A Options History — July 2020

In July 2020, A traded between $88.47 and $97.46. ATM implied volatility averaged 30.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.3% (HV 20d: 19.5%). 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 4 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-07-30: Highest Volume — 3,580 contracts
  • 2020-07-13: Largest IV spike — 21.3% change
  • 2020-07-13: Highest IV Rank — 29.0%
  • 2020-07-13: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.97$88.47$97.46$88.47$95.99
Max Pain$81.93$80.00$90.00$90.00$82.50
ATM IV30.8%25.5%36.0%28.9%33.4%
Expected Move9.1%7.3%9.8%8.3%9.6%
HV 20d19.5%13.4%24.0%23.9%21.7%
HV 60d27.4%24.5%30.5%30.5%24.5%
IV Rank21.2%14.3%29.0%19.5%25.0%
IV Percentile60.6%40.9%75.8%56.0%69.4%
Term Structure-1.4%-3.7%4.9%3.1%-3.6%
VWIV32.0%27.5%35.9%28.7%33.1%
Skew 25d5.4%3.3%6.7%4.7%3.8%
Skew 10d13.2%7.9%18.0%15.7%11.2%
Call IV 25d29.8%24.4%32.1%27.7%31.2%
Put IV 25d35.2%30.1%38.4%32.4%35.0%
Bid-Ask Spread %34.6522.5451.4041.9830.83
Gamma HHI0.200.120.270.120.25
Net GEX2.3M1.6M3.5M1.6M3.5M
Net DEX-53.2M-72.8M-30.4M-30.4M-72.8M
Net VEX-310.5K-344.5K-277.6K-344.5K-338.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.042.071.100.45
Total Volume851.227603,58088264
Total OI28,945.45525,64231,35429,55231,354

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$88.47$90.0028.9%8.3%23.9%19.5%28.7%4.7%3.1%1.6M-30.4M-344.5K1.1041.98N/AN/A424614,29715,255
2020-07-02$88.90$90.0025.5%7.3%24.0%14.3%27.5%5.7%4.9%1.7M-33.1M-332.1K0.9436.71N/AN/A312914,31915,301
2020-07-06$89.31$80.0027.6%8.9%24.0%16.2%32.1%6.1%0.2%2.0M-36.1M-321.5K2.0743.88N/AN/A7481,55114,31615,316
2020-07-07$89.10$80.0027.9%9.0%24.0%16.6%31.6%5.7%-0.3%1.9M-34.6M-320.6K0.2146.83N/AN/A1954114,35915,339
2020-07-08$89.42$80.0026.8%9.1%24.0%15.0%32.6%5.6%0.2%2.0M-36.5M-317.3K0.9751.06N/AN/A716914,43415,346
2020-07-09$90.01$80.0029.1%9.4%24.0%18.5%32.5%5.9%-0.3%2.1M-40.2M-318.6K0.8051.40N/AN/A15612514,45515,376
2020-07-10$89.29$80.0029.7%9.4%15.1%19.3%31.2%6.6%-1.4%2.0M-35.0M-318.1K0.1034.84N/AN/A1311314,49815,426
2020-07-13$89.35$80.0036.0%9.8%15.1%29.0%35.9%6.4%-1.1%2.0M-36.1M-304.9K0.6827.64N/AN/A52835814,52315,432
2020-07-14$90.44$80.0033.6%9.7%15.5%25.4%32.9%6.3%-1.1%2.6M-43.9M-307.1K0.5327.53N/AN/A1739114,68215,636
2020-07-15$92.83$80.0033.5%9.6%17.5%25.2%34.8%5.9%-1.4%3.4M-61.3M-302.4K1.3627.59N/AN/A1,0991,49114,71615,635
2020-07-16$92.63$80.0032.8%9.4%17.5%24.1%33.4%5.3%-1.0%3.3M-62.0M-291.5K0.2133.28N/AN/A52511014,83615,632
2020-07-17$94.25$80.0030.5%8.7%18.2%20.6%30.8%5.6%-2.2%2.0M-71.0M-277.6K0.0438.78N/AN/A2,93610514,87315,632
2020-07-20$95.36$80.0031.5%9.0%18.3%22.2%31.8%5.4%-2.4%2.4M-65.4M-288.6K0.6433.32N/AN/A74748013,22212,420
2020-07-21$96.01$82.5031.3%9.0%18.2%21.9%30.9%4.8%-2.4%2.3M-66.5M-292.1K0.1722.54N/AN/A2414113,38112,774
2020-07-22$96.44$82.5029.9%8.6%18.1%19.8%30.7%4.2%-2.1%2.2M-63.7M-313.0K0.7928.57N/AN/A20816413,41813,662
2020-07-23$96.70$82.5030.0%8.6%13.4%19.8%31.2%4.9%-2.4%2.2M-66.0M-305.7K0.4727.51N/AN/A31714813,45513,765
2020-07-24$94.62$82.5031.1%8.9%16.4%21.5%31.6%5.6%-2.5%2.1M-53.3M-315.5K0.2926.68N/AN/A3389713,54613,896
2020-07-27$97.46$82.5031.4%9.0%18.0%22.1%31.8%6.3%-3.2%2.3M-69.3M-300.8K0.9228.70N/AN/A15914713,68513,924
2020-07-28$95.53$82.5032.6%9.3%20.3%23.8%33.0%6.7%-3.7%2.3M-58.5M-307.2K0.2133.29N/AN/A66414113,72214,007
2020-07-29$97.38$82.5031.1%8.9%20.5%21.5%33.8%4.4%-3.6%2.6M-71.6M-306.3K1.1135.47N/AN/A15517214,29014,120
2020-07-30$95.92$82.5033.7%9.7%21.6%25.5%32.7%3.3%-3.7%2.5M-64.0M-307.4K0.0533.88N/AN/A3,41017014,34714,178
2020-07-31$95.99$82.5033.4%9.6%21.7%25.0%33.1%3.8%-3.6%3.5M-72.8M-338.7K0.4530.83N/AN/A1828217,04714,307