A Options History — December 2023

In December 2023, A traded between $127.22 and $140.24. 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 below realized volatility by 3.9% (HV 20d: 28.0%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2023-12-15: Highest Volume — 4,826 contracts
  • 2023-12-13: Largest IV drop — 14.2% change
  • 2023-12-11: Highest IV Rank — 26.8%
  • 2023-12-26: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.44$127.22$140.24$128.85$139.07
Max Pain$120.75$115.00$125.00$115.00$125.00
ATM IV24.1%21.3%26.1%21.3%23.2%
Expected Move6.8%6.1%7.2%6.1%6.7%
HV 20d28.0%17.6%37.4%37.4%18.2%
HV 60d30.2%29.6%30.7%30.7%29.8%
IV Rank18.9%7.9%26.8%7.9%15.4%
IV Percentile22.8%5.2%41.3%5.2%15.5%
Term Structure0.6%-0.1%1.2%0.9%0.5%
VWIV24.3%21.8%26.1%22.4%26.1%
Skew 25d1.8%0.8%3.0%1.5%1.5%
Skew 10d4.1%1.8%6.4%6.0%3.8%
Call IV 25d23.2%21.2%25.0%21.5%23.1%
Put IV 25d25.0%23.0%26.2%23.0%24.5%
Bid-Ask Spread %72.7751.0280.9051.0269.43
Gamma HHI0.270.120.520.330.23
Net GEX3.5M1.7M5.4M4.4M3.3M
Net DEX-102.0M-155.7M-75.1M-107.9M-84.9M
Net VEX-298.2K-330.5K-262.8K-301.2K-298.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.022.391.740.95
Total Volume949.82574,826587512
Total OI29,211.323,87633,31331,14026,343

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$128.85$115.0021.3%6.1%37.4%7.9%22.4%1.5%0.9%4.4M-107.9M-301.2K1.7451.02N/AN/A21437315,76215,378
2023-12-04$128.20$120.0024.3%6.6%35.3%19.7%24.0%2.8%0.8%4.2M-101.8M-315.0K0.9177.68N/AN/A25223015,77215,655
2023-12-05$127.22$120.0024.9%6.9%34.5%22.1%24.1%3.0%0.7%4.3M-93.2M-319.0K1.4079.43N/AN/A46064615,86515,777
2023-12-06$128.93$120.0024.2%6.6%33.6%19.1%23.2%2.7%1.1%4.4M-104.4M-330.5K0.4378.52N/AN/A28712416,14916,107
2023-12-07$128.97$120.0024.0%6.6%33.1%18.3%23.5%2.7%0.7%4.5M-105.8M-315.4K0.8177.70N/AN/A28022616,13316,182
2023-12-08$127.69$120.0022.9%6.4%32.6%14.1%21.8%2.7%1.2%4.5M-96.6M-316.2K0.5880.90N/AN/A1639416,14516,309
2023-12-11$129.00$120.0026.1%6.6%32.5%26.8%23.9%2.6%0.9%5.0M-105.8M-300.3K1.2479.95N/AN/A19023616,17716,332
2023-12-12$128.86$120.0025.4%6.4%32.3%24.1%23.2%2.4%0.7%5.4M-105.2M-291.1K0.5479.88N/AN/A1749416,19716,351
2023-12-13$133.80$120.0021.8%6.3%31.9%9.8%22.5%2.3%0.9%3.6M-140.3M-272.4K0.4680.57N/AN/A71032716,19116,390
2023-12-14$136.98$120.0023.7%6.8%32.2%17.2%23.6%1.9%0.5%1.8M-155.7M-262.8K0.5077.42N/AN/A98949116,20316,500
2023-12-15$136.56$120.0024.8%7.1%32.4%21.5%26.1%1.3%0.6%1.7M-150.1M-273.1K0.0273.31N/AN/A4,7329416,43016,883
2023-12-18$137.85$120.0024.3%7.0%31.5%19.4%24.4%1.3%0.3%1.9M-75.1M-288.4K0.1771.54N/AN/A1,33623312,00111,875
2023-12-19$139.44$120.0024.2%6.9%31.5%19.3%24.3%1.0%0.0%2.9M-86.7M-299.1K0.7466.81N/AN/A41030313,01212,016
2023-12-20$139.03$120.0024.8%7.1%19.1%21.7%25.4%1.2%0.5%2.9M-86.0M-301.4K2.3965.46N/AN/A34382113,19912,140
2023-12-21$139.11$120.0024.6%7.1%19.2%20.9%24.9%1.0%0.5%3.0M-87.0M-299.6K0.8068.40N/AN/A23018513,43111,873
2023-12-22$139.54$120.0024.4%7.0%18.8%20.0%26.1%1.4%0.3%3.1M-87.4M-297.1K1.2272.01N/AN/A26632413,53911,989
2023-12-26$139.92$125.0025.1%7.2%18.3%22.8%25.8%0.8%-0.1%3.2M-88.8M-291.2K1.3769.71N/AN/A39954513,66112,149
2023-12-27$139.58$125.0024.6%7.1%18.2%20.8%25.7%1.4%-0.0%3.2M-87.5M-300.5K2.1171.86N/AN/A34572813,86212,118
2023-12-28$140.24$125.0023.7%6.8%17.6%17.3%24.9%0.8%0.3%3.3M-89.9M-291.9K0.3363.74N/AN/A47315713,93512,195
2023-12-29$139.07$125.0023.2%6.7%18.2%15.4%26.1%1.5%0.5%3.3M-84.9M-298.0K0.9569.43N/AN/A26225014,11212,231