A Options History — November 2020

In November 2020, A traded between $104.59 and $116.74. ATM implied volatility averaged 30.5%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.7% (HV 20d: 28.8%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-11-13: Highest Volume — 9,272 contracts
  • 2020-11-24: Largest IV drop — 22.6% change
  • 2020-11-03: Highest IV Rank — 30.4%
  • 2020-11-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.77$104.59$116.74$104.59$116.74
Max Pain$106.25$100.00$110.00$100.00$110.00
ATM IV30.5%24.9%36.3%36.3%26.7%
Expected Move9.0%7.6%10.4%10.4%7.7%
HV 20d28.8%24.1%33.7%24.1%29.7%
HV 60d24.2%21.8%26.4%21.8%25.0%
IV Rank21.2%12.5%30.4%30.4%15.3%
IV Percentile49.3%20.6%78.6%78.6%25.4%
Term Structure-1.8%-5.5%2.2%-1.5%2.2%
VWIV32.0%25.9%36.0%36.0%25.9%
Skew 25d3.1%-0.0%7.3%4.2%4.7%
Skew 10d5.4%-2.0%11.9%6.5%9.4%
Call IV 25d30.5%25.0%34.8%34.8%25.0%
Put IV 25d33.5%28.3%39.0%39.0%29.7%
Bid-Ask Spread %69.6146.7885.2781.9679.40
Gamma HHI0.320.170.660.280.19
Net GEX8.7M908.4K15.0M7.4M1.5M
Net DEX-116.3M-218.4M-46.6M-87.2M-60.0M
Net VEX-247.1K-341.3K-173.8K-341.3K-215.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.025.420.160.70
Total Volume2,367.453579,2729331,087
Total OI36,145.818,12544,30342,61222,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$104.59$100.0036.3%10.4%24.1%30.4%36.0%4.2%-1.5%7.4M-87.2M-341.3K0.1681.96N/AN/A80412927,20915,403
2020-11-03$107.32$100.0036.3%10.4%25.1%30.4%35.3%5.1%-2.1%9.4M-119.3M-338.3K0.2985.27N/AN/A3309527,20915,403
2020-11-04$108.62$100.0030.9%8.9%24.4%21.9%32.4%4.8%-0.2%10.7M-135.0M-316.0K0.9084.27N/AN/A18816927,14115,533
2020-11-05$110.32$105.0025.6%9.4%24.9%13.5%33.0%7.3%-1.6%12.7M-158.1M-300.1K0.1572.36N/AN/A1,08515827,16115,635
2020-11-06$113.26$105.0024.9%8.8%26.0%12.5%31.1%4.5%-1.6%12.8M-204.3M-301.8K0.6465.76N/AN/A44328427,85715,690
2020-11-09$113.87$105.0026.7%8.4%26.0%15.2%33.0%2.4%-1.2%13.4M-218.4M-255.5K1.5569.89N/AN/A30046527,83615,853
2020-11-10$110.42$105.0030.8%9.5%28.7%21.7%32.8%4.3%-3.0%12.8M-161.5M-292.7K1.2465.32N/AN/A25932127,78016,259
2020-11-11$109.05$105.0031.3%9.0%29.1%22.6%31.2%3.5%-2.1%13.0M-137.9M-259.6K0.0864.81N/AN/A3893127,85516,305
2020-11-12$109.10$110.0033.6%9.6%29.1%26.1%35.8%3.9%-5.5%13.0M-139.0M-282.4K5.4266.52N/AN/A7834,24327,98616,317
2020-11-13$110.56$110.0030.4%8.7%29.2%21.1%30.9%2.7%-1.9%15.0M-166.1M-256.5K0.0265.43N/AN/A9,10316928,50915,540
2020-11-16$110.32$110.0031.3%9.0%28.8%22.5%31.8%1.7%-2.2%12.8M-133.5M-215.9K0.0569.84N/AN/A1,6577923,94715,682
2020-11-17$109.61$105.0031.2%9.0%28.9%22.4%31.1%0.8%-2.4%12.6M-117.1M-199.6K0.1569.01N/AN/A1,06516122,90015,723
2020-11-18$105.98$105.0032.4%9.3%31.3%24.2%33.1%1.9%-2.4%10.2M-70.3M-194.9K0.0667.32N/AN/A6,12935122,90615,790
2020-11-19$108.70$105.0032.2%9.2%32.2%24.0%32.3%2.3%-3.2%9.9M-96.1M-184.8K0.0770.62N/AN/A2,75019118,15615,989
2020-11-20$111.89$105.0032.8%9.4%33.7%25.0%32.6%1.4%-3.1%1.2M-115.3M-173.8K0.1564.02N/AN/A3,31650416,31016,090
2020-11-23$111.82$110.0034.1%9.8%32.8%27.0%34.7%2.3%-4.3%908.4K-46.6M-177.0K0.5046.78N/AN/A2,2621,1358,12310,002
2020-11-24$114.48$110.0026.4%7.6%33.2%14.8%27.5%2.3%-1.0%1.6M-57.4M-182.9K1.0869.61N/AN/A2,0602,2169,57510,749
2020-11-25$114.54$110.0027.3%7.8%29.5%16.3%29.1%1.0%0.1%994.0K-52.2M-220.4K0.3372.02N/AN/A1,3164379,22611,820
2020-11-27$114.19$110.0028.2%8.1%29.6%17.7%29.9%-0.0%0.5%1.2M-50.8M-233.7K1.0161.98N/AN/A44144410,59311,997
2020-11-30$116.74$110.0026.7%7.7%29.7%15.3%25.9%4.7%2.2%1.5M-60.0M-215.7K0.7079.40N/AN/A64044710,68312,174