A Options History — June 2020

In June 2020, A traded between $85.62 and $90.94. ATM implied volatility averaged 30.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.4% (HV 20d: 27.1%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2020-06-22: Highest Volume — 3,508 contracts
  • 2020-06-11: Largest IV spike — 23.0% change
  • 2020-06-11: Highest IV Rank — 27.9%
  • 2020-06-11: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.41$85.62$90.94$89.77$88.33
Max Pain$88.18$80.00$90.00$80.00$90.00
ATM IV30.5%25.9%34.5%28.0%28.6%
Expected Move8.7%7.7%9.9%8.0%8.2%
HV 20d27.1%22.6%32.5%27.9%24.2%
HV 60d40.5%32.4%51.3%51.3%32.4%
IV Rank21.8%14.9%27.9%18.0%18.9%
IV Percentile63.2%49.2%73.4%58.7%54.8%
Term Structure2.5%-0.1%5.6%0.3%3.7%
VWIV31.3%26.1%37.8%29.3%29.0%
Skew 25d6.3%4.2%8.2%4.4%5.8%
Skew 10d14.0%9.2%18.7%10.1%13.2%
Call IV 25d28.6%25.0%32.0%27.1%26.7%
Put IV 25d34.9%31.0%39.9%31.4%32.5%
Bid-Ask Spread %37.3517.3958.7423.3941.54
Gamma HHI0.130.110.150.120.12
Net GEX2.0M630.6K2.9M2.1M1.6M
Net DEX-55.5M-87.1M-18.7M-73.1M-30.8M
Net VEX-353.1K-378.1K-326.6K-355.4K-354.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.035.070.270.77
Total Volume1,096.9552253,5081,169334
Total OI34,130.13625,22338,18034,12329,496

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$89.77$80.0028.0%8.0%27.9%18.0%29.3%4.4%0.3%2.1M-73.1M-355.4K0.2723.39N/AN/A92424516,09218,031
2020-06-02$90.00$80.0028.2%8.1%27.9%18.4%30.0%5.1%0.5%2.3M-76.5M-369.3K1.6517.39N/AN/A29348216,73718,106
2020-06-03$90.76$80.0028.3%8.1%27.3%18.5%28.1%4.2%-0.1%2.4M-81.9M-359.2K1.5024.66N/AN/A52378716,84218,204
2020-06-04$90.94$85.0027.0%8.0%26.8%16.5%28.0%4.6%4.1%2.5M-87.1M-341.8K1.6828.33N/AN/A9521,60116,89018,186
2020-06-05$90.31$85.0025.9%7.7%27.3%14.9%26.1%6.4%5.6%2.6M-80.6M-353.6K0.9338.79N/AN/A1,2781,18717,11018,305
2020-06-08$90.21$90.0030.3%8.3%27.3%21.5%27.1%6.2%2.8%2.6M-80.5M-362.2K0.0729.07N/AN/A1,3048818,10319,315
2020-06-09$89.71$90.0028.7%8.0%26.9%19.2%28.0%7.2%3.2%2.4M-72.4M-359.2K1.4234.58N/AN/A8901,26217,75519,385
2020-06-10$90.10$90.0028.1%8.1%25.8%18.2%28.8%5.6%4.1%2.9M-85.0M-354.0K0.7139.74N/AN/A28320218,43818,959
2020-06-11$85.62$90.0034.5%9.9%32.5%27.9%35.3%6.9%0.7%2.4M-45.3M-378.1K1.7039.79N/AN/A39366918,58119,003
2020-06-12$85.77$90.0033.7%9.7%31.7%26.6%33.4%7.7%2.0%2.3M-43.3M-373.7K0.9557.44N/AN/A38836818,45719,309
2020-06-15$86.40$90.0033.4%9.6%31.7%26.1%32.4%8.1%2.3%2.6M-52.8M-359.5K0.8158.74N/AN/A26021118,47619,545
2020-06-16$87.16$90.0033.5%9.6%30.1%26.3%35.4%7.2%0.9%2.6M-56.6M-354.8K0.7350.45N/AN/A21715918,55719,574
2020-06-17$87.84$90.0033.5%9.6%29.0%26.3%37.8%8.2%0.2%2.6M-65.8M-340.8K4.0742.66N/AN/A7028518,56319,617
2020-06-18$87.88$90.0033.0%9.5%28.7%25.6%36.5%7.2%2.2%2.3M-64.5M-341.3K0.9044.27N/AN/A17515718,21519,673
2020-06-19$88.86$90.0030.9%8.8%28.2%22.4%32.7%7.0%2.3%630.6K-73.0M-329.6K0.9330.13N/AN/A41738918,24119,755
2020-06-22$88.76$90.0030.3%8.7%23.1%21.5%31.8%6.0%2.5%786.8K-27.0M-326.6K0.0333.27N/AN/A3,40410410,94814,275
2020-06-23$89.56$90.0029.0%8.3%22.6%19.6%31.9%6.0%3.4%1.6M-37.5M-361.0K1.8729.04N/AN/A6751,26014,03814,332
2020-06-24$87.00$90.0031.4%9.0%25.1%23.2%32.4%5.1%3.4%1.1M-24.0M-354.5K3.6640.89N/AN/A12345014,20414,545
2020-06-25$86.91$90.0030.7%8.8%24.5%22.1%33.6%5.3%4.0%1.0M-22.0M-356.6K0.4327.43N/AN/A23310114,23514,761
2020-06-26$86.23$90.0032.9%9.4%24.4%25.4%31.1%6.5%2.6%903.3K-18.7M-341.9K0.5642.33N/AN/A1448114,20914,766
2020-06-29$86.84$90.0030.3%8.7%23.3%21.5%30.6%7.0%3.7%1.1M-21.6M-340.3K5.0747.71N/AN/A12663914,27014,760
2020-06-30$88.33$90.0028.6%8.2%24.2%18.9%29.0%5.8%3.7%1.6M-30.8M-354.4K0.7741.54N/AN/A18914514,31815,178