A Options History — September 2022

In September 2022, A traded between $121.41 and $139.78. ATM implied volatility averaged 33.3%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.8% (HV 20d: 34.2%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-09-13: Highest Volume — 3,770 contracts
  • 2022-09-12: Largest IV spike — 19.3% change
  • 2022-09-27: Highest IV Rank — 58.4%
  • 2022-09-27: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.81$121.41$139.78$128.26$122.14
Max Pain$129.52$125.00$130.00$125.00$130.00
ATM IV33.3%25.0%39.2%30.5%37.7%
Expected Move9.5%7.8%11.3%8.7%10.8%
HV 20d34.2%27.8%41.3%38.1%29.4%
HV 60d34.8%33.8%35.7%35.2%34.9%
IV Rank42.3%17.9%58.4%37.9%53.8%
IV Percentile64.6%17.1%91.7%49.6%86.9%
Term Structure-0.2%-1.3%1.0%0.5%-0.9%
VWIV32.8%26.4%39.0%30.7%38.0%
Skew 25d6.1%5.0%7.4%5.2%6.6%
Skew 10d13.1%9.0%17.7%9.2%13.3%
Call IV 25d30.8%25.6%36.3%29.5%34.1%
Put IV 25d36.9%31.1%43.2%34.7%40.7%
Bid-Ask Spread %57.0546.0965.3346.2758.71
Gamma HHI0.100.090.130.100.09
Net GEX1.1M185.4K3.4M703.1K185.4K
Net DEX-15.0M-73.4M19.4M-10.4M19.4M
Net VEX-400.3K-439.2K-347.7K-400.4K-381.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.223.050.473.00
Total Volume1,810.3811333,7703562,510
Total OI25,249.1923,05728,05523,05726,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$128.26$125.0030.5%8.7%38.1%37.9%30.7%5.2%0.5%703.1K-10.4M-400.4K0.4746.27N/AN/A24211413,6479,410
2022-09-02$127.18$125.0032.1%9.2%38.2%42.4%31.5%5.0%0.4%619.3K-7.6M-390.8K0.6146.09N/AN/A48229213,7459,460
2022-09-06$129.47$130.0032.6%9.0%38.8%41.3%30.6%6.1%0.1%954.8K-19.1M-400.9K0.9356.94N/AN/A1,7491,63414,1579,593
2022-09-07$131.63$130.0030.5%8.7%37.7%33.9%29.7%5.9%0.4%1.4M-30.2M-405.3K0.9860.47N/AN/A1,7331,69314,44610,424
2022-09-08$134.71$130.0028.5%8.3%37.0%28.0%28.2%5.6%0.3%1.9M-45.1M-412.6K0.2553.55N/AN/A67516614,47610,535
2022-09-09$137.86$130.0025.0%7.8%37.6%17.9%26.7%5.4%0.9%2.6M-61.5M-429.4K0.2253.43N/AN/A1,78739414,66410,545
2022-09-12$139.78$130.0029.8%8.0%37.7%31.9%26.4%5.5%1.0%3.4M-73.4M-439.2K0.3956.81N/AN/A1,37453915,61010,694
2022-09-13$133.68$130.0035.1%8.8%41.2%47.3%29.8%5.5%0.4%1.9M-39.7M-429.8K1.0863.03N/AN/A1,8131,95716,27910,998
2022-09-14$132.23$130.0032.7%9.4%41.3%40.4%31.2%6.1%0.0%1.5M-36.3M-427.7K0.4961.12N/AN/A81139716,14311,184
2022-09-15$133.05$130.0030.4%8.7%32.2%33.6%30.9%5.6%0.6%1.7M-39.3M-428.6K0.4848.82N/AN/A26812916,72011,217
2022-09-16$129.31$130.0031.8%9.1%33.1%37.7%30.7%5.7%0.1%457.0K-18.0M-397.7K1.0459.14N/AN/A1,6121,67416,77011,285
2022-09-19$130.62$130.0032.4%9.3%32.8%39.4%33.2%6.2%-0.4%1.3M-15.3M-404.0K0.9453.09N/AN/A70666214,1168,984
2022-09-20$128.56$130.0033.3%9.5%31.9%41.9%32.9%6.3%-0.8%1.0M-8.9M-407.6K3.0561.80N/AN/A10130814,5019,372
2022-09-21$126.61$130.0034.9%10.0%32.2%46.8%35.0%5.9%-0.7%737.4K-903.4K-391.4K0.3965.33N/AN/A963714,5289,655
2022-09-22$125.28$130.0035.4%10.2%32.1%48.1%34.0%7.1%-0.9%543.1K5.4M-378.4K0.3661.52N/AN/A44215814,5119,675
2022-09-23$123.24$130.0037.0%10.6%31.6%52.9%38.3%7.4%-1.3%478.4K9.9M-374.2K0.2954.95N/AN/A3219214,8509,758
2022-09-26$122.61$130.0037.6%10.8%27.9%54.6%39.0%7.0%-1.3%400.7K12.9M-360.2K0.8659.69N/AN/A1,05790715,0089,773
2022-09-27$121.41$130.0039.2%11.3%27.8%58.4%38.9%6.9%-1.1%263.8K18.0M-347.7K1.6761.05N/AN/A1,1871,97915,1259,869
2022-09-28$124.24$130.0036.0%10.3%29.3%48.8%37.4%6.4%-0.8%421.2K10.3M-402.6K2.4458.11N/AN/A7891,92915,18110,870
2022-09-29$123.12$130.0036.7%10.5%29.4%50.9%36.6%7.0%-0.5%282.9K14.8M-395.7K1.5258.21N/AN/A1,2721,93015,19210,883
2022-09-30$122.14$130.0037.7%10.8%29.4%53.8%38.0%6.6%-0.9%185.4K19.4M-381.6K3.0058.71N/AN/A6271,88315,46210,918