A Options History — September 2020

In September 2020, A traded between $95.65 and $103.42. ATM implied volatility averaged 29.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.1% (HV 20d: 23.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-09-16: Highest Volume — 18,925 contracts
  • 2020-09-03: Largest IV spike — 24.5% change
  • 2020-09-08: Highest IV Rank — 31.0%
  • 2020-09-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.02$95.65$103.42$100.94$100.71
Max Pain$98.10$95.00$100.00$95.00$97.50
ATM IV29.1%25.9%36.6%25.9%26.6%
Expected Move8.3%7.4%9.8%7.4%7.6%
HV 20d23.0%11.2%26.5%11.2%26.5%
HV 60d21.7%21.0%23.0%21.1%22.0%
IV Rank19.0%14.1%31.0%14.1%15.2%
IV Percentile48.6%33.7%80.2%39.3%33.7%
Term Structure2.6%1.1%5.1%1.6%5.1%
VWIV29.2%26.3%34.3%26.3%28.3%
Skew 25d3.3%2.2%4.6%3.1%2.2%
Skew 10d6.9%4.0%10.5%6.5%4.0%
Call IV 25d28.1%24.7%32.7%24.7%26.0%
Put IV 25d31.3%27.8%37.3%27.8%28.2%
Bid-Ask Spread %41.0812.8064.2012.8036.10
Gamma HHI0.370.230.620.350.27
Net GEX6.4M2.3M15.0M7.0M4.4M
Net DEX-59.2M-115.5M-23.1M-85.5M-58.4M
Net VEX-403.6K-528.1K-273.8K-357.4K-465.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.043.270.223.27
Total Volume2,343.33317318,9253981,025
Total OI40,419.66735,80154,38636,05841,418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$100.94$95.0025.9%7.4%11.2%14.1%26.3%3.1%1.6%7.0M-85.5M-357.4K0.2212.80N/AN/A3267223,80312,255
2020-09-02$103.42$95.0026.3%7.5%13.7%14.6%27.2%3.0%2.4%7.7M-115.5M-357.2K0.2546.00N/AN/A1,59640023,81412,301
2020-09-03$99.56$97.5032.7%9.0%19.7%24.8%31.4%3.8%2.0%5.3M-67.8M-369.9K0.5964.20N/AN/A1,51289823,58012,221
2020-09-04$96.95$97.5032.9%9.4%22.0%25.1%32.5%4.3%1.5%4.3M-45.4M-357.5K1.8258.16N/AN/A35564624,03112,414
2020-09-08$95.65$97.5036.6%9.8%22.5%31.0%34.3%4.6%1.1%3.4M-29.2M-322.4K1.2047.87N/AN/A31037124,07812,352
2020-09-09$98.06$97.5030.7%8.8%24.2%21.6%30.5%3.7%2.2%5.5M-50.9M-321.1K0.8746.44N/AN/A28324524,10112,508
2020-09-10$99.01$97.5030.3%8.7%24.1%20.9%30.5%3.8%1.5%6.5M-61.8M-322.8K1.0951.30N/AN/A25327624,21412,481
2020-09-11$98.75$100.0029.7%8.5%23.9%20.1%29.6%3.1%1.6%6.5M-59.0M-309.4K1.3047.58N/AN/A13617724,21812,450
2020-09-14$99.61$100.0028.9%8.3%23.2%18.8%29.4%4.0%1.6%8.7M-68.6M-285.5K1.0744.62N/AN/A14215224,23212,512
2020-09-15$100.66$100.0028.4%8.1%23.4%18.0%28.7%2.5%1.8%10.3M-84.6M-273.8K0.2848.63N/AN/A8,2812,31124,20312,586
2020-09-16$100.21$100.0027.9%8.0%23.4%17.2%28.4%3.2%2.5%15.0M-94.9M-397.9K0.4648.22N/AN/A12,9545,97132,24914,590
2020-09-17$99.32$100.0028.1%8.1%23.7%17.6%28.1%2.7%2.4%13.6M-77.5M-514.5K0.0435.08N/AN/A6,37523836,55017,836
2020-09-18$99.35$100.0027.2%7.8%23.7%16.1%27.5%2.5%3.4%13.8M-71.5M-528.1K0.2633.92N/AN/A85322235,58517,909
2020-09-21$97.81$100.0029.6%8.5%24.4%19.8%29.8%3.1%2.1%2.9M-34.5M-471.6K0.6429.10N/AN/A50832326,11114,575
2020-09-22$98.88$97.5027.5%7.9%24.6%16.5%28.4%3.8%3.0%3.4M-44.7M-496.9K0.8744.12N/AN/A20317626,39914,684
2020-09-23$97.04$97.5029.3%8.4%25.4%19.3%29.1%2.9%3.1%2.6M-31.0M-471.4K2.2225.12N/AN/A11625726,48214,794
2020-09-24$96.32$97.5028.7%8.2%25.1%18.5%29.7%3.4%3.2%2.3M-23.1M-450.2K0.5835.35N/AN/A1629426,49714,843
2020-09-25$97.62$97.5027.6%7.9%25.7%16.6%28.1%2.9%4.2%2.8M-34.3M-466.8K1.2527.33N/AN/A18523226,50014,863
2020-09-28$99.31$97.5027.4%7.9%26.4%16.4%28.0%2.9%3.8%3.6M-48.0M-469.5K0.1939.24N/AN/A3386326,51414,657
2020-09-29$100.30$97.5027.9%8.0%26.5%17.2%28.3%2.8%4.0%4.1M-56.1M-466.5K0.6841.41N/AN/A1037026,71514,688
2020-09-30$100.71$97.5026.6%7.6%26.5%15.2%28.3%2.2%5.1%4.4M-58.4M-465.7K3.2736.10N/AN/A24078526,73014,688