A Options History — December 2022

In December 2022, A traded between $146.63 and $158.22. ATM implied volatility averaged 28.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 6.6% (HV 20d: 35.5%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2022-12-13: Highest Volume — 1,924 contracts
  • 2022-12-12: Largest IV spike — 28.0% change
  • 2022-12-12: Highest IV Rank — 55.5%
  • 2022-12-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.73$146.63$158.22$155.98$149.26
Max Pain$137.38$135.00$145.00$145.00$140.00
ATM IV28.9%25.8%39.2%27.4%28.5%
Expected Move7.9%7.4%8.2%7.9%8.2%
HV 20d35.5%25.3%43.3%41.7%25.5%
HV 60d35.6%34.6%36.6%36.6%34.6%
IV Rank22.6%12.7%55.5%17.9%21.6%
IV Percentile23.6%7.1%90.5%15.5%21.0%
Term Structure1.4%-0.5%2.2%-0.5%1.7%
VWIV27.7%25.3%29.3%28.3%28.5%
Skew 25d4.4%3.4%5.2%4.0%4.3%
Skew 10d9.1%6.5%11.2%8.1%8.3%
Call IV 25d25.7%23.9%27.3%25.4%26.9%
Put IV 25d30.1%27.5%31.5%29.4%31.2%
Bid-Ask Spread %64.8954.1172.5754.1169.39
Gamma HHI0.240.190.270.230.24
Net GEX3.0M1.1M4.7M3.7M2.5M
Net DEX-69.3M-115.9M-36.7M-99.4M-44.3M
Net VEX-307.4K-329.2K-270.8K-329.0K-270.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.347.240.830.53
Total Volume479.9051241,924839191
Total OI24,145.14321,48426,86724,39922,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$155.98$145.0027.4%7.9%41.7%17.9%28.3%4.0%-0.5%3.7M-99.4M-329.0K0.8354.11N/AN/A45938012,88411,515
2022-12-02$155.80$145.0025.8%7.4%41.5%12.8%26.3%3.4%0.4%3.9M-102.6M-324.5K1.0457.92N/AN/A17918613,21711,735
2022-12-05$152.85$135.0027.1%7.5%42.6%17.0%27.4%5.1%1.5%3.3M-84.0M-321.0K4.1559.79N/AN/A9238213,27711,873
2022-12-06$150.71$135.0030.9%8.0%43.1%29.2%27.0%4.3%1.2%2.8M-70.8M-329.2K1.2960.44N/AN/A15620113,29512,129
2022-12-07$153.64$135.0030.8%7.9%43.3%28.8%26.9%4.8%1.4%3.4M-88.3M-328.0K1.2362.18N/AN/A23829313,33012,199
2022-12-08$156.13$135.0031.7%8.0%42.6%31.5%27.8%4.5%1.4%3.9M-103.5M-323.9K0.9757.72N/AN/A19018413,40812,240
2022-12-09$152.88$135.0030.6%7.9%37.3%28.2%27.2%4.5%1.3%3.3M-84.4M-328.8K0.8266.50N/AN/A796513,50612,347
2022-12-12$155.16$135.0039.2%8.1%37.2%55.5%28.2%5.2%1.2%3.8M-95.4M-327.7K0.3466.11N/AN/A43114513,51412,377
2022-12-13$158.22$135.0032.8%7.8%37.3%34.9%28.3%4.9%1.5%4.7M-115.9M-316.8K0.6957.99N/AN/A1,13778713,80212,399
2022-12-14$154.70$135.0026.9%7.7%38.4%16.3%26.9%4.2%1.7%4.1M-92.7M-321.6K0.9167.53N/AN/A25022814,01412,853
2022-12-15$150.81$135.0028.2%8.1%39.5%20.5%27.4%4.9%1.6%2.5M-64.5M-316.7K0.7564.51N/AN/A52239413,95212,898
2022-12-16$148.71$135.0027.3%7.8%39.1%17.6%27.1%4.5%1.6%1.1M-46.4M-307.9K0.9268.94N/AN/A38435413,76812,909
2022-12-19$146.63$135.0028.3%8.1%39.2%20.9%28.4%4.6%1.6%2.1M-36.7M-297.2K0.3768.27N/AN/A43215811,5459,939
2022-12-20$148.50$135.0026.8%7.7%39.4%15.9%28.3%4.1%1.8%2.4M-45.4M-292.5K0.4766.50N/AN/A1306111,58310,032
2022-12-21$150.01$135.0025.8%7.4%26.8%12.7%26.2%4.7%2.2%2.6M-49.8M-295.7K7.2467.93N/AN/A4230411,67910,077
2022-12-22$148.53$140.0027.2%7.8%26.8%17.4%29.0%4.2%1.1%2.4M-43.9M-299.1K0.7767.91N/AN/A13110111,69710,187
2022-12-23$149.24$140.0025.8%7.4%26.9%12.9%25.3%4.2%1.8%2.5M-44.9M-289.6K1.0868.75N/AN/A758111,74910,234
2022-12-27$149.50$140.0028.0%8.0%25.3%19.9%29.2%4.0%1.3%2.5M-47.8M-276.2K1.6671.63N/AN/A15125111,78210,299
2022-12-28$147.81$140.0028.5%8.2%25.4%21.4%29.3%4.2%1.3%2.2M-39.5M-278.5K0.7372.57N/AN/A755511,83210,483
2022-12-29$151.22$140.0028.2%8.1%25.6%20.6%28.8%4.2%2.0%2.9M-55.7M-281.8K0.7565.97N/AN/A715311,86510,508
2022-12-30$149.26$140.0028.5%8.2%25.5%21.6%28.5%4.3%1.7%2.5M-44.3M-270.8K0.5369.39N/AN/A1256611,63310,483