A Options History — January 2024

In January 2024, A traded between $128.00 and $138.38. ATM implied volatility averaged 26.7%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.7% (HV 20d: 25.1%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2024-01-05: Highest Volume — 9,439 contracts
  • 2024-01-09: Largest IV drop — 11.5% change
  • 2024-01-08: Highest IV Rank — 50.1%
  • 2024-01-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.25$128.00$138.38$138.38$130.44
Max Pain$123.10$115.00$125.00$125.00$125.00
ATM IV26.7%24.9%32.0%24.9%26.2%
Expected Move7.5%7.1%7.8%7.1%7.5%
HV 20d25.1%18.4%27.9%18.4%27.3%
HV 60d30.3%28.9%31.8%29.7%29.6%
IV Rank29.3%21.9%50.1%21.9%27.0%
IV Percentile51.0%31.3%87.3%31.3%50.4%
Term Structure1.6%-1.3%3.4%-0.7%3.4%
VWIV26.2%24.5%28.2%25.3%26.3%
Skew 25d2.2%1.1%3.1%1.1%1.6%
Skew 10d5.4%2.7%7.9%2.7%5.4%
Call IV 25d25.4%24.3%26.8%24.9%25.9%
Put IV 25d27.7%26.0%28.9%26.0%27.5%
Bid-Ask Spread %72.0149.4078.9672.0574.51
Gamma HHI0.250.160.380.240.20
Net GEX2.3M-1.7M9.4M3.2M964.2K
Net DEX-46.2M-95.2M-24.9M-83.2M-28.4M
Net VEX-282.6K-385.2K-248.0K-283.7K-257.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.045.191.120.51
Total Volume1,576.9521179,439347317
Total OI29,632.90516,65543,57726,42318,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$138.38$125.0024.9%7.1%18.4%21.9%25.3%1.1%-0.7%3.2M-83.2M-283.7K1.1272.05N/AN/A16418314,15112,272
2024-01-03$131.42$125.0027.2%7.8%26.8%31.1%28.2%1.8%-1.3%1.5M-48.8M-283.5K5.1967.98N/AN/A4492,33114,09212,352
2024-01-04$131.00$115.0028.2%7.7%26.7%35.2%26.6%3.1%1.0%643.0K-43.1M-295.3K0.0467.94N/AN/A5,40519714,29713,839
2024-01-05$130.68$115.0030.1%7.8%26.3%42.7%26.9%3.0%1.0%3.4M-53.9M-327.1K0.4673.44N/AN/A6,4862,95318,82113,882
2024-01-08$133.00$115.0032.0%7.5%27.0%50.1%26.8%2.5%0.9%9.4M-95.2M-385.2K0.2672.98N/AN/A1,26433325,63216,625
2024-01-09$130.30$120.0028.3%7.6%27.8%35.5%26.8%2.2%0.8%6.9M-61.8M-349.7K0.2570.72N/AN/A2,94674826,67216,905
2024-01-10$130.70$120.0025.9%7.4%27.6%25.9%26.1%2.1%1.2%4.6M-54.3M-318.1K0.4071.86N/AN/A99939822,61717,271
2024-01-11$129.39$125.0025.4%7.3%27.9%23.9%25.4%2.3%1.7%2.5M-38.5M-301.7K0.7072.63N/AN/A22015522,85317,281
2024-01-12$130.23$125.0025.3%7.3%24.3%23.6%26.0%2.0%2.1%3.5M-48.8M-293.5K0.6271.80N/AN/A52332522,88917,120
2024-01-16$130.44$125.0026.3%7.5%22.5%27.5%26.1%2.1%1.6%3.0M-46.1M-266.3K0.8976.73N/AN/A19217023,17917,078
2024-01-17$128.00$125.0026.0%7.5%23.3%26.4%25.9%2.6%1.6%-1.7M-24.9M-251.9K1.4875.41N/AN/A24636323,19617,120
2024-01-18$130.30$125.0025.9%7.4%24.0%25.8%26.0%2.4%2.7%264.0K-46.3M-248.0K0.5177.62N/AN/A37119123,22916,905
2024-01-19$131.00$125.0025.3%7.2%23.7%23.4%24.5%2.4%2.9%-542.2K-56.2M-249.6K0.2749.40N/AN/A1,31935323,41817,034
2024-01-22$132.47$125.0026.7%7.7%24.2%29.3%26.1%2.4%1.6%1.1M-35.1M-257.1K0.5178.67N/AN/A8804497,9198,736
2024-01-23$131.50$125.0026.0%7.5%24.2%26.3%25.5%2.6%2.2%1.4M-34.8M-264.1K1.1478.96N/AN/A1271458,5788,920
2024-01-24$129.62$125.0026.2%7.5%24.5%27.1%26.3%2.4%2.2%1.2M-29.0M-262.3K0.7156.58N/AN/A2411718,6489,027
2024-01-25$129.98$125.0026.5%7.6%24.5%28.5%26.4%1.8%2.1%1.2M-30.1M-262.0K0.7577.45N/AN/A67508,6179,116
2024-01-26$130.88$125.0025.7%7.4%24.8%25.3%25.5%1.8%2.6%1.3M-32.0M-261.0K0.8878.13N/AN/A108958,6099,134
2024-01-29$132.45$125.0027.4%7.8%25.2%31.8%27.5%2.3%2.2%1.6M-37.3M-258.5K1.8376.23N/AN/A1723148,6809,164
2024-01-30$134.11$125.0026.2%7.5%25.7%27.3%27.0%2.4%2.3%1.9M-43.0M-258.7K1.0471.23N/AN/A3413558,7119,343
2024-01-31$130.44$125.0026.2%7.5%27.3%27.0%26.3%1.6%3.4%964.2K-28.4M-257.7K0.5174.51N/AN/A2101078,7779,582