A Options History — December 2020

In December 2020, A traded between $113.86 and $119.05. ATM implied volatility averaged 26.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.9% (HV 20d: 22.9%). Max pain ranged from $90.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2020-12-31: Highest Volume — 4,401 contracts
  • 2020-12-03: Largest IV drop — 8.5% change
  • 2020-12-21: Highest IV Rank — 18.8%
  • 2020-12-21: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.09$113.86$119.05$115.29$118.15
Max Pain$93.75$90.00$110.00$110.00$95.00
ATM IV26.9%25.1%29.0%28.4%25.8%
Expected Move7.8%7.2%8.3%8.1%7.4%
HV 20d22.9%15.2%29.2%29.2%15.2%
HV 60d24.0%23.2%24.6%24.4%23.2%
IV Rank15.3%11.7%18.8%18.0%12.8%
IV Percentile23.3%10.7%38.5%35.3%13.1%
Term Structure2.1%-0.3%3.4%-0.3%3.2%
VWIV28.0%25.7%31.3%28.8%26.3%
Skew 25d2.1%1.2%3.6%1.8%1.9%
Skew 10d4.3%1.3%7.1%3.3%3.2%
Call IV 25d27.1%25.2%28.9%28.2%25.7%
Put IV 25d29.2%27.6%30.3%30.0%27.6%
Bid-Ask Spread %79.3244.7289.5176.3289.51
Gamma HHI0.260.180.530.180.22
Net GEX1.3M613.2K3.3M1.3M896.4K
Net DEX-53.2M-66.0M-43.9M-53.5M-49.4M
Net VEX-260.3K-275.3K-224.4K-228.5K-259.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.014.930.490.01
Total Volume874.0912234,4017784,401
Total OI24,219.59121,55727,11223,17523,468

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$115.29$110.0028.4%8.1%29.2%18.0%28.8%1.8%-0.3%1.3M-53.5M-228.5K0.4976.32N/AN/A52125710,79212,383
2020-12-02$114.72$110.0028.6%8.2%28.3%18.3%28.8%2.0%0.3%1.3M-51.5M-224.4K4.9377.29N/AN/A2281,12310,87812,369
2020-12-03$113.86$90.0026.2%8.2%28.4%14.4%30.0%1.5%2.2%1.0M-43.9M-275.3K0.2875.55N/AN/A3078611,01213,409
2020-12-04$115.03$90.0025.7%7.9%28.1%13.7%27.9%1.3%2.5%1.3M-48.8M-270.1K0.6653.27N/AN/A28919111,10313,440
2020-12-07$114.38$90.0026.9%8.1%26.7%15.5%29.2%1.2%2.0%1.2M-46.6M-265.5K1.8680.24N/AN/A48189611,15913,421
2020-12-08$117.10$90.0026.5%8.2%27.9%14.9%28.7%1.7%1.7%1.5M-55.7M-269.3K0.2844.72N/AN/A58616511,27213,647
2020-12-09$116.48$90.0028.3%8.1%25.4%17.8%28.7%1.9%1.5%1.5M-53.0M-269.2K1.0577.13N/AN/A40542411,40613,698
2020-12-10$118.86$90.0027.5%7.9%25.4%16.5%28.5%1.8%1.9%2.0M-64.7M-267.5K0.9083.40N/AN/A43338811,58613,850
2020-12-11$118.83$90.0027.8%8.0%25.5%17.0%31.3%2.3%1.6%2.0M-64.4M-267.7K1.2182.18N/AN/A23929011,58313,989
2020-12-14$117.27$90.0027.2%7.8%25.9%16.1%27.0%1.3%2.2%1.8M-58.3M-264.7K0.5080.91N/AN/A53226811,71514,135
2020-12-15$117.57$90.0027.0%7.8%25.9%15.8%28.6%2.4%1.4%2.2M-60.9M-263.7K1.3681.61N/AN/A29640311,89514,233
2020-12-16$117.15$90.0027.8%8.0%25.8%17.1%27.2%2.5%1.8%1.8M-56.8M-266.6K0.1184.62N/AN/A2993311,89314,495
2020-12-17$118.81$90.0026.9%7.7%21.9%15.4%28.2%2.0%1.9%3.3M-66.0M-256.7K2.8380.64N/AN/A31489011,96814,491
2020-12-18$119.05$95.0026.8%7.7%20.7%15.2%27.5%2.7%2.0%2.0M-62.0M-262.8K0.2083.50N/AN/A67013611,97915,133
2020-12-21$117.47$92.5029.0%8.3%19.5%18.8%29.0%2.2%2.0%620.0K-47.9M-258.5K0.5584.85N/AN/A6793768,57312,984
2020-12-22$117.55$95.0026.7%7.7%19.5%15.1%27.1%2.0%2.6%613.2K-48.5M-261.8K0.3287.31N/AN/A169548,90813,321
2020-12-23$117.75$95.0025.9%7.4%17.8%13.8%25.7%2.6%2.9%646.9K-48.1M-264.1K0.0886.88N/AN/A351288,92313,354
2020-12-24$117.58$95.0025.4%7.3%17.9%12.2%26.2%2.6%3.4%654.6K-47.8M-260.5K1.7483.69N/AN/A1252188,94313,350
2020-12-28$117.76$95.0026.0%7.4%17.8%13.1%27.1%2.5%2.5%686.6K-49.2M-251.0K0.6077.64N/AN/A4662808,97313,522
2020-12-29$117.68$95.0025.1%7.2%16.1%11.7%26.1%3.6%2.8%650.8K-47.7M-259.2K0.5487.04N/AN/A3231739,07513,678
2020-12-30$117.65$95.0025.6%7.3%15.3%12.5%27.1%2.3%3.1%631.4K-46.2M-258.9K1.1286.77N/AN/A2062319,04013,785
2020-12-31$118.15$95.0025.8%7.4%15.2%12.8%26.3%1.9%3.2%896.4K-49.4M-259.6K0.0189.51N/AN/A4,364379,52713,941