A Options History — November 2014

In November 2014, A traded between $40.13 and $42.75. ATM implied volatility averaged 30.7%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.7% (HV 20d: 23.0%). Max pain ranged from $40.00 to $52.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.16.

Notable Days

  • 2014-11-21: Highest Volume — 37,562 contracts
  • 2014-11-04: Largest IV spike — 463.1% change
  • 2014-11-07: Highest IV Rank — 100.0%
  • 2014-11-03: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.47$40.13$42.75$40.81$42.74
Max Pain$43.29$40.00$52.50$52.50$42.50
ATM IV30.7%6.0%66.4%6.0%24.1%
Expected Move9.8%6.6%23.0%23.0%7.6%
HV 20d23.0%20.2%28.4%28.4%21.0%
HV 60d21.7%21.3%22.6%21.8%21.8%
IV Rank42.0%0.0%100.0%0.0%30.0%
IV Percentile68.3%0.0%100.0%0.0%55.6%
Term Structure85.8%-101.7%222.9%-101.7%0.5%
VWIV28.2%14.1%46.0%46.0%26.5%
Skew 25d-13.6%-101.5%18.2%-58.1%0.8%
Skew 10d-32.6%-189.5%16.9%-66.3%2.3%
Call IV 25d47.9%16.3%150.2%64.1%24.9%
Put IV 25d34.3%6.0%58.2%6.0%25.6%
Bid-Ask Spread %22.1716.9133.0833.0827.10
Gamma HHI0.290.110.600.110.36
Net GEX710.1K-9.5M5.9M165.5K5.9M
Net DEX22.7M-80.9M119.3M36.8M-80.9M
Net VEX-349.0K-526.9K-120.9K-274.7K-474.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.075.910.710.44
Total Volume9,861.68413137,5624,407131
Total OI101,53440,300126,67495,98373,890

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$40.81$52.506.0%23.0%28.4%0.0%46.0%-58.1%-101.7%165.5K36.8M-274.7K0.7133.08N/AN/A2,5811,82660,64835,335
2014-11-04$40.17$52.5033.8%7.5%27.1%53.7%26.6%9.3%-28.0%-995.1K119.3M-120.9K0.9521.92N/AN/A17,97717,05359,78635,122
2014-11-05$40.13$42.5034.0%11.9%25.4%53.9%40.7%5.3%-31.0%891.3K45.4M-492.1K5.9118.45N/AN/A2,87716,98975,06349,767
2014-11-06$41.35$42.5030.9%7.4%26.0%48.1%31.5%-84.2%24.2%-2.7M97.6M-367.0K0.6617.81N/AN/A3,2532,13975,13049,934
2014-11-07$40.88$42.5066.4%11.6%24.7%100.0%44.6%-80.0%172.4%-9.5M24.8M-526.9K0.5318.21N/AN/A4,2192,25475,48649,895
2014-11-10$41.51$42.5037.1%7.6%23.7%51.5%31.5%3.9%169.6%-406.0K102.5M-364.3K0.6318.04N/AN/A3,4282,15876,67050,004
2014-11-11$41.65$42.5040.1%12.4%23.5%56.5%23.7%-101.5%192.5%609.1K85.0M-303.4K1.1217.86N/AN/A3,6284,07076,26949,917
2014-11-12$41.47$42.5041.0%11.8%22.6%58.0%27.1%1.4%185.3%558.2K56.0M-325.7K0.5418.58N/AN/A5,9933,23877,06343,851
2014-11-13$41.45$42.5051.0%6.6%22.5%74.5%23.6%-10.0%199.5%22.7K34.7M-343.4K1.3518.42N/AN/A3,3414,50179,93444,123
2014-11-14$41.57$42.5028.0%7.6%22.4%36.4%0.0%2.6%-2.6%831.1K-18.5M-268.2K1.8616.91N/AN/A29254320,71119,589
2014-11-17$41.31$42.5025.4%11.7%22.7%32.2%23.4%18.2%221.9%931.3K46.0M-307.2K1.0522.57N/AN/A3,2533,42278,29144,033
2014-11-18$40.90$42.5022.3%9.8%21.3%27.0%24.3%4.7%192.7%401.7K49.2M-305.8K1.5623.96N/AN/A2,2963,58379,80045,690
2014-11-19$40.80$40.0022.5%7.1%20.2%27.3%24.9%2.6%-0.1%-104.5K-9.2M-264.6K1.4520.31N/AN/A26538522,70222,530
2014-11-20$41.23$42.5029.4%9.7%20.2%38.8%21.7%13.5%222.9%745.3K30.0M-281.8K0.3527.77N/AN/A4,8111,70277,71539,796
2014-11-21$42.20$42.5024.0%10.3%21.4%29.7%14.1%0.5%207.3%2.3M-6.2M-354.9K0.2325.72N/AN/A30,6346,92880,38639,860
2014-11-24$42.25$40.0023.0%7.3%21.3%28.1%25.3%0.5%0.6%3.5M-47.0M-343.3K1.2923.23N/AN/A34844836,10818,920
2014-11-25$42.75$42.5020.3%7.7%21.3%23.6%26.5%10.4%3.4%4.4M-53.8M-434.9K0.0728.60N/AN/A24,2031,68266,21525,543
2014-11-26$42.74$42.5023.5%7.5%21.2%29.0%26.1%1.3%0.3%5.9M-79.6M-476.9K1.2922.59N/AN/A40351853,56219,808
2014-11-28$42.74$42.5024.1%7.6%21.0%30.0%26.5%0.8%0.5%5.9M-80.9M-474.0K0.4427.10N/AN/A914053,75020,140