A Options History — September 2023

In September 2023, A traded between $109.98 and $122.00. ATM implied volatility averaged 24.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.3% (HV 20d: 20.8%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2023-09-15: Highest Volume — 9,551 contracts
  • 2023-09-11: Largest IV spike — 27.3% change
  • 2023-09-12: Highest IV Rank — 35.3%
  • 2023-09-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.78$109.98$122.00$122.00$111.68
Max Pain$119.00$115.00$125.00$125.00$115.00
ATM IV24.1%19.4%28.3%19.4%25.4%
Expected Move6.8%5.6%7.7%5.6%7.3%
HV 20d20.8%18.2%22.9%18.2%22.2%
HV 60d22.4%21.7%23.0%22.0%22.7%
IV Rank18.9%0.0%35.3%0.0%23.8%
IV Percentile19.7%0.0%45.6%0.0%26.6%
Term Structure0.9%-0.2%3.1%3.1%0.5%
VWIV24.1%19.6%27.9%19.6%25.0%
Skew 25d1.6%-0.4%2.9%1.5%0.8%
Skew 10d2.6%-2.1%6.7%2.6%0.9%
Call IV 25d23.9%19.2%27.4%19.2%26.0%
Put IV 25d25.5%20.7%28.5%20.7%26.8%
Bid-Ask Spread %72.4361.6777.6275.3277.62
Gamma HHI0.250.170.420.170.24
Net GEX-1.1M-2.4M-228.0K-228.0K-870.5K
Net DEX32.4M8.0M50.6M8.0M31.4M
Net VEX-280.4K-307.1K-242.4K-307.1K-289.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.225.331.531.06
Total Volume1,310.252349,5513311,921
Total OI22,447.3520,60024,02421,39924,024

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$122.00$125.0019.4%5.6%18.2%0.0%19.6%1.5%3.1%-228.0K8.0M-307.1K1.5375.32N/AN/A13120011,7219,678
2023-09-05$119.22$125.0021.7%6.4%19.7%9.2%22.4%2.7%1.2%-1.0M23.0M-288.7K0.4973.76N/AN/A1577711,7089,798
2023-09-06$117.75$125.0022.0%6.5%18.9%10.4%22.8%2.8%1.1%-1.2M29.3M-282.6K1.0170.52N/AN/A33333611,7459,754
2023-09-07$116.16$125.0023.0%6.7%19.0%14.4%22.9%2.4%1.4%-1.7M36.0M-274.2K1.4070.86N/AN/A23633111,8069,841
2023-09-08$114.31$120.0020.1%6.4%19.4%3.0%22.6%2.9%1.1%-2.4M45.5M-258.1K0.6674.22N/AN/A22014611,8819,960
2023-09-11$112.72$120.0025.6%6.3%19.5%24.8%22.4%2.9%1.1%-2.4M50.6M-242.4K2.2676.81N/AN/A5691,28711,9499,960
2023-09-12$112.44$120.0028.3%6.6%19.6%35.3%22.0%2.9%1.3%-1.8M48.1M-250.6K0.4674.60N/AN/A85439712,1179,839
2023-09-13$113.73$120.0022.1%6.3%20.5%10.8%21.7%2.6%1.3%-946.5K40.4M-260.0K0.5075.15N/AN/A1,31565512,8439,768
2023-09-14$115.22$120.0021.3%6.1%19.1%7.6%22.2%2.7%1.7%-714.5K32.8M-267.5K5.3377.49N/AN/A1991,06113,2819,758
2023-09-15$116.45$120.0025.6%7.3%19.6%24.7%27.9%-0.4%0.5%-1.0M18.9M-298.1K0.3671.80N/AN/A7,0182,53313,3509,752
2023-09-18$112.79$120.0024.4%7.0%22.1%20.0%25.0%0.8%0.5%-901.2K27.8M-293.4K0.2261.67N/AN/A1,75138611,6009,000
2023-09-19$112.30$120.0024.8%7.1%22.0%21.5%24.6%1.1%0.9%-546.7K26.9M-296.8K1.0865.24N/AN/A32435112,9949,051
2023-09-20$112.22$115.0023.9%6.9%21.9%18.1%24.1%0.4%0.7%-789.2K29.2M-291.4K0.6568.08N/AN/A33821913,1809,266
2023-09-21$109.98$115.0025.1%7.2%22.1%22.6%25.7%0.3%0.7%-958.3K37.9M-277.2K1.6067.35N/AN/A13121013,4259,427
2023-09-22$111.72$115.0024.7%7.1%22.9%21.3%24.6%1.2%0.5%-926.0K33.0M-286.4K1.2269.94N/AN/A25931713,4579,479
2023-09-25$111.72$115.0025.4%7.3%22.7%23.9%25.5%1.2%0.1%-818.2K31.8M-282.0K2.7874.89N/AN/A6718613,5659,484
2023-09-26$110.96$115.0026.8%7.7%22.7%29.4%27.4%0.9%0.1%-855.8K33.4M-286.1K0.2275.72N/AN/A57912813,5989,574
2023-09-27$110.04$115.0026.7%7.7%21.2%29.3%27.2%1.4%-0.2%-951.7K36.6M-278.2K4.1876.05N/AN/A9941413,9459,591
2023-09-28$112.19$115.0026.3%7.5%22.6%27.4%26.2%0.9%0.5%-679.6K28.2M-297.6K1.2571.60N/AN/A20926113,9889,790
2023-09-29$111.68$115.0025.4%7.3%22.2%23.8%25.0%0.8%0.5%-870.5K31.4M-289.8K1.0677.62N/AN/A93498714,1059,919