A Options History — November 2016

In November 2016, A traded between $43.46 and $47.04. ATM implied volatility averaged 28.2%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.6% (HV 20d: 25.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-11-15: Highest Volume — 10,828 contracts
  • 2016-11-09: Largest IV drop — 34.6% change
  • 2016-11-08: Highest IV Rank — 72.2%
  • 2016-11-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.99$43.46$47.04$43.50$44.04
Max Pain$44.76$42.50$45.00$45.00$45.00
ATM IV28.2%20.8%42.5%34.8%20.9%
Expected Move7.5%6.0%10.0%10.0%6.0%
HV 20d25.6%20.7%28.9%26.2%24.3%
HV 60d23.7%23.0%24.6%23.1%24.6%
IV Rank35.0%15.9%72.2%52.2%16.0%
IV Percentile58.5%24.6%98.0%90.9%25.8%
Term Structure-3.3%-8.8%0.4%-6.5%-2.0%
VWIV27.3%22.0%32.2%30.9%25.2%
Skew 25d4.2%2.6%6.5%6.5%2.6%
Skew 10d10.0%6.0%18.1%16.2%6.5%
Call IV 25d24.5%20.2%32.5%30.7%21.2%
Put IV 25d28.7%23.5%37.2%37.2%23.8%
Bid-Ask Spread %35.3612.9290.6385.8647.40
Gamma HHI0.350.280.860.310.29
Net GEX-341.6K-13.3M1.1M609.7K-103.9K
Net DEX-6.6M-20.0M2.5M-3.7M589.4K
Net VEX-80.2K-95.5K-63.4K-64.4K-74.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.364.440.571.83
Total Volume2,635.6191,14210,8282,1591,604
Total OI19,541.38113,40530,69514,68716,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$43.50$45.0034.8%10.0%26.2%52.2%30.9%6.5%-6.5%609.7K-3.7M-64.4K0.5785.86N/AN/A1,37978010,7123,975
2016-11-02$43.46$45.0034.7%9.9%25.9%51.8%29.1%4.3%-6.7%581.7K-2.7M-63.4K0.6490.63N/AN/A1,47594010,7134,225
2016-11-03$43.68$42.5038.2%8.0%26.0%60.9%28.0%5.4%-2.6%672.8K-3.6M-70.1K1.0832.55N/AN/A54859410,9474,593
2016-11-04$44.37$45.0037.3%8.0%26.8%58.6%28.7%4.8%-2.8%858.5K-6.9M-75.7K4.4430.01N/AN/A1,2275,44210,9594,607
2016-11-07$45.64$45.0040.0%7.9%28.9%65.6%28.7%4.8%-2.2%551.9K-9.0M-92.0K0.3640.57N/AN/A1,25345111,5309,607
2016-11-08$45.66$45.0042.5%8.2%24.6%72.2%29.2%4.8%-3.2%577.4K-9.0M-95.5K0.4936.51N/AN/A97648211,8619,606
2016-11-09$45.91$45.0027.8%8.0%24.6%33.9%29.5%5.6%-2.1%771.6K-12.0M-89.9K0.4742.81N/AN/A1,00947511,8539,649
2016-11-10$47.04$45.0026.9%7.7%25.8%31.5%26.8%5.0%-6.9%1.1M-20.0M-90.7K0.8343.10N/AN/A1,15096011,9069,649
2016-11-11$46.31$42.5026.9%7.7%26.6%31.7%30.8%5.2%-5.2%850.5K-15.5M-91.3K0.7552.04N/AN/A1,05879712,06210,105
2016-11-14$45.27$45.0029.5%8.5%27.9%38.3%32.0%5.4%-4.9%267.9K-7.3M-83.5K1.5618.51N/AN/A57289311,95410,327
2016-11-15$45.64$45.0030.8%8.8%28.0%41.7%32.2%4.0%-8.8%402.4K-9.9M-84.0K2.5043.36N/AN/A3,0957,73311,94910,625
2016-11-16$46.23$45.0026.1%7.5%28.0%29.5%25.0%3.8%-4.6%-296.3K-12.9M-83.7K0.8117.04N/AN/A1,6921,36612,85417,387
2016-11-17$45.93$45.0024.5%7.0%28.1%25.3%23.6%3.9%-2.6%-1.3M-9.3M-80.8K0.7812.92N/AN/A1,7971,39812,91117,394
2016-11-18$45.15$45.0022.7%6.5%28.5%20.7%23.0%4.0%-1.2%-13.3M-6.6M-76.7K0.6314.68N/AN/A1,7021,06813,13117,564
2016-11-21$44.88$45.0020.9%6.0%28.5%16.0%22.0%3.4%0.4%254.9K-3.6M-75.5K2.1216.17N/AN/A5871,2478,1345,271
2016-11-22$44.45$45.0021.4%6.1%20.7%17.3%23.5%3.0%0.1%135.9K-1.2M-78.7K0.6039.94N/AN/A1,3338058,3386,085
2016-11-23$44.74$45.0020.8%6.0%20.7%15.9%25.3%3.0%0.3%168.2K-2.1M-78.6K1.0122.09N/AN/A1,4111,4198,1096,520
2016-11-25$44.89$45.0020.8%6.0%20.7%15.9%27.2%3.1%-1.9%213.4K-3.7M-83.7K1.7123.83N/AN/A5028598,4017,247
2016-11-28$43.60$45.0023.4%6.7%23.4%22.6%27.2%2.9%-2.8%-205.4K2.5M-73.7K1.3413.80N/AN/A7521,0098,3977,250
2016-11-29$44.42$45.0021.1%6.1%24.1%16.6%25.3%2.8%-2.5%37.1K-1.9M-77.9K2.6118.72N/AN/A4181,0908,5957,335
2016-11-30$44.04$45.0020.9%6.0%24.3%16.0%25.2%2.6%-2.0%-103.9K589.4K-74.5K1.8347.40N/AN/A5671,0378,6607,372