A Options History — September 2021

In September 2021, A traded between $158.14 and $179.29. ATM implied volatility averaged 21.7%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.5% (HV 20d: 19.3%). Max pain ranged from $170.00 to $175.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2021-09-03: Highest Volume — 6,806 contracts
  • 2021-09-28: Largest IV spike — 21.2% change
  • 2021-09-28: Highest IV Rank — 45.5%
  • 2021-09-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.20$158.14$179.29$175.42$158.14
Max Pain$173.81$170.00$175.00$170.00$170.00
ATM IV21.7%16.6%27.0%17.0%26.1%
Expected Move6.3%4.9%7.7%4.9%7.5%
HV 20d19.3%15.7%24.5%15.7%24.5%
HV 60d15.6%13.8%19.5%14.1%19.5%
IV Rank23.8%2.4%45.5%4.1%41.7%
IV Percentile25.6%0.8%59.9%2.8%50.8%
Term Structure1.4%-1.1%3.2%2.4%-1.1%
VWIV23.2%19.4%27.9%19.4%26.7%
Skew 25d3.6%1.6%5.5%1.6%5.5%
Skew 10d8.4%5.4%14.5%6.3%10.7%
Call IV 25d21.7%17.5%25.6%17.5%25.6%
Put IV 25d25.3%19.0%31.2%19.0%31.2%
Bid-Ask Spread %60.8547.8072.8763.8068.07
Gamma HHI0.160.100.260.150.12
Net GEX2.2M-512.1K5.6M1.1M-512.1K
Net DEX-77.5M-143.9M15.7M-111.1M15.7M
Net VEX-532.2K-609.6K-449.8K-583.9K-449.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.172.570.800.48
Total Volume2,733.8575166,8062,404908
Total OI33,052.28626,66338,55633,47130,899

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$175.42$170.0017.0%4.9%15.7%4.1%19.4%1.6%2.4%1.1M-111.1M-583.9K0.8063.80N/AN/A1,3341,07015,47617,995
2021-09-02$177.91$170.0016.6%5.5%15.8%2.4%20.2%2.4%2.1%3.1M-133.6M-506.1K0.6060.42N/AN/A1,8611,12414,90017,386
2021-09-03$179.29$170.0018.1%5.9%15.8%8.5%21.5%2.5%3.0%3.1M-142.3M-508.2K0.4055.89N/AN/A4,8761,93014,81617,661
2021-09-07$177.84$175.0019.3%5.8%16.7%13.5%22.0%2.7%1.8%3.3M-136.9M-504.9K0.2755.14N/AN/A4,8811,29715,33217,967
2021-09-08$178.81$175.0020.7%5.9%16.3%19.5%21.7%2.4%2.5%4.6M-143.9M-609.6K0.3752.47N/AN/A2,02774118,19618,553
2021-09-09$177.69$175.0021.1%6.1%16.8%21.3%23.2%2.9%1.9%3.7M-128.1M-578.4K0.2555.26N/AN/A3,28380916,96518,931
2021-09-10$177.52$175.0020.8%5.9%16.8%19.7%22.3%2.8%2.1%3.7M-130.7M-583.3K2.0447.80N/AN/A6541,33617,51019,120
2021-09-13$171.56$175.0022.5%6.4%22.0%26.9%23.3%3.5%1.0%602.1K-68.1M-554.1K2.2058.11N/AN/A1,6743,67918,92719,122
2021-09-14$172.40$175.0022.8%6.5%21.3%28.1%23.4%3.4%0.9%589.9K-68.5M-542.1K2.2453.57N/AN/A7021,57318,86419,655
2021-09-15$174.37$175.0021.8%6.3%20.6%24.1%23.1%3.0%0.9%2.7M-98.9M-549.1K1.4164.48N/AN/A1,0021,41418,67019,519
2021-09-16$172.91$175.0021.1%6.1%19.6%21.2%22.0%3.1%1.1%1.2M-78.5M-508.9K1.2057.69N/AN/A67781018,74119,675
2021-09-17$173.83$175.0021.6%6.2%17.9%23.4%23.0%3.6%0.9%5.6M-86.5M-526.0K0.5862.29N/AN/A1,7281,00418,86319,693
2021-09-20$170.84$175.0025.9%7.4%19.1%41.1%25.7%5.5%0.4%2.4M-54.7M-523.2K0.7758.44N/AN/A1,6111,23614,34512,318
2021-09-21$172.08$175.0024.7%7.1%19.1%36.2%27.3%5.1%0.6%2.9M-60.6M-552.0K2.5759.73N/AN/A33887015,02512,607
2021-09-22$172.72$175.0021.9%6.3%19.1%24.3%23.7%4.1%1.8%3.1M-64.6M-547.0K1.4672.87N/AN/A21030615,36812,987
2021-09-23$172.76$175.0020.0%5.7%18.3%16.5%22.7%3.1%2.7%2.9M-64.9M-548.1K1.2170.29N/AN/A40749115,50913,353
2021-09-24$172.63$175.0018.9%5.4%18.3%11.9%19.4%4.0%3.2%2.6M-61.7M-528.5K0.1769.65N/AN/A1,30921915,53813,513
2021-09-27$166.87$175.0022.2%6.4%21.8%25.9%22.1%3.8%1.4%646.5K-24.9M-516.2K0.6668.85N/AN/A1,6511,08915,66713,651
2021-09-28$160.40$175.0027.0%7.7%24.4%45.5%27.9%5.1%-0.4%-200.0K4.7M-475.6K1.3767.19N/AN/A1,6152,21515,97913,651
2021-09-29$160.26$170.0026.5%7.6%24.4%43.6%27.5%5.4%-0.4%-283.2K9.9M-481.9K1.9155.89N/AN/A49895216,90914,242
2021-09-30$158.14$170.0026.1%7.5%24.5%41.7%26.7%5.5%-1.1%-512.1K15.7M-449.8K0.4868.07N/AN/A61329516,46214,437