A Options History — November 2018

In November 2018, A traded between $62.50 and $72.29. ATM implied volatility averaged 26.4%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 7.6% (HV 20d: 34.0%). Max pain ranged from $62.50 to $67.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-11-12: Highest Volume — 4,093 contracts
  • 2018-11-12: Largest IV spike — 50.2% change
  • 2018-11-19: Highest IV Rank — 25.4%
  • 2018-11-19: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.04$62.50$72.29$65.04$72.29
Max Pain$65.24$62.50$67.50$67.50$67.50
ATM IV26.4%20.0%33.7%25.6%22.8%
Expected Move7.9%6.5%9.7%7.3%6.5%
HV 20d34.0%28.4%41.9%28.5%39.0%
HV 60d24.8%21.2%29.3%21.5%29.3%
IV Rank15.3%6.8%25.4%14.4%10.0%
IV Percentile69.6%33.3%91.3%71.8%54.8%
Term Structure-1.6%-4.3%4.2%4.2%-0.8%
VWIV28.3%23.8%33.1%27.6%23.8%
Skew 25d4.5%3.2%6.8%4.9%4.4%
Skew 10d9.7%6.9%14.0%9.3%8.6%
Call IV 25d25.7%21.4%31.6%23.8%21.4%
Put IV 25d30.3%25.8%35.7%28.7%25.8%
Bid-Ask Spread %8.674.5415.1615.164.77
Gamma HHI0.320.140.940.230.19
Net GEX-792.3K-18.2M4.4M-838.5K490.4K
Net DEX-455.5K-23.7M35.7M14.9M-23.7M
Net VEX-121.6K-160.4K-97.7K-152.5K-116.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.392.230.811.03
Total Volume2,287.4291,2134,0932,1571,562
Total OI27,167.7629,03540,75237,54713,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$65.04$67.5025.6%7.3%28.5%14.4%27.6%4.9%4.2%-838.5K14.9M-152.5K0.8115.16N/AN/A1,19196621,18516,362
2018-11-02$66.00$67.5027.2%7.8%29.2%16.6%27.3%4.7%3.0%472.4K2.9M-160.4K0.7713.37N/AN/A1,3171,01721,24216,440
2018-11-05$65.95$62.5027.7%8.7%29.2%17.3%30.7%4.0%-3.2%365.2K3.3M-146.2K0.456.36N/AN/A2,09694721,60316,517
2018-11-06$65.80$65.0026.0%8.5%29.2%15.0%30.2%3.8%-2.4%-137.6K6.4M-137.4K0.727.58N/AN/A1,37599021,55016,598
2018-11-07$68.24$65.0020.2%7.6%29.3%7.1%26.5%3.4%-2.1%4.4M-21.5M-134.3K0.526.56N/AN/A1,49278321,43116,677
2018-11-08$67.59$65.0020.0%7.6%28.4%6.8%27.6%3.2%-1.9%3.0M-16.5M-126.1K0.5112.85N/AN/A1,20561321,56116,704
2018-11-09$67.41$65.0020.7%7.9%28.4%7.8%28.1%3.6%-2.3%2.4M-13.3M-125.3K1.419.57N/AN/A1,1371,60121,66916,871
2018-11-12$64.72$65.0031.1%8.9%32.0%21.9%32.2%4.3%-3.7%-1.1M17.3M-105.7K1.6214.86N/AN/A1,5612,53221,72016,928
2018-11-13$64.18$65.0030.0%9.0%30.8%20.4%30.6%4.1%-4.2%-3.0M29.8M-112.8K0.8213.48N/AN/A85369921,95418,622
2018-11-14$63.59$65.0033.0%9.4%30.9%24.4%32.8%4.2%-4.3%-3.2M35.7M-108.1K2.239.89N/AN/A1,2522,78721,90318,611
2018-11-15$64.54$65.0031.6%9.1%30.6%22.6%32.2%4.4%-3.7%-3.4M26.5M-113.6K1.008.65N/AN/A1,4261,41921,96918,783
2018-11-16$64.97$65.0030.9%8.9%30.1%21.6%30.0%4.0%-3.5%-18.2M21.6M-104.5K0.398.15N/AN/A1,41055322,07718,348
2018-11-19$62.50$65.0033.7%9.7%33.2%25.4%33.1%4.2%-4.3%-250.0K5.7M-97.7K0.538.22N/AN/A1,4927964,5694,466
2018-11-20$67.38$65.0028.0%8.0%41.9%17.6%29.5%6.4%-1.2%142.2K-8.4M-113.8K0.687.55N/AN/A1,8421,2465,4444,931
2018-11-21$67.90$65.0025.5%7.3%41.3%14.2%25.8%5.6%-0.2%86.8K-8.8M-116.4K0.775.51N/AN/A1,2669815,5375,360
2018-11-23$68.21$65.0027.1%7.8%41.3%16.4%27.5%6.8%-0.7%202.0K-10.0M-122.5K0.609.18N/AN/A8555145,9775,574
2018-11-26$69.16$65.0023.4%6.7%41.4%10.8%24.8%5.5%-0.3%337.6K-13.6M-118.5K0.585.84N/AN/A8354856,1025,715
2018-11-27$69.27$65.0022.9%6.6%40.2%10.1%25.3%5.1%-0.1%382.0K-14.4M-115.9K0.774.88N/AN/A6865276,1335,739
2018-11-28$71.23$65.0024.0%6.9%40.0%11.7%25.3%4.4%-1.3%542.1K-20.6M-112.3K0.724.54N/AN/A9977216,1695,868
2018-11-29$71.85$65.0022.6%6.5%39.1%9.8%24.1%4.5%-0.7%605.4K-23.0M-112.7K1.015.07N/AN/A9991,0106,3326,056
2018-11-30$72.29$67.5022.8%6.5%39.0%10.0%23.8%4.4%-0.8%490.4K-23.7M-116.6K1.034.77N/AN/A7717916,5666,660