A Options History — February 2021

In February 2021, A traded between $121.17 and $129.83. ATM implied volatility averaged 33.1%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.2% (HV 20d: 27.0%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2021-02-17: Highest Volume — 8,749 contracts
  • 2021-02-10: Largest IV drop — 17.0% change
  • 2021-02-09: Highest IV Rank — 31.7%
  • 2021-02-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.77$121.17$129.83$121.17$122.85
Max Pain$122.89$115.00$125.00$115.00$125.00
ATM IV33.1%27.8%40.1%39.0%29.4%
Expected Move9.2%8.0%11.2%11.2%8.4%
HV 20d27.0%22.9%29.8%27.9%22.9%
HV 60d22.9%21.1%24.5%24.2%22.2%
IV Rank19.7%11.0%31.7%29.9%12.6%
IV Percentile57.0%23.0%84.9%83.7%35.3%
Term Structure-0.7%-4.2%2.4%-4.0%0.0%
VWIV32.5%27.0%39.6%39.6%31.1%
Skew 25d3.3%-0.3%4.5%3.2%4.1%
Skew 10d7.7%3.5%12.0%7.5%8.4%
Call IV 25d31.4%26.5%38.5%38.5%29.1%
Put IV 25d34.6%29.6%41.7%41.7%33.3%
Bid-Ask Spread %64.9348.6477.2473.6071.56
Gamma HHI0.180.110.350.170.12
Net GEX1.5M200.2K3.8M1.0M281.4K
Net DEX-29.8M-67.1M-5.8M-17.5M-6.8M
Net VEX-324.0K-375.5K-283.3K-292.9K-326.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.094.070.090.52
Total Volume1,899.6322378,7491,695237
Total OI19,076.78915,00925,64016,42515,845

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$121.17$115.0039.0%11.2%27.9%29.9%39.6%3.2%-4.0%1.0M-17.5M-292.9K0.0973.60N/AN/A1,5621338,4267,999
2021-02-02$123.85$115.0036.6%10.5%28.8%25.8%37.3%2.2%-3.6%1.2M-25.4M-283.3K0.3072.11N/AN/A297888,0948,087
2021-02-03$122.21$115.0037.0%10.6%29.1%26.5%37.9%1.9%-4.2%1.2M-22.0M-286.5K4.0775.06N/AN/A1275178,5868,372
2021-02-04$123.99$125.0035.8%8.9%27.7%24.4%31.3%4.5%0.7%1.2M-25.7M-289.8K0.3458.98N/AN/A3471198,2048,515
2021-02-05$123.56$125.0035.0%9.0%25.9%23.1%32.4%4.5%0.4%1.3M-24.3M-285.9K2.3148.64N/AN/A3708568,3648,562
2021-02-08$122.96$125.0038.9%9.4%25.8%29.6%33.2%3.4%-0.2%952.1K-19.7M-287.5K0.5761.45N/AN/A2,9611,6998,1998,993
2021-02-09$123.37$120.0040.1%9.3%25.5%31.7%33.7%4.5%-0.2%1.7M-27.7M-335.9K0.2253.72N/AN/A1,14125110,71610,454
2021-02-10$124.85$120.0033.3%9.5%25.8%20.2%33.5%4.1%-0.9%2.2M-38.1M-353.0K0.5459.79N/AN/A2,0781,13211,28610,584
2021-02-11$126.90$125.0033.6%9.6%26.5%20.7%34.6%3.0%-0.8%2.7M-50.7M-375.5K0.4656.98N/AN/A45220812,35010,883
2021-02-12$128.32$125.0032.3%9.3%26.5%18.6%33.2%2.8%-0.0%2.9M-59.0M-372.6K0.9154.01N/AN/A1,7961,62612,34510,929
2021-02-16$128.19$125.0033.2%9.5%26.5%20.0%33.8%2.4%-0.7%2.7M-54.7M-359.2K0.3951.79N/AN/A2,8941,13512,49311,285
2021-02-17$129.83$125.0029.8%8.5%26.7%14.3%30.2%3.4%2.4%3.8M-67.1M-351.7K0.4868.66N/AN/A5,8992,85013,44412,196
2021-02-18$128.48$125.0028.3%8.1%26.9%11.7%28.3%3.2%-0.5%2.8M-50.0M-327.0K0.1668.54N/AN/A1,91631112,25310,638
2021-02-19$127.15$125.0027.8%8.0%26.9%11.0%27.0%3.0%0.3%702.4K-44.4M-327.5K0.4164.68N/AN/A83034012,36510,695
2021-02-22$123.25$125.0028.8%8.2%29.1%11.5%29.5%4.2%-0.3%321.9K-8.3M-320.0K0.4075.24N/AN/A4401787,5297,480
2021-02-23$122.33$125.0030.1%8.6%29.0%13.8%29.7%3.4%-0.3%200.2K-5.8M-322.8K0.2870.81N/AN/A232667,6477,576
2021-02-24$124.93$125.0029.0%8.3%29.8%11.9%28.9%4.3%0.0%486.8K-13.0M-327.7K0.2470.88N/AN/A5751367,7557,606
2021-02-25$122.35$125.0032.1%9.2%25.1%17.3%32.7%-0.3%-1.1%323.0K-6.9M-330.6K0.9177.24N/AN/A1541408,0017,703
2021-02-26$122.85$125.0029.4%8.4%22.9%12.6%31.1%4.1%0.0%281.4K-6.8M-326.7K0.5271.56N/AN/A156818,0237,822