A Options History — January 2021

In January 2021, A traded between $118.35 and $128.41. ATM implied volatility averaged 30.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 12.5% (HV 20d: 18.3%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2021-01-06: Highest Volume — 2,590 contracts
  • 2021-01-27: Largest IV spike — 20.3% change
  • 2021-01-29: Highest IV Rank — 31.4%
  • 2021-01-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.74$118.35$128.41$118.35$120.42
Max Pain$113.16$105.00$115.00$105.00$115.00
ATM IV30.8%25.5%39.9%29.9%39.9%
Expected Move9.0%8.3%11.4%8.7%11.4%
HV 20d18.3%14.8%27.8%14.8%27.8%
HV 60d23.8%22.1%25.1%22.9%24.7%
IV Rank17.6%12.4%31.4%19.4%31.4%
IV Percentile45.6%10.3%84.9%42.5%84.9%
Term Structure-0.9%-4.3%0.3%-0.0%-4.3%
VWIV31.6%29.1%39.0%31.5%39.0%
Skew 25d2.6%1.8%3.9%3.4%2.6%
Skew 10d6.0%2.8%9.6%7.8%9.6%
Call IV 25d30.7%28.4%39.7%29.7%39.7%
Put IV 25d33.3%30.7%42.2%33.1%42.2%
Bid-Ask Spread %66.3350.9176.7850.9175.96
Gamma HHI0.230.140.410.220.14
Net GEX1.5M594.9K3.2M976.4K607.8K
Net DEX-43.6M-71.9M-9.1M-29.8M-13.7M
Net VEX-268.9K-291.7K-246.9K-255.8K-291.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.081.880.970.08
Total Volume762.9471392,5905391,824
Total OI19,034.05313,29224,22521,83215,296

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$118.35$105.0029.9%8.7%14.8%19.4%31.5%3.4%-0.0%976.4K-29.8M-255.8K0.9750.91N/AN/A2732667,87013,962
2021-01-05$119.59$105.0029.3%8.7%14.8%18.4%30.7%3.0%-0.2%1.3M-35.3M-252.8K0.2964.09N/AN/A237687,89913,922
2021-01-06$123.10$105.0028.1%8.7%17.3%16.5%31.5%2.9%0.0%1.8M-49.3M-246.9K0.2067.52N/AN/A2,1584327,97113,955
2021-01-07$126.47$110.0025.5%8.6%17.9%12.4%30.0%2.2%0.2%2.4M-71.9M-268.1K1.2761.80N/AN/A4515739,26814,092
2021-01-08$127.05$115.0025.9%8.5%17.6%13.1%29.1%2.8%0.2%2.1M-70.3M-270.7K1.1264.05N/AN/A6617419,16214,498
2021-01-11$128.41$115.0030.9%8.7%16.7%20.3%30.9%2.1%-0.4%2.2M-70.9M-266.0K0.3870.07N/AN/A5542129,03814,826
2021-01-12$127.11$115.0030.1%8.8%17.4%15.8%30.3%2.4%-0.6%2.5M-67.0M-264.2K0.1571.90N/AN/A7241069,07814,894
2021-01-13$127.31$115.0029.8%8.6%16.3%14.7%30.3%2.8%-0.1%2.4M-67.7M-271.0K0.5859.00N/AN/A3482039,26814,905
2021-01-14$126.08$115.0029.9%8.6%17.0%14.5%30.1%2.6%-0.5%3.2M-62.9M-274.1K0.2258.39N/AN/A419939,28614,931
2021-01-15$126.32$115.0029.0%8.3%16.8%13.1%29.1%2.6%0.3%2.0M-66.7M-265.4K0.1572.56N/AN/A611939,26914,956
2021-01-19$127.33$115.0029.3%8.4%16.5%13.5%29.5%2.3%-0.2%1.1M-34.6M-262.3K0.7972.05N/AN/A2511996,4446,848
2021-01-20$128.41$115.0029.3%8.4%16.6%13.4%29.5%1.9%-1.0%1.1M-36.2M-271.5K0.5052.99N/AN/A3311666,6127,016
2021-01-21$127.26$115.0030.0%8.6%16.0%14.6%29.8%2.2%-1.0%1.1M-34.3M-269.3K1.0851.23N/AN/A2302496,8507,127
2021-01-22$126.87$115.0029.8%8.5%16.2%14.3%29.4%1.8%-0.5%1.2M-33.8M-271.9K0.6463.33N/AN/A85546,9427,240
2021-01-25$125.42$115.0031.5%9.0%17.1%17.2%31.6%2.1%-1.3%1.1M-29.3M-268.8K0.8076.24N/AN/A2461976,9927,280
2021-01-26$124.25$115.0031.7%9.1%17.6%17.5%32.2%2.4%-1.4%988.8K-26.0M-275.1K0.4176.41N/AN/A156647,0947,401
2021-01-27$118.38$115.0038.1%10.9%25.3%28.4%38.4%3.9%-3.5%594.9K-9.1M-281.9K1.0476.78N/AN/A2812927,1767,440
2021-01-28$121.95$115.0036.9%10.6%27.4%26.3%38.3%3.5%-3.0%802.7K-19.0M-281.8K1.8874.93N/AN/A2254237,2477,592
2021-01-29$120.42$115.0039.9%11.4%27.8%31.4%39.0%2.6%-4.3%607.8K-13.7M-291.7K0.0875.96N/AN/A1,6901347,3477,949