A Options History — November 2015

In November 2015, A traded between $36.77 and $41.97. ATM implied volatility averaged 33.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.6% (HV 20d: 19.8%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-11-24: Highest Volume — 52,288 contracts
  • 2015-11-11: Largest IV drop — 22.0% change
  • 2015-11-02: Highest IV Rank — 16.2%
  • 2015-11-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$36.77$41.97$38.54$41.82
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV33.4%29.0%40.5%37.0%31.9%
Expected Move9.1%8.3%10.6%10.6%9.1%
HV 20d19.8%15.9%23.0%19.7%23.0%
HV 60d25.9%23.6%27.5%27.5%23.6%
IV Rank9.8%6.9%16.2%16.2%8.5%
IV Percentile65.4%44.8%90.9%81.7%61.5%
Term Structure-1.3%-7.5%3.7%-7.5%-0.1%
VWIV32.9%29.1%38.6%38.6%32.5%
Skew 25d-0.8%-4.8%1.7%-4.8%-3.7%
Skew 10d1.1%-6.8%6.3%-3.0%-6.3%
Call IV 25d33.4%30.2%41.2%41.2%34.7%
Put IV 25d32.6%29.3%37.8%36.3%31.0%
Bid-Ask Spread %62.9831.6692.4268.6192.04
Gamma HHI0.370.310.550.330.46
Net GEX4.0M755.1K11.8M3.3M11.8M
Net DEX-55.7M-238.8M15.3M-28.5M-233.6M
Net VEX-268.6K-577.5K-154.1K-254.2K-562.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.041.010.400.32
Total Volume8,537.8514552,2882,8731,741
Total OI85,950.143,062114,77082,041113,304

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$38.54$37.5037.0%10.6%19.7%16.2%38.6%-4.8%-7.5%3.3M-28.5M-254.2K0.4068.61N/AN/A2,05481961,91320,128
2015-11-03$38.35$37.5036.8%10.5%19.0%16.1%35.4%-1.5%-5.8%3.2M-26.3M-249.9K0.4466.96N/AN/A1,45063862,05820,156
2015-11-04$38.31$37.5036.1%10.4%18.4%10.8%38.0%-2.4%-5.5%3.1M-24.9M-245.6K0.5467.61N/AN/A1,26168362,07120,192
2015-11-05$38.30$37.5037.6%8.9%18.1%11.6%30.5%1.2%-1.5%3.1M-23.9M-240.2K1.0134.69N/AN/A1,0191,02962,12920,278
2015-11-06$38.14$37.5036.5%8.6%18.2%11.0%36.4%1.4%-0.7%2.7M-20.1M-227.8K0.9946.92N/AN/A737260,94719,945
2015-11-09$37.92$37.5040.5%8.9%18.2%13.2%31.3%0.8%-1.0%2.5M-15.2M-206.5K0.1338.85N/AN/A6869060,93520,017
2015-11-10$37.92$37.5040.1%8.7%17.5%13.0%32.1%0.9%-1.2%2.4M-12.3M-202.4K0.5239.44N/AN/A1,41574162,27020,796
2015-11-11$38.03$37.5031.3%9.0%15.9%8.1%32.8%0.9%-2.3%2.7M-16.8M-203.2K0.5360.95N/AN/A1,41574662,34120,891
2015-11-12$37.47$37.5031.5%9.0%16.4%8.3%31.1%1.5%-2.3%1.5M1.3M-178.0K0.3233.43N/AN/A2,24972462,39220,896
2015-11-13$36.77$37.5032.0%9.2%18.0%8.5%33.1%0.6%-1.8%755.1K15.3M-157.5K0.2431.66N/AN/A2,96571662,01020,987
2015-11-16$37.33$37.5034.1%9.8%18.4%9.7%35.2%0.9%-2.7%1.5M-89.7K-155.8K0.7134.46N/AN/A2,3531,66660,49620,282
2015-11-17$38.41$37.5030.8%8.8%20.7%7.8%30.7%1.2%0.1%1.9M-14.5M-154.1K0.1880.76N/AN/A7,5361,35161,97022,537
2015-11-18$39.32$37.5029.0%8.3%21.0%6.9%30.4%1.7%1.1%5.6M-44.0M-172.4K0.6070.74N/AN/A5,5283,33964,82722,651
2015-11-19$38.53$37.5031.0%8.9%22.8%7.9%31.3%-0.9%-0.3%1.5M-20.0M-182.1K0.1963.33N/AN/A10,9092,10467,66224,956
2015-11-20$39.28$37.5029.5%8.5%21.6%7.1%29.1%-1.5%1.0%2.3M-40.7M-211.5K0.2765.73N/AN/A7,0101,90573,98526,145
2015-11-23$40.03$37.5031.1%8.9%21.9%8.0%31.4%-1.1%3.7%2.5M-48.1M-231.2K0.0492.18N/AN/A33,1311,45832,78010,282
2015-11-24$40.67$37.5031.0%8.9%22.3%8.0%32.6%-3.0%2.0%6.0M-116.5M-385.7K0.0592.42N/AN/A49,6572,63159,29711,308
2015-11-25$41.34$37.5029.9%8.6%22.5%7.4%31.6%-3.6%0.4%10.8M-206.2M-573.9K0.2090.60N/AN/A12,0202,40994,34114,057
2015-11-27$41.97$37.5031.1%8.9%22.8%8.0%33.2%-3.9%-2.1%11.3M-238.8M-577.5K0.3688.26N/AN/A2,33383199,68215,088
2015-11-30$41.82$37.5031.9%9.1%23.0%8.5%32.5%-3.7%-0.1%11.8M-233.6M-562.2K0.3292.04N/AN/A1,31642598,90214,402