A Options History — May 2021

In May 2021, A traded between $128.93 and $138.19. ATM implied volatility averaged 23.9%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.4% (HV 20d: 19.6%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-05-27: Highest Volume — 2,764 contracts
  • 2021-05-26: Largest IV drop — 26.6% change
  • 2021-05-12: Highest IV Rank — 54.1%
  • 2021-05-12: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.41$128.93$138.19$133.29$138.19
Max Pain$129.50$125.00$135.00$125.00$135.00
ATM IV23.9%18.0%29.8%22.8%19.5%
Expected Move7.1%5.3%8.6%6.5%5.6%
HV 20d19.6%14.9%22.2%14.9%22.1%
HV 60d21.9%18.8%23.0%21.5%18.8%
IV Rank29.4%4.7%54.1%23.9%11.0%
IV Percentile19.5%0.4%57.5%4.0%2.8%
Term Structure-0.4%-3.1%4.9%0.8%0.7%
VWIV24.7%18.7%30.8%22.4%20.3%
Skew 25d3.6%2.5%5.1%2.7%2.7%
Skew 10d7.6%0.0%10.6%0.0%5.6%
Call IV 25d23.4%18.4%27.8%21.8%19.3%
Put IV 25d26.9%21.3%32.8%24.6%22.0%
Bid-Ask Spread %69.3445.2495.2495.2477.54
Gamma HHI0.190.120.280.120.16
Net GEX708.2K-942.2K2.2M530.6K2.2M
Net DEX-23.9M-36.7M-13.2M-28.3M-36.1M
Net VEX-286.2K-300.9K-266.8K-295.3K-300.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.124.750.790.22
Total Volume865.21072,7648221,063
Total OI18,757.5514,13121,13117,51817,785

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$133.29$125.0022.8%6.5%14.9%23.9%22.4%2.7%0.8%530.6K-28.3M-295.3K0.7995.24N/AN/A4583647,9009,618
2021-05-04$130.40$125.0021.6%6.2%16.8%19.1%21.8%2.5%3.3%698.3K-22.3M-292.8K0.3683.41N/AN/A5111848,8959,840
2021-05-05$133.48$125.0018.5%5.3%18.2%6.8%18.7%3.1%4.9%1.4M-33.4M-288.9K0.3089.37N/AN/A276829,0599,959
2021-05-06$131.72$130.0020.6%7.2%18.5%15.4%24.4%3.6%-0.2%985.2K-25.0M-300.9K0.7971.78N/AN/A1771399,0659,998
2021-05-07$133.98$130.0018.0%6.7%19.4%4.7%23.9%3.3%0.7%1.6M-36.7M-291.2K0.9663.37N/AN/A2912789,07610,072
2021-05-10$132.42$130.0021.2%7.2%19.8%18.1%23.3%3.0%-0.1%982.9K-29.3M-284.8K0.1257.18N/AN/A384469,11010,130
2021-05-11$131.16$130.0024.2%7.8%19.3%30.4%26.8%4.3%-1.1%658.4K-23.8M-293.4K1.2353.89N/AN/A2533109,20910,143
2021-05-12$128.93$130.0029.8%8.6%19.9%54.1%30.8%5.1%-2.4%169.8K-13.2M-293.2K4.7575.34N/AN/A2111,0029,32610,336
2021-05-13$130.67$130.0028.1%8.1%19.7%46.8%27.7%4.4%-1.3%361.4K-17.9M-294.3K0.4066.18N/AN/A215869,45310,813
2021-05-14$131.29$130.0026.7%7.7%19.7%41.0%26.4%3.5%-0.5%502.0K-23.4M-291.7K0.3575.90N/AN/A79289,53110,795
2021-05-17$130.36$130.0027.8%8.0%19.8%45.4%26.7%4.1%-1.2%-126.1K-17.1M-293.2K0.3545.24N/AN/A212759,54310,789
2021-05-18$129.46$130.0026.6%7.6%19.8%40.7%27.6%4.2%-0.7%-912.2K-13.8M-278.9K0.5145.70N/AN/A3901999,60110,832
2021-05-19$129.57$130.0027.7%8.0%19.5%45.4%26.7%4.8%-1.4%-942.2K-14.5M-282.6K0.1673.88N/AN/A411659,69910,880
2021-05-20$132.46$130.0026.9%7.7%21.1%41.9%26.5%4.0%-2.2%1.2M-29.1M-269.9K1.2766.75N/AN/A3284189,83010,889
2021-05-21$132.39$130.0026.9%7.7%20.1%41.8%25.4%3.3%-2.1%290.8K-29.7M-266.8K0.3963.77N/AN/A75529410,00311,128
2021-05-24$133.74$130.0026.3%7.5%20.4%39.3%26.2%3.6%-3.0%621.0K-16.4M-267.1K0.1466.91N/AN/A1,0871576,0118,120
2021-05-25$133.81$130.0025.5%7.3%20.4%35.9%26.8%3.4%-3.1%1.1M-18.7M-281.0K1.1262.16N/AN/A9661,0786,6318,229
2021-05-26$133.49$130.0018.7%5.4%19.9%7.4%19.6%2.8%0.4%1.1M-17.1M-274.6K0.5876.38N/AN/A1,0566127,1659,172
2021-05-27$137.33$130.0021.3%6.1%22.2%18.2%21.6%3.0%0.1%1.7M-31.1M-283.5K0.5076.81N/AN/A1,8479177,2749,242
2021-05-28$138.19$135.0019.5%5.6%22.1%11.0%20.3%2.7%0.7%2.2M-36.1M-300.6K0.2277.54N/AN/A8741898,3169,469