A Options History — October 2020

In October 2020, A traded between $100.60 and $106.91. ATM implied volatility averaged 30.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 10.6% (HV 20d: 19.6%). Max pain ranged from $97.50 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2020-10-23: Highest Volume — 1,868 contracts
  • 2020-10-28: Largest IV spike — 27.9% change
  • 2020-10-28: Highest IV Rank — 33.8%
  • 2020-10-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.33$100.60$106.91$100.81$101.55
Max Pain$99.77$97.50$100.00$97.50$100.00
ATM IV30.2%22.0%38.5%26.0%36.8%
Expected Move9.1%7.5%11.0%7.5%10.5%
HV 20d19.6%16.6%24.9%24.9%23.4%
HV 60d21.6%19.9%22.8%22.0%21.0%
IV Rank20.7%7.9%33.8%14.2%31.2%
IV Percentile52.3%15.1%82.9%31.3%80.2%
Term Structure-0.2%-4.1%5.9%5.9%-1.7%
VWIV31.5%26.9%38.3%26.9%35.3%
Skew 25d2.7%-3.3%5.5%2.0%5.5%
Skew 10d8.3%0.1%16.4%3.3%11.8%
Call IV 25d30.8%25.7%39.5%25.7%34.5%
Put IV 25d33.5%24.4%41.1%27.7%39.9%
Bid-Ask Spread %78.8434.4697.0336.7481.12
Gamma HHI0.280.260.310.260.27
Net GEX6.8M4.2M8.5M4.3M5.3M
Net DEX-95.0M-129.9M-54.5M-59.9M-54.5M
Net VEX-431.4K-489.4K-352.3K-471.1K-352.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.021.910.400.86
Total Volume535.7731231,868146123
Total OI42,526.541,75043,66841,75042,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$100.81$97.5026.0%7.5%24.9%14.2%26.9%2.0%5.9%4.3M-59.9M-471.1K0.4036.74N/AN/A1044226,78414,966
2020-10-02$100.60$97.5027.4%7.9%20.8%16.4%28.2%2.3%5.4%4.2M-58.4M-473.5K1.2234.46N/AN/A728826,81315,004
2020-10-05$103.14$100.0026.2%9.2%19.9%14.6%33.7%4.4%-2.3%5.7M-85.6M-489.4K0.6061.57N/AN/A21513026,87915,062
2020-10-06$101.86$100.0027.4%9.4%19.8%16.3%33.4%3.6%-2.3%5.0M-73.5M-480.7K0.3575.32N/AN/A1,04836526,85715,098
2020-10-07$104.03$100.0024.5%8.8%19.3%11.8%31.1%3.2%-0.6%6.3M-93.7M-472.0K0.5681.66N/AN/A31617826,88715,221
2020-10-08$104.19$100.0023.5%8.6%19.1%10.2%30.0%2.7%-0.3%6.7M-96.4M-474.3K0.1182.64N/AN/A7458427,74515,264
2020-10-09$105.62$100.0022.0%8.9%19.4%7.9%31.1%2.0%-0.8%7.3M-114.0M-475.4K0.6587.09N/AN/A34822627,43915,301
2020-10-12$105.61$100.0026.7%8.8%19.3%15.2%30.7%3.3%-1.2%7.6M-112.8M-453.3K0.1089.67N/AN/A3453527,43515,428
2020-10-13$105.44$100.0030.2%8.8%19.2%20.7%30.1%2.3%0.0%7.9M-108.2M-443.2K0.0283.23N/AN/A7371627,47215,439
2020-10-14$105.44$100.0031.3%9.0%19.0%22.6%31.6%1.5%-1.9%7.8M-112.5M-453.6K0.3983.85N/AN/A1254927,86815,449
2020-10-15$105.51$100.0032.3%9.3%18.6%24.1%31.4%2.9%1.8%7.9M-113.9M-452.1K0.1282.63N/AN/A6247427,86415,453
2020-10-16$106.91$100.0030.5%8.8%18.9%21.3%29.2%4.7%1.2%8.0M-129.9M-437.0K0.2088.79N/AN/A58211628,19715,471
2020-10-19$105.69$100.0033.8%9.7%18.4%26.4%29.6%-2.6%-2.7%7.9M-114.7M-413.1K0.7097.03N/AN/A33323327,37714,544
2020-10-20$106.10$100.0032.2%9.2%18.2%23.9%31.3%-3.3%-1.6%7.7M-110.6M-422.2K1.5487.28N/AN/A17026127,43814,738
2020-10-21$105.03$100.0031.8%9.1%17.0%23.3%31.4%4.1%-0.9%7.5M-97.6M-409.3K0.6780.40N/AN/A15610427,51414,920
2020-10-22$106.47$100.0031.9%9.1%16.7%23.4%30.3%4.1%-0.2%8.1M-114.6M-410.0K0.0485.44N/AN/A166727,58414,973
2020-10-23$106.22$100.0031.0%8.9%16.6%22.1%29.7%4.7%-0.3%8.2M-111.2M-402.1K0.0282.66N/AN/A1,8274127,67714,975
2020-10-26$104.27$100.0034.4%9.9%17.7%27.4%34.8%3.5%-2.3%6.9M-86.5M-378.7K1.9179.60N/AN/A20138327,25815,000
2020-10-27$106.10$100.0030.1%8.6%18.3%20.6%32.0%4.9%5.7%8.5M-111.0M-389.2K1.0284.03N/AN/A878927,33815,119
2020-10-28$102.21$100.0038.5%11.0%23.2%33.8%38.3%4.7%-4.1%5.6M-66.9M-371.5K1.1179.02N/AN/A27030027,33515,168
2020-10-29$102.35$100.0035.3%10.1%23.2%28.8%33.5%-1.6%-0.6%5.8M-64.4M-366.5K0.3190.24N/AN/A2838927,35315,315
2020-10-30$101.55$100.0036.8%10.5%23.4%31.2%35.3%5.5%-1.7%5.3M-54.5M-352.3K0.8681.12N/AN/A665727,19815,363