A Options History — March 2021

In March 2021, A traded between $115.13 and $127.47. ATM implied volatility averaged 26.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.3% (HV 20d: 27.6%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2021-03-05: Highest Volume — 1,306 contracts
  • 2021-03-09: Largest IV drop — 14.6% change
  • 2021-03-08: Highest IV Rank — 19.4%
  • 2021-03-04: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.98$115.13$127.47$124.50$127.47
Max Pain$118.70$115.00$125.00$125.00$120.00
ATM IV26.3%21.9%33.4%27.4%23.2%
Expected Move7.5%6.3%8.9%7.9%6.6%
HV 20d27.6%22.8%30.4%22.8%24.7%
HV 60d24.6%22.2%25.7%22.2%25.7%
IV Rank8.1%0.0%19.4%9.2%3.8%
IV Percentile17.4%0.0%65.5%19.8%2.0%
Term Structure3.1%-0.2%4.8%0.3%3.7%
VWIV26.5%21.8%32.1%28.3%21.8%
Skew 25d3.4%2.2%5.6%2.6%3.5%
Skew 10d7.5%5.2%15.3%5.6%8.2%
Call IV 25d25.0%20.7%29.9%27.2%20.7%
Put IV 25d28.4%24.2%34.9%29.8%24.2%
Bid-Ask Spread %69.9951.4085.5676.1566.89
Gamma HHI0.170.110.390.120.39
Net GEX435.8K-530.8K2.5M481.7K2.5M
Net DEX-8.7M-28.2M14.4M-12.7M-28.2M
Net VEX-312.6K-327.9K-295.0K-319.9K-309.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.068.130.140.33
Total Volume614.913751,306577460
Total OI17,496.73915,85719,70115,85717,313

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$124.50$125.0027.4%7.9%22.8%9.2%28.3%2.6%0.3%481.7K-12.7M-319.9K0.1476.15N/AN/A508698,0097,848
2021-03-02$123.80$125.0027.0%7.8%22.8%8.6%27.5%2.8%0.9%373.0K-10.6M-319.1K0.3668.12N/AN/A211758,1527,865
2021-03-03$119.97$125.0029.8%8.6%24.2%13.3%30.3%3.4%-0.2%-175.9K1.3M-309.5K1.1168.31N/AN/A2883198,2357,901
2021-03-04$115.13$120.0032.4%8.9%27.7%17.7%31.4%4.5%1.4%-410.2K14.4M-295.0K0.5267.74N/AN/A8174268,2247,995
2021-03-05$115.53$120.0032.0%8.9%27.1%17.1%32.1%5.6%1.8%-436.2K14.1M-296.6K2.4051.40N/AN/A3849228,2408,132
2021-03-08$116.62$115.0033.4%8.8%27.5%19.4%30.1%5.1%2.0%-530.8K11.6M-310.9K0.4862.83N/AN/A3481688,5278,889
2021-03-09$120.60$115.0028.5%8.0%30.3%11.1%28.7%4.0%2.8%-398.7K-900.5K-313.4K0.2565.70N/AN/A4081028,5878,890
2021-03-10$120.47$115.0027.5%7.9%30.3%9.3%29.7%4.0%3.4%-517.0K-954.0K-315.3K2.4459.54N/AN/A3508558,6918,921
2021-03-11$122.11$115.0027.2%7.8%30.4%8.9%25.7%3.5%3.4%-509.7K-5.8M-320.0K0.0674.45N/AN/A1,224758,7219,324
2021-03-12$121.36$115.0027.3%7.8%29.7%9.0%26.1%3.4%3.4%-367.4K-4.3M-327.9K0.1473.30N/AN/A576789,6939,324
2021-03-15$123.60$115.0026.0%7.5%30.3%6.8%27.0%3.3%3.9%501.4K-16.3M-320.9K0.7268.53N/AN/A19414010,1189,340
2021-03-16$123.14$115.0024.7%7.1%30.3%4.6%25.0%3.1%4.7%339.8K-14.4M-321.7K0.4973.47N/AN/A1396810,1549,384
2021-03-17$122.50$115.0026.2%7.5%29.8%8.0%26.1%3.3%3.7%-3.4K-11.6M-313.8K0.7978.53N/AN/A423310,2139,399
2021-03-18$122.51$115.0025.4%7.3%29.7%6.4%26.4%3.6%3.9%26.2K-12.3M-308.4K0.4374.92N/AN/A49621310,2179,386
2021-03-19$123.42$120.0023.6%6.8%29.7%3.0%24.1%3.2%4.3%1.2M-15.3M-305.7K2.6361.96N/AN/A35392710,2679,434
2021-03-22$123.39$120.0021.9%6.3%27.5%0.0%23.4%2.8%4.8%1.2M-16.2M-310.9K1.8069.36N/AN/A1532767,8338,156
2021-03-23$121.77$120.0023.1%6.6%27.8%2.5%23.2%2.4%4.1%850.4K-11.4M-305.6K3.9085.56N/AN/A783047,9478,289
2021-03-24$121.06$120.0023.3%6.7%26.7%4.0%22.4%3.2%3.7%580.1K-8.0M-310.3K0.3782.81N/AN/A4311617,9668,501
2021-03-25$121.93$120.0024.4%7.0%25.9%7.4%24.3%4.0%3.4%845.8K-10.9M-316.7K3.6575.92N/AN/A371358,3138,587
2021-03-26$124.81$120.0022.9%6.6%27.2%3.0%23.4%2.9%4.0%1.5M-20.6M-314.6K1.1874.43N/AN/A1141358,3238,704
2021-03-29$124.99$120.0024.7%7.1%26.8%8.0%27.1%2.2%3.2%1.6M-21.3M-310.8K8.1361.76N/AN/A1048458,3328,800
2021-03-30$124.95$120.0023.9%6.9%26.7%5.8%25.0%3.0%3.7%1.5M-19.0M-313.5K0.3268.16N/AN/A77258,3548,927
2021-03-31$127.47$120.0023.2%6.6%24.7%3.8%21.8%3.5%3.7%2.5M-28.2M-309.1K0.3366.89N/AN/A3471138,3748,939