A Options History — October 2021

In October 2021, A traded between $147.40 and $158.39. ATM implied volatility averaged 24.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.1% (HV 20d: 24.1%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2021-10-20: Highest Volume — 3,853 contracts
  • 2021-10-13: Largest IV drop — 33.5% change
  • 2021-10-12: Highest IV Rank — 77.6%
  • 2021-10-04: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.41$147.40$158.39$156.17$156.86
Max Pain$159.52$155.00$170.00$170.00$160.00
ATM IV24.0%19.6%34.7%26.7%22.9%
Expected Move6.7%5.6%7.7%7.6%6.6%
HV 20d24.1%20.3%26.8%23.6%21.0%
HV 60d21.0%19.6%21.9%19.6%21.9%
IV Rank33.1%14.9%77.6%44.3%28.8%
IV Percentile39.2%17.1%94.0%56.0%34.1%
Term Structure2.1%-0.8%3.9%-0.8%3.5%
VWIV24.4%20.8%27.9%25.7%23.6%
Skew 25d5.1%3.5%6.8%4.7%3.5%
Skew 10d12.4%7.7%19.1%10.5%8.7%
Call IV 25d22.6%19.3%25.3%25.1%22.5%
Put IV 25d27.7%23.7%31.7%29.7%26.0%
Bid-Ask Spread %59.8743.9871.1471.1463.87
Gamma HHI0.110.080.220.120.12
Net GEX83.8K-1.4M2.3M-1.0M1.1M
Net DEX15.7M-26.9M60.4M29.8M-12.1M
Net VEX-407.1K-445.4K-355.9K-441.0K-445.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.193.391.552.12
Total Volume2,198.195463,8531,3573,275
Total OI30,412.85723,56633,68931,38030,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$156.17$170.0026.7%7.6%23.6%44.3%25.7%4.7%-0.8%-1.0M29.8M-441.0K1.5571.14N/AN/A53382416,64614,734
2021-10-04$152.68$160.0029.6%7.7%23.6%56.6%26.9%6.4%-0.4%-1.1M44.6M-420.4K3.3943.98N/AN/A3581,21316,59214,716
2021-10-05$153.79$160.0026.2%7.5%24.2%42.2%25.2%5.8%-0.1%-1.0M38.5M-404.3K0.3754.98N/AN/A72327016,75414,694
2021-10-06$153.39$160.0026.1%7.4%23.8%41.9%27.9%5.8%0.3%-1.4M42.3M-406.7K0.2854.82N/AN/A42512116,78714,922
2021-10-07$155.38$160.0024.0%7.0%24.9%33.2%25.0%4.5%1.0%-1.3M31.0M-413.9K0.3962.65N/AN/A45017417,20414,885
2021-10-08$152.51$160.0023.1%7.0%25.1%29.6%25.2%5.4%0.9%-1.2M40.3M-391.3K0.4462.20N/AN/A46120417,40014,737
2021-10-11$150.17$160.0029.4%7.3%23.3%55.7%26.3%5.4%0.3%-820.9K49.1M-355.9K0.8263.18N/AN/A78464317,59114,700
2021-10-12$147.40$160.0034.7%7.5%23.3%77.6%25.6%5.2%0.6%-969.5K60.4M-367.3K1.1259.62N/AN/A88199117,67414,786
2021-10-13$150.07$160.0023.1%6.6%24.1%29.3%23.2%5.8%2.5%-828.4K47.9M-359.3K0.3563.43N/AN/A57720218,05114,863
2021-10-14$152.24$155.0022.2%6.4%25.3%25.6%22.7%4.8%3.2%-1.0M38.3M-372.9K0.1967.59N/AN/A94318018,32015,015
2021-10-15$153.01$155.0019.6%5.6%25.3%14.9%20.8%5.7%3.9%111.5K37.1M-362.8K0.2353.74N/AN/A2,57560218,61915,070
2021-10-18$155.01$155.0020.5%5.9%25.8%18.5%21.0%3.6%3.6%483.4K-8.5M-366.3K0.5256.99N/AN/A1,17360811,90011,666
2021-10-19$155.72$155.0022.2%6.4%25.7%25.7%22.1%3.6%3.6%1.6M-15.7M-405.7K1.5962.84N/AN/A9991,59314,14211,997
2021-10-20$157.73$160.0020.5%5.9%26.3%18.9%24.7%6.0%3.5%1.3M-15.1M-429.7K1.4260.61N/AN/A1,5922,26114,87713,582
2021-10-21$156.11$160.0021.8%6.3%26.3%24.1%25.3%5.0%3.4%786.2K-7.9M-422.4K1.7059.11N/AN/A1,3502,29314,87413,703
2021-10-22$157.58$160.0021.4%6.1%26.8%22.3%25.2%6.8%3.4%1.7M-17.0M-441.9K1.7860.64N/AN/A1,2612,24815,08813,773
2021-10-25$158.11$160.0022.2%6.4%24.5%25.7%24.4%4.2%2.7%2.2M-25.8M-444.0K2.0056.56N/AN/A1,0842,16315,16013,811
2021-10-26$158.39$160.0022.1%6.3%20.3%25.4%23.7%4.5%3.0%2.3M-26.9M-444.3K2.7559.08N/AN/A9332,56415,22513,995
2021-10-27$155.24$160.0022.6%6.5%21.5%27.5%24.2%3.9%3.1%739.3K-4.3M-433.5K1.9958.33N/AN/A1,0482,08115,27614,672
2021-10-28$155.00$160.0022.4%6.4%21.0%26.4%24.3%6.1%3.4%118.8K3.6M-419.1K2.0162.01N/AN/A1,1632,33915,32114,738
2021-10-29$156.86$160.0022.9%6.6%21.0%28.8%23.6%3.5%3.5%1.1M-12.1M-445.4K2.1263.87N/AN/A1,0502,22515,37014,740