11.7%0.1%9.6K-351.1K-375.0K1.2271.81N/AN/A12515313,76917,206
2020-04-15$77.44$82.5040.5%11.6%58.0%36.9%35.9%10.8%-1.6%-118.5K5.9M-366.9K7.2872.40N/AN/A4633513,82417,208
2020-04-16$78.67$82.5040.5%11.6%58.0%36.8%34.0%11.4%-1.6%46.5K-2.9M-368.7K0.0764.20N/AN/A2,25415113,84017,222
2020-04-17$79.25$82.5036.4%10.4%55.0%30.7%32.5%9.9%-0.1%100.1K-7.9M-374.8K0.1356.88N/AN/A2,70535416,03817,234
2020-04-20$77.35$82.5040.8%11.7%56.0%37.3%40.5%10.3%0.2%-62.4K12.4M-358.7K0.5754.01N/AN/A46026114,97814,309
2020-04-21$74.33$82.5046.1%13.2%52.1%45.2%44.2%10.7%-0.4%-290.0K22.9M-352.3K0.4665.88N/AN/A3,4441,58115,28814,523
2020-04-22$75.35$80.0042.6%12.2%49.6%40.0%42.9%11.9%2.5%94.9K18.3M-372.1K1.0460.57N/AN/A15816417,71615,412
2020-04-23$75.70$80.0041.5%11.9%43.1%38.4%45.0%10.7%2.5%132.1K16.2M-372.0K3.0153.01N/AN/A9227717,90215,490
2020-04-24$75.84$80.0037.9%10.9%41.9%32.9%36.1%10.6%2.5%-142.3K20.6M-357.4K0.3253.21N/AN/A3069817,91515,547
2020-04-27$76.49$80.0034.4%9.9%41.3%27.7%36.3%10.8%2.8%-110.8K17.0M-351.7K0.5719.89N/AN/A23913717,91515,598
2020-04-28$75.68$80.0037.3%10.7%41.5%32.0%39.2%9.3%0.8%-197.5K20.3M-345.7K3.7739.53N/AN/A6123018,03515,607
2020-04-29$79.18$80.0030.8%8.8%43.7%22.3%33.3%9.7%3.8%588.0K2.1M-359.3K3.0729.75N/AN/A3461,06318,04215,716
2020-04-30$76.67$80.0034.2%9.8%42.6%27.3%35.8%9.6%4.1%-269.7K19.9M-354.4K1.0433.45N/AN/A58560618,19116,716