A Options History — September 2024

In September 2024, A traded between $136.26 and $148.03. ATM implied volatility averaged 24.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.8% (HV 20d: 17.2%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2024-09-26: Highest Volume — 4,811 contracts
  • 2024-09-11: Largest IV drop — 13.0% change
  • 2024-09-06: Highest IV Rank — 37.5%
  • 2024-09-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.92$136.26$148.03$138.45$148.03
Max Pain$140.50$140.00$145.00$140.00$145.00
ATM IV24.0%22.0%27.0%24.7%23.9%
Expected Move6.8%6.3%7.4%7.1%6.8%
HV 20d17.2%12.6%24.7%21.0%24.7%
HV 60d23.6%22.9%24.7%23.8%24.7%
IV Rank21.3%10.6%37.5%27.5%20.6%
IV Percentile26.5%5.2%65.1%34.5%26.2%
Term Structure1.3%-1.2%2.0%-0.8%1.7%
VWIV23.9%21.4%25.9%25.9%25.4%
Skew 25d2.7%2.2%3.1%2.8%2.8%
Skew 10d5.5%4.1%6.6%4.2%6.1%
Call IV 25d22.8%21.1%24.7%24.0%23.6%
Put IV 25d25.4%23.4%27.3%26.7%26.4%
Bid-Ask Spread %73.9268.0781.8968.2978.79
Gamma HHI0.220.140.810.190.16
Net GEX1.6M-405.7K17.0M1.1M851.0K
Net DEX-23.5M-49.1M-4.1M-21.9M-43.1M
Net VEX-276.4K-316.9K-251.4K-290.1K-316.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.053.761.480.05
Total Volume942.851414,8111,9861,714
Total OI19,059.314,05921,12819,10419,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$138.45$140.0024.7%7.1%21.0%27.5%25.9%2.8%-0.8%1.1M-21.9M-290.1K1.4868.29N/AN/A8021,18410,2208,884
2024-09-04$137.84$140.0025.1%7.2%19.4%29.8%25.2%2.7%-1.2%238.3K-16.1M-295.6K0.9968.36N/AN/A5665629,9879,612
2024-09-05$138.44$140.0025.0%6.9%17.3%26.7%23.9%2.6%1.5%160.6K-16.5M-301.0K0.2868.07N/AN/A1103110,14210,028
2024-09-06$137.31$140.0027.0%7.4%16.1%37.5%24.6%2.9%2.0%-230.5K-10.3M-300.7K1.8369.47N/AN/A14326110,1639,999
2024-09-09$137.39$140.0026.3%7.2%16.1%33.3%24.6%2.6%1.5%-6.3K-11.7M-280.2K0.4271.33N/AN/A1064410,1149,836
2024-09-10$137.41$140.0026.8%7.2%15.3%36.0%24.4%3.0%1.4%-11.6K-11.4M-279.5K2.2170.05N/AN/A10022110,1679,846
2024-09-11$137.81$140.0023.3%6.7%14.4%17.5%23.6%2.6%1.8%138.4K-12.8M-274.5K1.0170.30N/AN/A19419510,1899,906
2024-09-12$136.26$140.0024.0%6.9%14.9%21.5%24.2%3.1%1.5%-405.7K-4.1M-269.4K0.8170.38N/AN/A44335810,2619,854
2024-09-13$137.00$140.0023.6%6.8%12.6%19.1%23.1%2.7%1.7%254.5K-9.8M-271.1K0.5276.44N/AN/A1306810,4229,823
2024-09-16$138.60$140.0022.7%6.5%13.3%14.6%23.2%3.0%1.9%1.4M-20.4M-258.2K0.2073.35N/AN/A89917710,4379,829
2024-09-17$138.22$140.0023.2%6.6%13.3%17.0%23.7%2.9%1.3%1.7M-20.0M-263.6K0.5373.20N/AN/A965111,0869,864
2024-09-18$139.05$140.0023.3%6.7%13.4%17.5%23.4%2.6%1.2%2.8M-25.1M-258.0K0.5977.91N/AN/A38322611,1069,855
2024-09-19$141.88$140.0022.0%6.3%15.2%10.6%21.4%2.4%1.9%3.7M-49.1M-253.1K0.3675.07N/AN/A63222511,1239,981
2024-09-20$140.22$140.0022.4%6.4%15.8%12.7%23.3%2.3%1.5%17.0M-41.4M-251.4K1.4676.94N/AN/A45566411,10810,020
2024-09-23$139.33$140.0022.1%6.3%15.9%11.4%24.3%2.7%1.7%355.3K-21.0M-251.8K1.9181.89N/AN/A2955637,1376,922
2024-09-24$141.67$140.0023.0%6.6%17.0%16.2%22.6%2.2%1.5%710.8K-27.7M-264.2K0.2378.33N/AN/A6091427,3337,201
2024-09-25$139.45$140.0023.3%6.7%17.9%17.5%22.9%2.3%1.2%466.2K-21.4M-265.0K0.5877.48N/AN/A2211297,5677,247
2024-09-26$146.15$140.0024.2%6.9%24.6%22.2%24.3%2.3%1.3%1.4M-42.7M-267.1K3.7675.25N/AN/A1,0103,8017,7447,355
2024-09-27$147.81$145.0023.2%6.7%24.7%17.2%23.9%2.6%1.9%682.5K-43.2M-316.9K0.2677.41N/AN/A8342138,34410,962
2024-09-30$148.03$145.0023.9%6.8%24.7%20.6%25.4%2.8%1.7%851.0K-43.1M-316.4K0.0578.79N/AN/A1,636788,46111,051