A Options History — November 2017

In November 2017, A traded between $66.84 and $70.49. ATM implied volatility averaged 21.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 10.4% (HV 20d: 10.8%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-11-20: Highest Volume — 8,601 contracts
  • 2017-11-21: Largest IV drop — 37.5% change
  • 2017-11-13: Highest IV Rank — 61.2%
  • 2017-11-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.51$66.84$70.49$68.05$69.19
Max Pain$67.38$65.00$67.50$65.00$67.50
ATM IV21.1%15.0%27.0%18.6%17.9%
Expected Move6.3%4.3%7.7%5.3%5.1%
HV 20d10.8%7.7%17.2%9.2%17.2%
HV 60d12.3%10.1%15.2%15.2%13.1%
IV Rank30.7%3.0%61.2%15.1%17.3%
IV Percentile55.9%1.6%90.1%41.7%36.9%
Term Structure-1.1%-3.2%4.5%4.5%-0.0%
VWIV22.4%15.5%27.4%19.3%18.4%
Skew 25d2.2%1.0%3.0%2.1%1.4%
Skew 10d4.6%2.3%6.2%4.5%3.7%
Call IV 25d21.4%14.9%26.4%17.8%18.4%
Put IV 25d23.6%16.1%29.0%20.0%19.7%
Bid-Ask Spread %11.325.1030.4311.4811.43
Gamma HHI0.380.230.570.510.33
Net GEX1.9M567.0K3.3M2.7M2.0M
Net DEX-28.3M-37.1M-16.9M-35.0M-23.1M
Net VEX-112.8K-129.2K-98.1K-114.9K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.181.970.870.84
Total Volume2,592.0481,2238,6011,9131,223
Total OI18,947.23815,14120,96418,51220,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$68.05$65.0018.6%5.3%9.2%15.1%19.3%2.1%4.5%2.7M-35.0M-114.9K0.8711.48N/AN/A1,02389010,7367,776
2017-11-02$68.08$67.5018.5%6.5%9.1%14.6%23.5%2.5%-1.5%2.9M-35.4M-114.0K1.045.10N/AN/A83586610,8087,895
2017-11-03$68.30$67.5018.7%6.8%8.7%15.3%23.9%2.3%-1.7%2.7M-36.8M-115.9K0.9810.64N/AN/A83782410,8457,952
2017-11-06$68.27$67.5020.0%7.2%8.7%19.9%25.4%2.7%-2.4%2.8M-37.1M-109.7K1.2110.83N/AN/A79796310,8407,969
2017-11-07$68.26$67.5020.8%7.1%8.7%22.8%24.3%2.9%-2.3%2.8M-36.9M-111.1K0.8513.05N/AN/A1,10593710,9698,122
2017-11-08$68.09$67.5025.0%7.2%8.8%37.9%25.0%3.0%-2.3%2.9M-34.8M-112.1K0.659.87N/AN/A76449311,4048,203
2017-11-09$67.50$67.5025.6%7.3%8.2%54.2%25.7%2.9%-2.5%3.3M-30.0M-112.3K0.187.40N/AN/A3,94773011,4728,210
2017-11-10$66.84$67.5026.1%7.5%8.5%56.9%26.4%2.8%-3.0%567.0K-16.9M-101.8K0.599.19N/AN/A1,1766918,6768,183
2017-11-13$67.11$67.5027.0%7.7%8.6%61.2%27.2%2.7%-2.8%664.4K-19.8M-103.7K0.7512.02N/AN/A7695759,1578,211
2017-11-14$67.47$67.5025.9%7.4%7.7%55.8%25.9%2.9%-2.6%766.8K-22.4M-98.1K0.537.70N/AN/A1,1055849,2368,176
2017-11-15$67.33$67.5025.3%7.3%7.7%53.0%27.4%2.6%-2.8%734.0K-20.6M-100.1K1.479.60N/AN/A7851,1509,3028,171
2017-11-16$68.81$67.5023.7%6.8%10.5%45.4%24.4%2.0%-1.9%1.1M-30.4M-98.3K0.498.06N/AN/A1,2085879,2728,828
2017-11-17$68.80$67.5024.5%7.0%10.5%49.1%24.7%1.5%-2.8%811.9K-32.1M-98.2K0.2310.78N/AN/A2,2495079,6698,927
2017-11-20$69.97$67.5026.6%7.6%11.8%59.1%27.2%2.1%-3.2%1.3M-27.2M-106.4K0.3430.43N/AN/A6,4412,1608,4856,656
2017-11-21$69.94$67.5016.6%4.8%11.8%10.8%17.0%1.0%1.5%2.6M-33.9M-120.4K0.7417.02N/AN/A3,9692,94312,0768,106
2017-11-22$68.91$67.5015.0%4.3%13.2%3.0%15.5%1.2%1.3%1.8M-22.2M-124.3K0.9013.99N/AN/A1,3301,19411,4148,826
2017-11-24$69.36$67.5015.4%4.4%13.2%5.3%15.9%1.3%1.0%2.0M-24.6M-126.0K0.6111.29N/AN/A82349811,6138,876
2017-11-27$69.34$67.5016.1%4.6%13.2%8.6%16.8%1.5%0.4%2.0M-23.9M-122.4K1.9710.60N/AN/A7761,52611,6808,969
2017-11-28$70.49$67.5017.3%5.0%14.1%14.3%17.4%2.0%0.1%2.5M-31.9M-123.0K0.637.60N/AN/A2,1801,38111,7438,572
2017-11-29$68.69$67.5019.6%5.6%17.1%25.5%18.8%2.2%-1.1%1.8M-20.0M-126.6K0.989.66N/AN/A80279012,2528,651
2017-11-30$69.19$67.5017.9%5.1%17.2%17.3%18.4%1.4%-0.0%2.0M-23.1M-129.2K0.8411.43N/AN/A66356012,1808,784