A Options History — October 2023

In October 2023, A traded between $100.97 and $113.35. ATM implied volatility averaged 28.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.2% (HV 20d: 23.4%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2023-10-20: Highest Volume — 3,559 contracts
  • 2023-10-31: Largest IV drop — 11.8% change
  • 2023-10-30: Highest IV Rank — 54.4%
  • 2023-10-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.70$100.97$113.35$110.63$103.36
Max Pain$117.27$110.00$120.00$115.00$110.00
ATM IV28.6%25.0%33.1%27.1%29.2%
Expected Move8.2%7.2%9.5%7.8%8.4%
HV 20d23.4%20.0%28.0%21.7%28.0%
HV 60d22.9%21.9%23.6%22.7%22.7%
IV Rank36.7%22.5%54.4%30.6%38.9%
IV Percentile56.0%22.6%90.1%40.9%63.1%
Term Structure1.3%-0.3%3.2%-0.3%3.1%
VWIV28.7%25.5%33.7%25.7%30.6%
Skew 25d2.7%0.9%4.0%1.4%3.4%
Skew 10d4.9%0.2%8.2%1.5%6.3%
Call IV 25d28.1%25.0%31.1%27.4%28.8%
Put IV 25d30.8%27.3%35.1%28.8%32.2%
Bid-Ask Spread %68.7648.0373.6672.8648.03
Gamma HHI0.270.140.630.240.15
Net GEX-1.7M-5.5M-711.3K-1.5M-1.0M
Net DEX41.0M28.0M58.4M40.4M31.2M
Net VEX-261.8K-301.3K-199.1K-288.5K-230.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.066.662.183.30
Total Volume1,079.0451523,5591,0421,855
Total OI25,226.04521,04928,26724,96522,978

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$110.63$115.0027.1%7.8%21.7%30.6%25.7%1.4%-0.3%-1.5M40.4M-288.5K2.1872.86N/AN/A32871414,20810,757
2023-10-03$110.36$115.0027.9%8.0%20.6%34.0%28.0%0.9%0.0%-1.5M41.7M-291.8K1.5369.13N/AN/A30947314,39911,163
2023-10-04$111.63$115.0026.5%7.6%21.1%28.5%26.7%1.2%0.6%-1.4M36.8M-301.3K5.5372.89N/AN/A5932614,64411,474
2023-10-05$110.39$120.0027.3%7.8%20.9%31.4%27.5%2.8%1.3%-1.5M44.1M-288.9K0.4072.25N/AN/A37715214,67911,462
2023-10-06$111.22$120.0025.4%7.6%20.6%23.8%27.3%1.8%1.1%-1.5M40.5M-291.1K1.2470.90N/AN/A688414,86711,471
2023-10-09$110.97$120.0027.3%7.7%20.0%31.3%27.2%2.3%0.8%-1.7M41.8M-278.3K0.6671.82N/AN/A21113914,87811,473
2023-10-10$113.35$120.0025.0%7.2%21.5%22.5%25.7%2.4%1.1%-1.2M28.3M-288.6K3.4067.89N/AN/A21071514,95911,519
2023-10-11$113.25$120.0025.9%7.4%21.1%25.8%26.3%2.6%1.6%-1.2M30.0M-292.2K1.3773.66N/AN/A27938115,08111,523
2023-10-12$109.00$120.0027.9%8.0%24.4%33.8%28.1%2.2%0.3%-1.9M51.3M-265.3K2.8171.04N/AN/A3661,02815,09511,658
2023-10-13$110.22$120.0028.4%8.2%24.4%36.0%28.0%2.7%0.6%-2.1M46.5M-276.5K0.2370.77N/AN/A59713715,24011,842
2023-10-16$111.40$120.0027.5%7.9%22.3%32.2%27.5%2.7%0.4%-2.1M41.4M-272.2K0.6969.77N/AN/A24116615,58711,847
2023-10-17$112.23$120.0028.8%8.2%22.4%37.3%28.6%2.9%0.1%-2.0M37.0M-272.4K0.8469.36N/AN/A12610615,72911,915
2023-10-18$108.66$120.0028.5%8.2%25.2%36.2%28.7%2.8%0.2%-2.8M58.4M-246.4K0.5670.54N/AN/A71039715,74611,975
2023-10-19$109.31$120.0029.3%8.4%24.3%39.2%29.8%2.5%1.3%-3.0M50.1M-255.6K1.9872.04N/AN/A21041616,45611,584
2023-10-20$109.61$115.0031.2%8.9%23.6%46.9%33.7%2.5%1.5%-5.5M51.3M-269.0K0.0665.48N/AN/A3,36719216,57411,693
2023-10-23$108.94$115.0029.9%8.6%23.7%42.0%30.6%3.2%2.2%-711.3K28.0M-257.3K1.0366.30N/AN/A73175311,9939,056
2023-10-24$105.63$115.0031.1%8.9%25.9%46.4%30.2%3.2%2.1%-1.0M38.4M-234.6K1.5868.78N/AN/A33152312,4129,369
2023-10-25$103.42$115.0030.6%8.8%26.6%44.8%25.5%3.8%3.2%-1.1M43.1M-223.2K6.6669.94N/AN/A3752,49912,5189,509
2023-10-26$104.11$115.0031.2%8.9%25.6%46.8%31.0%3.5%2.8%-1.0M36.9M-223.8K3.1870.06N/AN/A11436312,6189,078
2023-10-27$102.69$115.0030.7%8.8%25.8%45.1%31.2%3.7%2.9%-1.1M41.4M-213.6K0.4968.09N/AN/A49324212,6779,180
2023-10-30$100.97$115.0033.1%9.5%26.1%54.4%33.7%4.0%2.0%-1.0M43.2M-199.1K1.7661.14N/AN/A9351,64113,0319,056
2023-10-31$103.36$110.0029.2%8.4%28.0%38.9%30.6%3.4%3.1%-1.0M31.2M-230.2K3.3048.03N/AN/A4311,42413,3559,623