A Options History — November 2013

In November 2013, A traded between $35.80 and $39.29. ATM implied volatility averaged 29.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.0% (HV 20d: 26.4%). Max pain ranged from $37.55 to $41.13. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-11-15: Highest Volume — 38,565 contracts
  • 2013-11-14: Largest IV drop — 47.9% change
  • 2013-11-13: Highest IV Rank — 77.5%
  • 2013-11-14: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.48$35.80$39.29$36.55$38.32
Max Pain$39.70$37.55$41.13$39.34$41.13
ATM IV29.4%19.6%54.3%32.0%20.9%
Expected Move8.1%7.9%8.8%8.1%8.1%
HV 20d26.4%17.1%34.8%20.5%33.6%
HV 60d21.6%18.0%25.1%18.2%24.9%
IV Rank25.5%5.0%77.5%31.0%7.8%
IV Percentile53.7%2.8%98.4%89.7%11.9%
Term Structure-0.8%-6.0%0.7%-6.0%0.4%
VWIV29.6%25.5%34.8%29.2%34.4%
Skew 25d3.0%1.8%4.3%3.2%2.1%
Skew 10d6.1%3.1%7.6%7.3%3.8%
Call IV 25d22.6%19.5%30.3%30.3%19.7%
Put IV 25d25.6%21.3%33.6%33.6%21.8%
Bid-Ask Spread %4.843.6712.663.956.05
Gamma HHI0.250.180.940.200.21
Net GEX6.7M2.1M62.0M5.1M2.6M
Net DEX-92.9M-214.4M-51.3M-113.6M-63.6M
Net VEX-403.2K-474.8K-289.1K-462.4K-473.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.072.611.130.46
Total Volume6,895.629138,5653,257291
Total OI121,11383,980156,372145,202101,035

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$36.55$39.3432.0%8.1%20.5%31.0%29.2%3.2%-6.0%5.1M-113.6M-462.4K1.133.95N/AN/A1,5281,72977,27267,930
2013-11-04$36.63$39.3435.0%8.0%20.0%37.1%29.2%3.8%-1.3%4.9M-111.3M-459.1K0.594.18N/AN/A46027077,23368,709
2013-11-05$36.63$39.3435.6%8.1%18.6%38.4%0.0%3.9%-1.3%4.8M-111.8M-443.4K0.154.83N/AN/A1,68325977,16568,699
2013-11-06$36.51$39.3435.8%8.0%18.6%38.8%0.0%4.0%-1.1%4.9M-107.5M-436.8K1.153.98N/AN/A46853778,34768,738
2013-11-07$35.80$39.3435.9%8.0%18.5%38.9%25.5%3.8%-1.2%4.4M-84.4M-433.2K0.603.90N/AN/A1,14869178,38468,969
2013-11-08$36.32$39.3436.0%8.1%18.9%39.3%30.7%4.1%-1.1%4.7M-100.5M-416.8K0.433.96N/AN/A1,88080078,52469,100
2013-11-11$36.70$39.3441.5%7.9%19.3%50.8%28.0%3.8%-1.0%5.2M-115.7M-384.6K0.084.62N/AN/A12,6641,04678,12069,183
2013-11-12$36.62$37.5543.5%8.0%19.0%54.8%26.2%4.3%-1.1%4.6M-103.4M-374.3K1.105.41N/AN/A2,4522,69073,44469,225
2013-11-13$36.62$37.5554.3%8.0%18.4%77.5%32.1%3.6%-1.5%4.8M-106.2M-368.9K0.174.10N/AN/A7,9361,34573,60269,230
2013-11-14$36.15$37.5528.3%8.8%17.1%23.2%0.0%4.0%-2.8%4.8M-93.6M-375.9K1.5612.66N/AN/A8,84513,76875,98068,554
2013-11-15$39.29$37.5521.3%8.0%34.8%8.6%27.5%2.0%-0.0%62.0M-214.4M-289.1K0.315.14N/AN/A29,5489,01778,72377,649
2013-11-18$38.66$39.3421.9%8.1%34.6%9.8%28.0%2.5%-0.2%3.0M-74.5M-374.2K1.084.79N/AN/A2,9763,20443,04040,940
2013-11-19$38.50$41.1321.5%8.1%33.8%9.0%0.0%2.4%-0.1%2.8M-69.4M-396.8K0.433.67N/AN/A56624244,22443,209
2013-11-20$38.29$41.1322.2%8.3%33.7%10.5%0.0%2.4%-0.1%2.8M-65.2M-396.8K0.074.40N/AN/A3,97527544,52643,110
2013-11-21$38.70$41.1321.0%8.1%33.7%8.0%0.0%2.3%-0.1%3.1M-73.4M-386.7K0.845.23N/AN/A61551944,57543,179
2013-11-22$38.52$41.1320.2%8.1%33.5%6.3%34.8%2.1%0.3%3.1M-69.6M-386.4K0.163.73N/AN/A5,06282544,85843,538
2013-11-25$37.99$41.1321.3%8.2%33.9%8.6%34.4%2.2%0.2%2.1M-51.3M-368.6K0.464.50N/AN/A1,24456842,07643,980
2013-11-26$38.38$41.1320.7%8.2%34.0%7.4%0.0%2.0%0.7%2.4M-60.3M-362.5K0.953.92N/AN/A8,3227,92942,06444,340
2013-11-27$38.49$41.1319.6%8.0%33.7%5.0%0.0%1.8%0.5%2.8M-68.4M-474.8K2.613.72N/AN/A14838749,45051,336
2013-11-29$38.32$41.1320.9%8.1%33.6%7.8%0.0%2.1%0.4%2.6M-63.6M-473.6K0.466.05N/AN/A1999249,49651,539