ATS Options History — November 2023 In November 2023, ATS traded between $33.30 and $39.70. ATM implied volatility averaged 41.7%. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 3.2% (HV 20d: 44.8%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-11-16 : Highest Volume — 9 contracts2023-11-20 : Largest IV spike — 63.8% change2023-11-28 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $37.31 $33.30 $39.70 $33.34 $39.70 ATM IV 41.7% 24.5% 59.8% 49.1% 46.6% Expected Move 11.0% 7.0% 14.9% 14.1% 13.4% HV 20d 44.8% 29.3% 53.4% 31.3% 45.2% Term Structure -7.6% -15.9% 8.0% -11.9% -12.7% Skew 25d -3.2% -31.0% 24.8% -28.1% -6.3% Skew 10d -1.6% -63.6% 23.4% -63.6% 7.1% Call IV 25d 45.2% 26.2% 82.3% 82.3% 60.0% Put IV 25d 41.9% 25.5% 60.7% 54.2% 53.7% Bid-Ask Spread % 118.49 97.52 127.98 125.17 124.74 Gamma HHI 0.88 0.71 1.00 1.00 0.71 Net GEX 415 67 881 68 881 Net DEX -10.5K -23.7K -1.2K -1.2K -23.5K Net VEX -54 -107 -12 -12 -105 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.429 0 9 0 0 Total OI 5.857 2 11 2 11
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-11-01 $33.34 $0.00 49.1% 14.1% 0.0% 0.0% 0.0% -28.1% -11.9% 68 -1.2K -12 0.00 125.17 N/A N/A 0 0 2 0 2023-11-02 $33.30 $0.00 50.7% 10.8% 0.0% 0.0% 0.0% 0.8% -2.0% 67 -1.2K -12 0.00 121.91 N/A N/A 0 0 2 0 2023-11-03 $34.39 $0.00 54.7% 11.7% 31.3% 0.0% 0.0% 7.4% -1.7% 81 -1.3K -13 0.00 119.94 N/A N/A 0 0 2 0 2023-11-06 $34.24 $0.00 59.7% 11.1% 30.3% 0.0% 0.0% 3.8% -4.3% 74 -1.2K -12 0.00 121.32 N/A N/A 0 0 2 0 2023-11-07 $34.03 $0.00 59.8% 11.4% 29.3% 0.0% 0.0% 15.3% -4.3% 75 -1.2K -12 0.00 119.55 N/A N/A 0 0 2 0 2023-11-08 $37.25 $0.00 35.3% 10.1% 46.6% 0.0% 0.0% -8.5% -6.9% 106 -1.8K -16 0.00 123.12 N/A N/A 0 0 2 0 2023-11-09 $35.52 $0.00 38.4% 11.0% 48.1% 0.0% 0.0% 24.8% -12.3% 93 -1.4K -13 0.00 123.09 N/A N/A 0 0 2 0 2023-11-10 $36.93 $0.00 41.1% 11.8% 49.4% 0.0% 0.0% 5.2% -8.4% 114 -1.8K -16 0.00 123.39 N/A N/A 0 0 2 0 2023-11-13 $36.50 $0.00 41.1% 11.8% 49.4% 0.0% 0.0% 17.5% -15.9% 108 -1.6K -14 0.00 121.31 N/A N/A 0 0 2 0 2023-11-14 $38.54 $0.00 36.3% 10.4% 53.4% 0.0% 0.0% -27.3% -10.6% 135 -2.4K -18 0.00 121.86 N/A N/A 0 0 2 0 2023-11-15 $38.73 $0.00 34.6% 9.9% 47.8% 0.0% 0.0% -30.1% -9.8% 132 -2.5K -18 0.00 118.89 N/A N/A 0 0 2 0 2023-11-16 $38.99 $0.00 35.9% 10.3% 47.8% 0.0% 0.0% -31.0% -11.7% 145 -2.4K -18 0.00 123.34 N/A N/A 9 0 2 0 2023-11-17 $38.59 $0.00 24.5% 7.0% 47.5% 0.0% 0.0% -0.7% 1.3% 872 -19.9K -107 0.00 106.14 N/A N/A 0 0 11 0 2023-11-20 $38.87 $0.00 40.1% 11.5% 47.4% 0.0% 0.0% -4.7% -10.3% 783 -21.5K -107 0.00 97.52 N/A N/A 0 0 11 0 2023-11-21 $38.88 $0.00 32.0% 9.2% 47.4% 0.0% 0.0% -1.0% -7.1% 806 -21.9K -106 0.00 110.11 N/A N/A 0 0 11 0 2023-11-22 $39.08 $0.00 28.0% 8.0% 47.2% 0.0% 0.0% 0.4% 8.0% 821 -23.0K -106 0.00 112.75 N/A N/A 0 0 11 0 2023-11-24 $39.36 $0.00 32.9% 9.4% 46.0% 0.0% 0.0% -2.5% -0.5% 837 -23.7K -107 0.00 116.13 N/A N/A 0 0 11 0 2023-11-27 $39.33 $0.00 42.6% 12.2% 46.1% 0.0% 0.0% 3.8% -12.7% 838 -23.2K -106 0.00 113.51 N/A N/A 0 0 11 0 2023-11-28 $39.08 $0.00 52.0% 14.9% 46.1% 0.0% 0.0% -1.1% -13.3% 819 -22.6K -104 0.00 116.40 N/A N/A 0 0 11 0 2023-11-29 $38.91 $0.00 39.3% 11.3% 45.3% 0.0% 0.0% -5.9% -12.8% 866 -21.8K -104 0.00 127.98 N/A N/A 0 0 11 0 2023-11-30 $39.70 $0.00 46.6% 13.4% 45.2% 0.0% 0.0% -6.3% -12.7% 881 -23.5K -105 0.00 124.74 N/A N/A 0 0 11 0
« Oct 2023 | All History | Dec 2023 » Home ATS History November 2023