A Options History — January 2022

In January 2022, A traded between $132.71 and $155.89. ATM implied volatility averaged 30.4%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.0% (HV 20d: 25.4%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2022-01-07: Highest Volume — 3,408 contracts
  • 2022-01-24: Largest IV spike — 22.3% change
  • 2022-01-25: Highest IV Rank — 95.8%
  • 2022-01-25: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.71$132.71$155.89$155.89$138.41
Max Pain$151.25$150.00$155.00$155.00$150.00
ATM IV30.4%22.2%39.1%22.2%33.0%
Expected Move8.8%6.4%11.2%6.4%9.5%
HV 20d25.4%22.6%27.7%24.4%27.0%
HV 60d25.7%24.6%27.0%24.6%27.0%
IV Rank59.7%25.9%95.8%25.9%70.6%
IV Percentile78.1%31.3%99.2%31.3%92.5%
Term Structure-1.0%-7.6%3.5%3.1%-0.5%
VWIV31.1%22.9%41.3%22.9%32.8%
Skew 25d6.3%3.5%13.5%4.7%8.8%
Skew 10d13.3%6.2%24.0%7.1%18.3%
Call IV 25d28.4%20.1%35.8%20.1%30.8%
Put IV 25d34.8%24.8%49.0%24.8%39.5%
Bid-Ask Spread %73.7962.2184.5283.6084.35
Gamma HHI0.170.120.270.180.13
Net GEX-1.4M-2.4M417.1K417.1K-833.0K
Net DEX45.1M1.6M80.9M1.6M22.6M
Net VEX-271.8K-327.3K-236.4K-327.3K-264.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.771.551.550.97
Total Volume2,1331,3943,4082,0851,507
Total OI23,94612,11529,70027,44413,241

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$155.89$155.0022.2%6.4%24.4%25.9%22.9%4.7%3.1%417.1K1.6M-327.3K1.5583.60N/AN/A8181,26712,83814,606
2022-01-04$151.59$155.0025.2%7.2%25.4%38.2%24.5%3.6%1.6%-1.2M24.2M-311.0K1.5484.52N/AN/A9451,45712,88214,457
2022-01-05$149.22$155.0025.7%7.4%25.6%40.2%25.5%3.5%2.4%-1.5M34.4M-305.3K1.4182.20N/AN/A9571,35412,93914,515
2022-01-06$148.90$155.0027.5%8.3%24.7%47.7%29.2%3.7%-1.1%-1.8M36.5M-301.0K1.2069.71N/AN/A1,2921,54712,89314,630
2022-01-07$145.73$155.0028.2%8.6%25.5%50.8%30.1%4.2%-2.4%-1.7M50.2M-297.5K1.5463.43N/AN/A1,3432,06513,11414,826
2022-01-10$144.03$150.0029.8%8.3%25.4%57.4%30.4%4.7%1.9%-1.9M60.7M-285.3K1.0664.35N/AN/A1,3201,40513,48315,265
2022-01-11$146.62$150.0028.2%9.1%26.4%50.8%29.7%6.7%-4.9%-2.1M52.2M-292.5K1.0466.43N/AN/A95299413,82515,537
2022-01-12$149.48$150.0027.0%7.7%25.4%45.8%28.7%6.1%-0.3%-2.4M37.2M-298.2K0.7771.90N/AN/A1,12687013,87515,516
2022-01-13$145.76$150.0030.6%8.8%26.3%60.8%31.2%3.9%-4.0%-2.4M58.0M-283.1K1.1169.40N/AN/A9241,03013,64115,490
2022-01-14$145.12$150.0026.5%7.6%25.7%43.5%27.3%5.3%3.5%-2.2M61.2M-269.9K1.1865.20N/AN/A77391413,70215,620
2022-01-18$140.53$150.0030.0%8.6%27.7%58.1%27.6%7.1%-1.3%-1.8M76.6M-246.5K1.0772.81N/AN/A90096413,77215,657
2022-01-19$140.98$150.0028.2%8.1%27.7%50.6%28.3%6.0%0.1%-1.4M74.6M-242.6K1.4769.57N/AN/A8481,24913,77815,636
2022-01-20$140.14$150.0027.3%7.8%26.5%46.9%28.7%4.3%1.8%-2.1M76.9M-236.4K0.8162.21N/AN/A1,05085213,77515,771
2022-01-21$138.23$150.0030.4%8.7%25.0%59.7%32.0%4.2%-1.0%-800.9K80.9M-241.1K1.2979.76N/AN/A1,2201,57713,79815,902
2022-01-24$137.32$150.0037.1%10.6%24.0%87.8%37.2%7.3%-1.6%-768.1K27.4M-244.8K1.4072.65N/AN/A1,0751,5086,0986,017
2022-01-25$135.15$150.0039.1%11.2%24.0%95.8%38.2%13.5%-4.5%-758.0K30.1M-250.1K0.8776.23N/AN/A1,0639256,2526,420
2022-01-26$132.86$150.0037.7%10.8%23.7%90.1%41.0%11.2%-1.5%-708.6K30.5M-250.8K1.1483.85N/AN/A7858976,4416,395
2022-01-27$132.71$150.0036.6%10.5%22.6%85.7%41.3%10.0%-2.9%-894.6K35.0M-242.7K0.9671.63N/AN/A7617326,4906,631
2022-01-28$135.55$150.0037.0%10.6%24.9%87.2%35.0%7.9%-7.6%-963.4K30.5M-244.9K1.0481.95N/AN/A6827126,5306,662
2022-01-31$138.41$150.0033.0%9.5%27.0%70.6%32.8%8.8%-0.5%-833.0K22.6M-264.2K0.9784.35N/AN/A7657426,5616,680