A Options History — June 2023

In June 2023, A traded between $114.77 and $121.74. ATM implied volatility averaged 22.5%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.9% (HV 20d: 26.4%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2023-06-16: Highest Volume — 3,235 contracts
  • 2023-06-12: Largest IV spike — 17.3% change
  • 2023-06-12: Highest IV Rank — 23.3%
  • 2023-06-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.23$114.77$121.74$116.53$120.47
Max Pain$120.48$120.00$125.00$125.00$120.00
ATM IV22.5%19.6%27.0%25.3%19.6%
Expected Move6.3%5.6%7.2%7.2%5.6%
HV 20d26.4%19.6%30.0%28.7%20.8%
HV 60d28.2%26.5%30.1%29.8%27.2%
IV Rank5.7%0.0%23.3%10.1%0.0%
IV Percentile2.6%0.0%19.4%7.5%0.0%
Term Structure2.6%-0.8%4.6%-0.8%4.6%
VWIV22.0%19.3%24.1%23.6%19.3%
Skew 25d3.2%1.9%4.6%3.4%2.7%
Skew 10d6.2%3.8%9.7%5.9%4.6%
Call IV 25d20.9%18.9%23.9%23.9%18.9%
Put IV 25d24.1%21.6%27.3%27.3%21.6%
Bid-Ask Spread %66.216.2980.1262.0580.12
Gamma HHI0.290.250.380.280.25
Net GEX-1.5M-2.0M-768.2K-1.6M-1.2M
Net DEX27.7M11.6M42.3M38.2M14.8M
Net VEX-234.1K-251.9K-207.9K-225.5K-251.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.213.111.100.22
Total Volume750.9051843,2353951,452
Total OI17,221.66715,25318,80817,00417,334

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$116.53$125.0025.3%7.2%28.7%10.1%23.6%3.4%-0.8%-1.6M38.2M-225.5K1.1062.05N/AN/A1882078,7618,243
2023-06-02$118.30$125.0021.6%6.2%29.8%0.0%22.2%2.3%-0.1%-1.7M34.1M-232.0K0.896.29N/AN/A2262018,8078,359
2023-06-05$118.09$120.0022.8%6.4%29.8%5.0%22.8%4.6%2.1%-1.7M34.9M-224.3K0.9656.00N/AN/A1621558,8498,373
2023-06-06$117.29$120.0023.8%6.5%29.8%9.4%23.7%4.6%2.5%-1.8M37.2M-216.3K0.4770.87N/AN/A2151008,8648,339
2023-06-07$116.62$120.0024.0%6.6%26.5%10.2%21.2%4.5%2.4%-1.7M36.2M-210.7K3.1173.72N/AN/A3501,0898,8198,097
2023-06-08$114.77$120.0023.6%6.3%26.4%8.8%22.9%4.1%2.8%-2.0M42.3M-207.9K0.4568.02N/AN/A8834009,0608,364
2023-06-09$115.75$120.0023.0%6.3%26.9%6.0%21.2%3.9%2.4%-1.8M37.9M-220.5K0.2263.32N/AN/A310689,5338,414
2023-06-12$118.10$120.0027.0%6.1%28.2%23.3%21.9%4.0%2.7%-1.5M29.4M-231.5K0.6860.07N/AN/A3682529,7008,437
2023-06-13$119.35$120.0025.1%6.1%28.6%14.9%21.5%3.2%3.0%-1.3M23.6M-237.9K0.3472.46N/AN/A5411839,8218,575
2023-06-14$119.69$120.0021.6%6.2%28.6%0.0%21.0%3.5%2.8%-1.1M22.0M-239.8K0.2578.28N/AN/A3107910,0328,603
2023-06-15$121.34$120.0022.0%6.3%28.9%1.8%21.0%3.9%2.6%-768.2K14.5M-245.3K2.0976.67N/AN/A30764110,0898,607
2023-06-16$121.74$120.0023.1%6.6%28.4%6.3%24.1%2.5%2.8%-1.0M11.6M-251.9K0.2174.50N/AN/A2,68255310,1028,706
2023-06-20$118.11$120.0022.6%6.5%30.0%4.3%24.0%2.7%2.2%-1.4M25.1M-239.7K0.3871.85N/AN/A7152757,6977,556
2023-06-21$118.44$120.0020.6%5.9%30.0%0.0%21.3%2.3%3.2%-1.4M23.7M-244.3K0.2875.78N/AN/A358998,1727,701
2023-06-22$118.30$120.0020.4%5.8%30.0%0.0%21.0%2.2%3.2%-1.5M24.5M-240.2K0.9577.51N/AN/A1101048,3647,779
2023-06-23$119.57$120.0020.7%5.9%20.9%1.5%21.8%2.6%3.5%-1.3M20.6M-244.6K0.8677.13N/AN/A2812438,3837,853
2023-06-26$118.78$120.0021.1%6.0%20.8%2.9%22.1%2.1%3.3%-1.3M22.5M-244.8K1.2172.21N/AN/A2362868,5607,917
2023-06-27$117.15$120.0022.3%6.4%21.1%7.8%22.4%1.9%3.3%-1.6M29.1M-230.5K1.4175.41N/AN/A1662348,7097,972
2023-06-28$116.34$120.0021.9%6.3%20.0%6.2%22.1%2.5%3.4%-1.8M33.5M-226.6K1.5671.08N/AN/A2173398,7428,129
2023-06-29$118.03$120.0020.5%5.9%19.6%0.7%21.2%2.6%3.6%-1.6M25.9M-251.8K0.3327.15N/AN/A138468,8588,375
2023-06-30$120.47$120.0019.6%5.6%20.8%0.0%19.3%2.7%4.6%-1.2M14.8M-251.1K0.2280.12N/AN/A1,1902628,9338,401