A Options History — August 2020

In August 2020, A traded between $96.67 and $100.53. ATM implied volatility averaged 30.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.5% (HV 20d: 22.7%). Max pain ranged from $82.50 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-08-19: Highest Volume — 12,626 contracts
  • 2020-08-19: Largest IV drop — 24.1% change
  • 2020-08-11: Highest IV Rank — 36.3%
  • 2020-08-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.09$96.67$100.53$99.14$100.53
Max Pain$93.33$82.50$95.00$82.50$95.00
ATM IV30.2%23.1%40.8%34.2%25.9%
Expected Move8.2%6.6%10.0%9.8%7.4%
HV 20d22.7%13.5%25.6%23.9%13.5%
HV 60d23.0%21.0%25.6%25.2%21.1%
IV Rank20.4%9.6%36.3%26.3%14.0%
IV Percentile55.0%25.4%86.5%73.4%38.9%
Term Structure0.1%-5.1%4.0%-4.5%1.9%
VWIV29.0%24.0%35.0%35.0%26.7%
Skew 25d3.7%2.1%6.1%3.4%2.9%
Skew 10d8.3%5.1%12.3%6.7%7.4%
Call IV 25d27.6%22.5%33.6%32.9%25.4%
Put IV 25d31.3%24.7%37.4%36.3%28.3%
Bid-Ask Spread %29.0112.0836.7227.7112.08
Gamma HHI0.310.210.400.280.35
Net GEX6.3M3.6M13.0M3.6M6.6M
Net DEX-88.2M-115.6M-46.1M-96.4M-80.3M
Net VEX-377.3K-440.4K-325.5K-325.5K-362.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.044.160.040.25
Total Volume2,769.76227312,6263,8111,616
Total OI40,261.04831,52052,03631,52035,945

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$99.14$82.5034.2%9.8%23.9%26.3%35.0%3.4%-4.5%3.6M-96.4M-325.5K0.0427.71N/AN/A3,66914217,14514,375
2020-08-04$97.23$82.5035.0%10.0%25.4%27.5%34.9%3.7%-4.7%4.6M-90.8M-366.4K0.5828.91N/AN/A33819720,43114,417
2020-08-05$97.92$85.0034.8%10.0%25.4%27.2%35.0%3.7%-5.1%4.8M-98.0M-363.2K0.0527.54N/AN/A3,50219120,82214,557
2020-08-06$97.31$95.0035.0%8.6%25.6%27.5%29.2%4.3%0.8%5.6M-98.0M-390.7K0.1735.47N/AN/A2684623,94214,675
2020-08-07$97.62$95.0036.2%8.7%25.3%29.3%31.0%4.8%1.1%5.6M-101.0M-390.2K1.1836.72N/AN/A12514824,02514,715
2020-08-10$97.11$95.0040.5%8.9%25.5%35.9%31.7%3.9%0.5%5.7M-96.8M-377.7K4.1621.76N/AN/A23899124,04014,750
2020-08-11$96.67$95.0040.8%8.9%25.5%36.3%30.6%4.0%-0.5%5.6M-91.8M-368.3K0.5428.40N/AN/A22412024,19614,913
2020-08-12$97.74$95.0031.8%9.1%24.2%22.6%31.5%4.8%0.4%5.5M-100.0M-374.0K0.9728.41N/AN/A3,8143,69424,22715,613
2020-08-13$98.72$95.0031.6%9.1%24.3%23.1%31.8%5.1%-0.4%5.6M-106.3M-440.4K0.9925.31N/AN/A45745127,17418,949
2020-08-14$97.08$95.0031.6%9.0%24.6%22.9%30.2%6.1%-0.1%5.2M-85.0M-426.1K0.0626.59N/AN/A1,0796727,26219,220
2020-08-17$97.16$95.0031.3%9.0%24.3%22.5%30.5%5.1%0.0%5.3M-87.8M-401.9K2.3026.16N/AN/A9452,17027,85019,448
2020-08-18$97.83$95.0032.1%9.2%24.4%23.8%32.1%4.8%-1.6%5.6M-96.2M-418.9K0.6931.22N/AN/A3,1722,19628,16020,961
2020-08-19$97.96$95.0024.4%7.0%24.3%11.6%25.0%3.0%4.0%11.3M-102.9M-375.6K0.7933.88N/AN/A7,0425,58429,69422,342
2020-08-20$97.86$95.0023.9%6.9%24.3%10.9%24.4%2.6%2.2%12.1M-103.1M-332.7K0.0823.73N/AN/A7,61564428,71919,354
2020-08-21$98.06$95.0023.6%6.8%22.8%10.4%24.2%2.2%1.4%13.0M-115.6M-372.0K0.1825.96N/AN/A2,04136131,17219,617
2020-08-24$97.47$95.0023.8%6.8%20.5%10.7%24.0%2.8%0.9%4.9M-46.1M-362.2K0.4033.93N/AN/A95438122,48811,127
2020-08-25$98.26$95.0023.5%6.7%19.2%10.2%24.8%2.1%1.4%5.2M-55.8M-360.6K1.7835.42N/AN/A13524022,74211,178
2020-08-26$99.28$95.0023.1%6.6%18.4%9.6%24.3%2.2%1.5%5.9M-65.2M-356.1K0.5836.50N/AN/A91453222,79711,314
2020-08-27$99.24$95.0025.1%7.2%17.4%12.8%25.6%2.3%1.1%5.7M-65.9M-378.9K0.2629.19N/AN/A92924523,38911,940
2020-08-28$99.72$95.0025.3%7.3%17.4%13.1%26.5%3.5%1.5%5.8M-69.5M-379.4K0.8434.38N/AN/A37331523,69512,102
2020-08-31$100.53$95.0025.9%7.4%13.5%14.0%26.7%2.9%1.9%6.6M-80.3M-362.2K0.2512.08N/AN/A1,29332323,74612,199