ATS Options History — November 2024

In November 2024, ATS traded between $28.32 and $32.63. ATM implied volatility averaged 64.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 26.9% (HV 20d: 37.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2024-11-11: Highest Volume — 120 contracts
  • 2024-11-14: Largest IV spike — 101.6% change
  • 2024-11-12: Highest IV Rank — 64.3%
  • 2024-11-21: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.78$28.32$32.63$30.51$32.63
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV64.6%30.0%159.4%54.2%40.2%
Expected Move14.3%8.6%19.7%15.5%11.5%
HV 20d37.7%31.0%47.5%31.0%47.5%
HV 60d36.7%33.5%40.7%34.1%40.7%
IV Rank21.4%5.8%64.3%16.8%10.4%
IV Percentile75.9%26.6%99.2%77.8%48.0%
Term Structure-12.2%-38.8%26.4%-5.8%-24.0%
VWIV35.7%25.3%46.6%46.6%35.3%
Skew 25d1.9%-29.3%40.5%18.4%-29.3%
Skew 10d5.3%-12.0%77.2%1.9%-12.0%
Call IV 25d42.4%18.8%77.1%42.4%50.4%
Put IV 25d44.3%21.1%75.9%60.7%21.1%
Bid-Ask Spread %122.91114.61128.29122.40116.28
Gamma HHI0.730.670.770.760.73
Net GEX70.3K58.1K99.8K72.1K97.8K
Net DEX-1.5M-2.7M-1.1M-1.7M-2.7M
Net VEX-13.3K-15.5K-11.8K-14.1K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.500.000.50
Total Volume19012003
Total OI1,989.651,9042,0611,9042,061

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$30.51$25.0054.2%15.5%31.0%16.8%0.0%18.4%-5.8%72.1K-1.7M-14.1K0.00122.40N/AN/A001,691213
2024-11-04$30.11$25.0059.1%8.8%31.4%19.0%0.0%0.2%9.4%68.1K-1.6M-13.8K0.00117.05N/AN/A10501,691213
2024-11-05$30.73$25.0065.1%12.2%32.1%21.7%0.0%2.4%-9.2%70.2K-1.7M-13.9K0.00114.61N/AN/A011,691213
2024-11-06$28.99$25.0095.8%12.6%38.0%35.6%0.0%-1.2%9.3%59.9K-1.3M-12.5K0.00122.84N/AN/A2001,691214
2024-11-07$29.12$25.0056.3%11.4%37.8%17.7%0.0%40.5%0.9%62.3K-1.1M-12.2K0.00126.21N/AN/A001,706214
2024-11-08$28.85$25.0074.8%16.3%36.5%26.1%0.0%0.4%-19.2%59.7K-1.1M-11.9K0.00124.44N/AN/A1001,706214
2024-11-11$28.86$25.00107.3%14.8%36.4%40.8%0.0%-1.2%1.4%58.1K-1.1M-11.8K0.00127.17N/AN/A12001,706214
2024-11-12$28.32$25.00159.4%16.5%36.7%64.3%0.0%-13.0%-32.1%58.5K-1.3M-12.6K0.00122.72N/AN/A001,826214
2024-11-13$29.18$25.0030.0%8.6%37.5%5.8%0.0%-12.0%-11.4%67.9K-1.3M-12.9K0.00126.49N/AN/A901,826214
2024-11-14$28.67$25.0060.6%17.4%37.5%19.6%0.0%-5.6%-13.6%68.7K-1.3M-13.1K0.20127.31N/AN/A511,835214
2024-11-15$28.39$25.0032.1%9.2%34.5%6.7%0.0%0.1%26.4%60.0K-1.3M-12.9K0.00123.02N/AN/A001,840214
2024-11-18$29.09$25.0049.1%14.1%35.9%14.4%46.6%-8.6%-15.2%63.4K-1.4M-13.4K0.00125.40N/AN/A1501,787208
2024-11-19$29.23$25.0060.0%17.2%36.0%19.4%0.0%5.2%6.3%66.4K-1.6M-14.0K0.00123.49N/AN/A001,802208
2024-11-20$29.51$25.0067.2%19.3%36.0%22.6%0.0%1.8%-24.7%69.6K-1.4M-13.2K0.00128.29N/AN/A001,802208
2024-11-21$29.17$25.0068.7%19.7%34.7%23.3%0.0%-0.8%-17.8%65.0K-1.4M-12.9K0.00123.64N/AN/A001,802208
2024-11-22$30.66$25.0048.8%14.0%39.2%14.3%25.3%26.0%-27.4%77.4K-1.6M-13.8K0.10118.90N/AN/A2021,802208
2024-11-25$32.02$25.0054.2%15.5%42.0%16.8%35.3%12.5%-22.9%99.8K-2.2M-14.9K0.00117.55N/AN/A6801,807210
2024-11-26$30.25$25.0053.3%15.3%46.0%16.3%0.0%-10.4%-38.8%74.6K-1.5M-12.9K0.00125.32N/AN/A001,850210
2024-11-27$31.33$25.0055.2%15.8%46.4%17.2%0.0%12.7%-36.4%85.8K-2.0M-14.4K0.00124.99N/AN/A101,850210
2024-11-29$32.63$25.0040.2%11.5%47.5%10.4%0.0%-29.3%-24.0%97.8K-2.7M-15.5K0.50116.28N/AN/A211,851210