A Options History — May 2020

In May 2020, A traded between $74.28 and $87.94. ATM implied volatility averaged 34.2%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.9% (HV 20d: 36.1%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2020-05-21: Highest Volume — 6,060 contracts
  • 2020-05-12: Largest IV spike — 18.2% change
  • 2020-05-04: Highest IV Rank — 38.0%
  • 2020-05-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.37$74.28$87.94$74.28$87.94
Max Pain$78.13$77.50$80.00$80.00$80.00
ATM IV34.2%27.1%41.3%39.5%27.1%
Expected Move9.9%7.8%11.5%11.3%7.8%
HV 20d36.1%31.1%42.6%42.6%31.1%
HV 60d53.9%52.2%54.9%53.7%52.2%
IV Rank27.4%16.8%38.0%35.4%16.8%
IV Percentile72.3%57.1%82.9%80.6%57.1%
Term Structure-0.0%-3.0%2.3%-0.2%1.9%
VWIV34.8%29.6%41.2%40.1%31.3%
Skew 25d7.7%5.0%10.7%10.2%5.5%
Skew 10d18.0%10.6%27.4%27.4%13.7%
Call IV 25d31.8%25.6%36.3%36.3%25.6%
Put IV 25d39.6%31.1%46.5%46.5%31.1%
Bid-Ask Spread %44.6627.4657.1242.6931.70
Gamma HHI0.150.100.370.100.12
Net GEX1.0M-665.1K2.9M-665.1K2.1M
Net DEX-17.4M-58.7M32.7M32.7M-58.7M
Net VEX-366.9K-391.5K-341.8K-344.6K-385.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.106.340.253.73
Total Volume1,678.2796,06079544
Total OI34,970.125,72842,22735,78433,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$74.28$80.0039.5%11.3%42.6%35.4%40.1%10.2%-0.2%-665.1K32.7M-344.6K0.2542.69N/AN/A631618,55917,225
2020-05-04$74.53$77.5041.3%11.5%41.8%38.0%41.2%10.7%-0.7%-608.7K31.1M-341.8K4.1348.58N/AN/A2631,08618,56317,222
2020-05-05$76.47$77.5035.8%10.4%37.8%29.8%35.9%8.6%1.7%-628.9K22.7M-347.2K0.1341.78N/AN/A1271718,71518,225
2020-05-06$78.24$77.5037.6%10.9%38.5%32.5%37.6%9.3%0.4%-447.5K12.2M-354.7K0.1147.06N/AN/A1,36815218,72219,038
2020-05-07$78.61$77.5035.6%10.4%37.9%29.4%33.8%9.3%0.8%-495.4K8.4M-358.6K0.2350.42N/AN/A1,27029519,52319,048
2020-05-08$79.78$77.5029.6%10.0%36.8%20.4%37.6%9.4%0.2%686.0K-6.6M-367.0K0.9752.69N/AN/A40138720,45319,518
2020-05-11$81.57$77.5031.6%9.4%35.9%23.4%34.2%8.6%1.7%1.9M-25.4M-362.9K0.1751.87N/AN/A1,05518020,60519,802
2020-05-12$80.28$77.5037.3%10.2%35.1%32.1%36.5%8.0%-0.0%1.0M-11.9M-355.2K1.0654.02N/AN/A66870521,02019,877
2020-05-13$79.75$77.5038.4%11.0%34.8%33.7%34.7%10.0%-0.9%546.1K-7.0M-362.7K0.1248.82N/AN/A1,87223221,36420,431
2020-05-14$81.58$77.5036.8%10.5%35.3%31.3%36.0%8.8%-1.2%2.9M-27.3M-366.8K0.1050.63N/AN/A2742721,64420,463
2020-05-15$81.46$77.5035.8%10.3%35.2%29.8%34.9%8.1%-1.3%590.4K-23.3M-361.2K0.2157.12N/AN/A2,56254821,76320,464
2020-05-18$84.03$77.5033.7%9.7%35.4%26.7%34.2%8.5%-1.0%1.4M-32.7M-377.3K0.4150.85N/AN/A70429013,63912,089
2020-05-19$82.38$77.5035.5%10.2%32.7%29.3%35.6%5.9%-1.7%1.3M-25.4M-378.9K6.3453.90N/AN/A2531,60314,09212,298
2020-05-20$81.76$77.5036.0%10.3%32.8%30.1%36.2%5.7%-3.0%1.1M-20.6M-384.6K0.8746.23N/AN/A31027014,21213,227
2020-05-21$80.76$77.5036.1%10.4%33.3%30.3%35.7%6.1%-2.2%977.1K-14.5M-379.0K0.4528.49N/AN/A4,1811,87914,38713,408
2020-05-22$84.77$80.0030.3%8.7%37.0%21.5%31.5%6.2%0.3%2.0M-43.5M-391.5K0.6437.37N/AN/A2,3271,49116,00414,844
2020-05-26$86.16$77.5029.6%8.5%37.2%20.4%30.1%5.1%0.7%2.3M-51.4M-373.9K0.7538.39N/AN/A60845715,91815,143
2020-05-27$85.85$80.0028.8%8.2%36.8%19.2%29.6%5.7%1.7%2.3M-50.3M-368.5K2.7733.15N/AN/A7131,97215,94815,318
2020-05-28$87.18$80.0027.3%7.8%34.1%16.9%29.9%5.0%2.3%2.3M-56.4M-376.6K2.5327.46N/AN/A6791,71516,13916,568
2020-05-29$87.94$80.0027.1%7.8%31.1%16.8%31.3%5.5%1.9%2.1M-58.7M-385.1K3.7331.70N/AN/A11542916,07317,851