A Options History — November 2019

In November 2019, A traded between $75.72 and $80.99. ATM implied volatility averaged 23.9%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 9.7% (HV 20d: 14.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.06.

Notable Days

  • 2019-11-25: Highest Volume — 10,382 contracts
  • 2019-11-26: Largest IV drop — 37.6% change
  • 2019-11-21: Highest IV Rank — 18.9%
  • 2019-11-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.93$75.72$80.99$76.98$80.72
Max Pain$76.63$75.00$80.00$75.00$80.00
ATM IV23.9%17.8%28.6%22.7%19.4%
Expected Move7.2%5.1%8.2%6.5%5.6%
HV 20d14.2%11.8%19.9%19.9%14.8%
HV 60d22.4%19.9%27.0%27.0%19.9%
IV Rank11.9%2.6%18.9%10.1%5.1%
IV Percentile44.1%1.2%79.0%32.9%7.9%
Term Structure-1.8%-3.9%2.4%2.4%0.3%
VWIV25.9%19.6%30.8%30.8%19.7%
Skew 25d3.4%2.5%4.4%4.4%3.3%
Skew 10d7.8%5.4%14.4%14.4%7.2%
Call IV 25d23.7%16.3%27.3%21.1%18.3%
Put IV 25d27.0%19.5%29.9%25.4%21.6%
Bid-Ask Spread %10.383.7117.2512.948.01
Gamma HHI0.170.150.200.160.19
Net GEX1.4M-682.3K3.0M-682.3K3.0M
Net DEX-28.1M-56.6M-2.2M-12.5M-55.1M
Net VEX-436.7K-462.5K-409.4K-438.2K-446.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.1019.4919.490.25
Total Volume2,498.2531310,3828,072859
Total OI45,812.3541,04252,33649,72150,956

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$76.98$75.0022.7%6.5%19.9%10.1%30.8%4.4%2.4%-682.3K-12.5M-438.2K19.4912.94N/AN/A3947,67816,12433,597
2019-11-04$76.94$75.0022.5%7.3%19.8%9.7%27.3%3.9%-2.0%478.0K-16.5M-414.9K0.8012.45N/AN/A41433116,23326,267
2019-11-05$75.72$75.0023.0%7.6%15.4%10.6%26.0%4.1%-1.8%-431.3K-3.5M-417.0K3.5514.49N/AN/A24888116,41226,286
2019-11-06$75.72$75.0022.9%7.4%14.8%10.4%26.0%3.9%-2.2%-478.6K-2.2M-416.3K0.1012.54N/AN/A3,07531716,52326,252
2019-11-07$75.75$75.0022.8%7.5%14.7%10.2%25.3%3.7%-2.2%80.3K-7.0M-435.6K0.6817.25N/AN/A31021119,36626,454
2019-11-08$76.37$75.0020.4%7.3%12.7%6.7%25.3%3.6%-1.9%657.4K-13.6M-431.8K0.2516.06N/AN/A3629219,38326,543
2019-11-11$76.67$75.0022.1%7.3%12.4%9.2%25.9%3.3%-2.2%1.2M-18.0M-419.9K1.9612.58N/AN/A11522519,57926,597
2019-11-12$76.91$75.0022.2%7.3%12.0%9.3%25.7%3.4%-2.2%1.6M-21.1M-409.4K0.208.81N/AN/A2605319,59126,648
2019-11-13$77.16$75.0025.7%7.4%11.8%14.5%25.9%3.2%-1.7%2.2M-24.3M-410.7K0.489.12N/AN/A5,7572,78619,69926,648
2019-11-14$76.83$75.0025.5%7.3%11.8%14.3%26.1%3.4%-2.1%2.8M-25.2M-453.5K1.637.64N/AN/A19231223,63828,016
2019-11-15$77.88$77.5025.5%7.3%12.3%14.3%25.7%3.4%-2.6%2.7M-46.1M-446.3K0.299.06N/AN/A78923023,69328,643
2019-11-18$77.88$77.5027.1%7.8%12.0%16.7%27.1%2.5%-3.0%931.0K-23.9M-450.2K0.547.25N/AN/A77641818,41922,623
2019-11-19$79.38$77.5026.7%7.7%12.8%16.1%27.2%3.2%-3.1%1.5M-39.0M-448.6K0.4011.02N/AN/A60524118,75222,854
2019-11-20$78.56$77.5028.2%8.1%13.7%18.3%27.8%3.3%-3.4%1.2M-30.9M-450.1K0.4111.48N/AN/A83434418,83022,884
2019-11-21$78.02$77.5028.6%8.2%14.0%18.9%29.6%3.0%-3.4%1.0M-26.3M-460.0K4.8110.34N/AN/A19191919,27823,020
2019-11-22$79.06$77.5027.5%7.9%14.4%17.3%28.4%3.1%-3.3%1.3M-35.9M-462.5K1.044.73N/AN/A32834219,37923,924
2019-11-25$80.40$77.5028.5%8.2%15.1%18.7%28.7%2.5%-3.9%2.1M-50.1M-442.4K1.183.71N/AN/A4,7725,61019,53724,073
2019-11-26$80.72$80.0017.8%5.1%15.0%2.6%19.6%3.2%1.0%3.0M-54.1M-434.7K1.906.76N/AN/A1,9213,65822,23727,116
2019-11-27$80.99$80.0019.5%5.6%14.9%5.3%19.7%3.2%0.3%3.0M-56.6M-444.8K1.2211.25N/AN/A1,4011,71422,26727,906
2019-11-29$80.72$80.0019.4%5.6%14.8%5.1%19.7%3.3%0.3%3.0M-55.1M-446.5K0.258.01N/AN/A68717222,99227,964