A Options History — June 2024

In June 2024, A traded between $128.77 and $135.46. ATM implied volatility averaged 22.4%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 17.3% (HV 20d: 39.7%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.95.

Notable Days

  • 2024-06-24: Highest Volume — 9,253 contracts
  • 2024-06-12: Largest IV drop — 13.9% change
  • 2024-06-20: Highest IV Rank — 30.0%
  • 2024-06-20: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.52$128.77$135.46$131.74$128.77
Max Pain$136.32$135.00$140.00$135.00$135.00
ATM IV22.4%20.0%25.2%23.4%21.9%
Expected Move6.4%5.7%7.2%6.7%6.3%
HV 20d39.7%18.2%44.2%44.0%18.2%
HV 60d31.0%30.5%31.4%31.1%31.4%
IV Rank15.8%3.3%30.0%20.8%13.1%
IV Percentile14.3%0.8%40.9%20.2%7.9%
Term Structure1.0%-0.5%2.3%-0.5%2.3%
VWIV22.6%20.4%25.6%23.5%21.8%
Skew 25d1.8%1.1%4.6%1.3%1.6%
Skew 10d3.7%1.8%5.4%4.0%3.6%
Call IV 25d22.0%19.9%25.0%23.3%21.8%
Put IV 25d23.7%21.4%26.6%24.6%23.4%
Bid-Ask Spread %77.1059.1885.0566.2085.05
Gamma HHI0.260.200.320.220.30
Net GEX-967.7K-3.2M789.7K-1.6M-3.2M
Net DEX3.6M-21.7M44.7M9.7M44.7M
Net VEX-295.8K-365.8K-220.3K-230.8K-341.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.1610.720.670.59
Total Volume1,844.4742419,2531,1901,659
Total OI24,731.47419,08632,81319,08626,604

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$131.74$135.0023.4%6.7%44.0%20.8%23.5%1.3%-0.5%-1.6M9.7M-230.8K0.6766.20N/AN/A71147910,8158,271
2024-06-04$131.18$135.0022.3%6.4%43.7%15.1%22.2%2.1%0.0%-1.5M10.3M-220.3K1.9969.88N/AN/A30360211,2538,294
2024-06-05$133.30$135.0021.5%6.2%44.2%11.1%22.3%1.3%-0.4%-1.1M1.3M-233.4K0.6559.18N/AN/A46530411,3768,511
2024-06-06$133.13$140.0020.6%5.9%43.9%6.5%21.1%1.8%1.3%-1.0M1.3M-235.6K0.5578.29N/AN/A48026411,6508,576
2024-06-07$133.03$140.0020.0%5.8%43.4%3.5%20.4%1.9%1.9%-1.0M2.2M-237.3K0.3579.14N/AN/A2157611,9978,689
2024-06-10$133.23$140.0021.8%6.1%40.9%12.4%20.8%1.8%1.4%-869.0K-719.2K-234.1K0.1681.12N/AN/A1,30221112,1258,724
2024-06-11$132.43$140.0023.2%6.2%40.7%20.0%21.5%4.6%1.4%-575.2K139.4K-248.5K0.4083.86N/AN/A1726913,2038,809
2024-06-12$132.99$140.0020.0%5.7%39.1%3.3%20.4%1.1%1.9%-336.6K-2.3M-247.0K1.0882.54N/AN/A29131513,2888,841
2024-06-13$130.81$135.0022.3%6.4%38.1%14.9%22.5%1.9%1.2%62.5K440.8K-263.7K10.7279.36N/AN/A4614,94415,2278,816
2024-06-14$129.87$135.0022.4%6.4%37.9%15.6%22.4%1.7%1.3%-3.2M26.8M-315.3K1.1378.51N/AN/A15017015,20712,718
2024-06-17$131.83$135.0022.8%6.5%38.7%17.9%22.7%1.3%1.5%-2.1M12.1M-311.5K0.8577.25N/AN/A1,3231,12915,25312,768
2024-06-18$134.55$135.0024.8%7.1%40.0%28.2%25.3%1.9%0.4%144.5K-14.0M-346.8K0.7977.09N/AN/A1,7071,34916,32013,767
2024-06-20$133.09$135.0025.2%7.2%40.0%30.0%25.6%1.6%-0.2%-803.4K-6.0M-363.3K0.2274.23N/AN/A1,56234217,36914,788
2024-06-21$133.51$135.0023.5%6.7%40.1%21.4%24.4%1.8%0.7%334.5K-7.6M-359.8K2.9275.58N/AN/A3541,03317,83814,975
2024-06-24$135.46$135.0023.1%6.6%40.6%19.2%23.4%1.2%0.5%789.7K-21.7M-349.9K0.9378.30N/AN/A4,8054,44812,18912,606
2024-06-25$135.04$135.0022.8%6.5%40.6%17.6%22.8%1.4%0.9%585.9K-17.5M-362.9K1.1080.22N/AN/A22124312,95113,222
2024-06-26$132.87$135.0022.1%6.3%40.5%14.0%23.8%1.4%1.2%-859.8K5.0M-365.8K10.1677.46N/AN/A2102,13313,06213,408
2024-06-27$131.04$135.0022.2%6.4%40.5%14.8%22.6%1.2%1.7%-2.1M25.0M-352.1K1.7081.57N/AN/A20134213,11313,275
2024-06-28$128.77$135.0021.9%6.3%18.2%13.1%21.8%1.6%2.3%-3.2M44.7M-341.3K0.5985.05N/AN/A1,04661313,19013,414