A Options History — August 2021

In August 2021, A traded between $153.28 and $176.74. ATM implied volatility averaged 24.0%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.6% (HV 20d: 13.3%). Max pain ranged from $150.00 to $170.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-08-19: Highest Volume — 9,027 contracts
  • 2021-08-11: Largest IV drop — 26.8% change
  • 2021-08-10: Highest IV Rank — 67.2%
  • 2021-08-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.37$153.28$176.74$153.28$175.33
Max Pain$155.00$150.00$170.00$150.00$170.00
ATM IV24.0%17.8%32.6%28.2%17.8%
Expected Move6.5%5.1%8.1%8.1%5.1%
HV 20d13.3%11.5%16.2%12.2%15.5%
HV 60d14.0%13.3%15.1%15.1%14.1%
IV Rank32.6%7.6%67.2%49.2%7.6%
IV Percentile35.1%4.8%88.5%61.9%4.8%
Term Structure-0.3%-4.7%2.3%-4.3%2.3%
VWIV23.6%19.1%29.4%28.6%19.1%
Skew 25d2.6%1.9%3.2%2.1%1.9%
Skew 10d6.1%3.3%8.4%3.3%4.9%
Call IV 25d22.2%18.1%27.7%27.5%18.1%
Put IV 25d24.8%20.0%30.2%29.6%20.0%
Bid-Ask Spread %59.4839.1173.2769.3557.84
Gamma HHI0.260.160.620.160.24
Net GEX2.8M690.3K6.4M690.3K3.5M
Net DEX-90.9M-167.0M-46.0M-46.0M-121.5M
Net VEX-304.3K-528.7K-215.2K-243.8K-528.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.272.170.671.56
Total Volume3,385.1361839,0277524,958
Total OI23,404.27319,47531,39920,07330,303

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$153.28$150.0028.2%8.1%12.2%49.2%28.6%2.1%-4.3%690.3K-46.0M-243.8K0.6769.35N/AN/A4513018,18211,891
2021-08-03$153.78$150.0028.3%8.1%12.2%49.7%29.4%2.5%-4.7%760.2K-47.5M-253.4K0.4470.59N/AN/A2491108,30611,922
2021-08-04$154.48$150.0028.3%8.1%12.3%49.8%28.8%2.5%-4.4%925.0K-53.5M-236.8K0.2873.27N/AN/A143408,58612,086
2021-08-05$154.75$150.0029.1%6.9%12.0%52.8%26.0%2.8%-1.0%880.4K-52.4M-267.8K0.2753.25N/AN/A225618,65112,114
2021-08-06$155.57$150.0028.7%6.7%11.7%51.3%23.3%2.6%-0.6%1.0M-57.8M-249.5K0.4547.22N/AN/A4642098,69712,138
2021-08-09$156.60$150.0031.8%6.8%11.8%63.7%23.9%2.9%-0.8%1.1M-64.9M-215.2K0.8367.27N/AN/A5784828,68112,150
2021-08-10$156.12$150.0032.6%6.8%11.8%67.2%24.3%2.7%-0.8%1.1M-60.6M-243.9K0.4457.68N/AN/A1,1314958,80612,100
2021-08-11$156.21$150.0023.9%6.9%11.5%31.9%24.3%2.9%-1.1%939.7K-59.6M-240.6K0.5939.11N/AN/A3722218,89712,256
2021-08-12$158.36$150.0023.2%6.7%12.2%29.9%24.5%2.7%-0.7%1.5M-74.7M-251.5K0.3357.77N/AN/A9223059,48912,495
2021-08-13$159.02$150.0023.1%6.6%12.1%29.6%24.7%3.0%-0.9%1.5M-78.6M-247.6K0.9449.99N/AN/A6345949,52912,599
2021-08-16$162.05$150.0025.2%7.2%12.2%38.3%25.2%3.2%-1.9%1.8M-92.3M-230.3K0.3164.35N/AN/A4,1561,2769,57512,577
2021-08-17$160.01$150.0026.3%7.5%13.1%42.9%26.6%2.8%-2.5%1.7M-83.2M-229.0K0.9254.06N/AN/A3,9103,5919,83112,986
2021-08-18$163.93$150.0020.1%5.8%14.6%16.9%20.9%2.1%1.9%5.4M-116.7M-236.3K0.3569.24N/AN/A6,5562,32010,96413,550
2021-08-19$168.02$155.0022.7%6.5%16.2%27.6%23.8%2.7%1.4%6.4M-160.8M-257.3K0.2857.14N/AN/A7,0571,97013,71616,113
2021-08-20$168.71$155.0021.4%6.1%16.0%22.6%22.6%2.3%1.2%4.0M-167.0M-263.0K0.4458.03N/AN/A3,2471,42114,85016,549
2021-08-23$169.86$160.0019.9%5.7%14.5%15.9%20.6%2.8%1.4%3.8M-82.5M-321.8K0.5858.92N/AN/A1,6469569,8759,600
2021-08-24$170.63$160.0020.1%5.8%14.1%17.1%21.6%2.0%1.5%4.4M-96.9M-375.9K0.8162.47N/AN/A1,8141,47411,62710,505
2021-08-25$173.19$165.0019.3%5.5%14.2%13.8%20.6%2.2%1.9%5.0M-112.9M-385.6K0.6954.78N/AN/A2,2871,56812,18010,836
2021-08-26$173.76$165.0019.5%5.6%14.3%14.3%20.0%2.6%1.9%4.9M-114.8M-447.9K1.8765.65N/AN/A9821,83713,06711,730
2021-08-27$173.81$165.0018.5%5.3%14.4%10.5%19.6%3.0%2.1%4.9M-118.3M-487.8K1.4265.74N/AN/A2,7363,89514,33112,727
2021-08-30$176.74$165.0019.2%5.5%14.6%13.4%20.5%2.6%2.1%5.2M-138.2M-480.1K2.1754.80N/AN/A2,1524,67714,57213,255
2021-08-31$175.33$170.0017.8%5.1%15.5%7.6%19.1%1.9%2.3%3.5M-121.5M-528.7K1.5657.84N/AN/A1,9363,02214,58815,715