A Options History — November 2021

In November 2021, A traded between $150.43 and $163.99. ATM implied volatility averaged 28.1%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.0% (HV 20d: 21.2%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2021-11-22: Highest Volume — 12,057 contracts
  • 2021-11-23: Largest IV drop — 20.1% change
  • 2021-11-22: Highest IV Rank — 74.0%
  • 2021-11-22: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.12$150.43$163.99$157.00$150.43
Max Pain$156.19$155.00$160.00$160.00$155.00
ATM IV28.1%23.3%33.8%24.3%29.8%
Expected Move8.2%6.7%9.7%7.0%8.5%
HV 20d21.2%17.0%29.2%19.2%29.2%
HV 60d22.6%21.1%24.7%21.9%24.7%
IV Rank50.4%30.1%74.0%34.7%57.4%
IV Percentile70.4%36.9%95.2%41.7%85.7%
Term Structure-1.2%-5.5%3.3%2.4%-1.1%
VWIV29.9%24.4%34.3%24.7%29.8%
Skew 25d3.8%-0.4%7.1%7.1%2.9%
Skew 10d9.9%1.1%19.9%19.9%3.7%
Call IV 25d28.3%23.1%33.3%23.1%29.2%
Put IV 25d32.1%27.1%35.5%30.2%32.1%
Bid-Ask Spread %55.7840.6265.6658.9962.71
Gamma HHI0.170.100.520.100.12
Net GEX2.4M253.3K7.4M661.2K253.3K
Net DEX-29.3M-74.6M6.9M-7.8M6.9M
Net VEX-425.5K-470.2K-390.4K-425.0K-390.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.361.671.561.14
Total Volume4,204.192,26712,0573,3812,272
Total OI32,172.66724,99734,74030,16131,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$157.00$160.0024.3%7.0%19.2%34.7%24.7%7.1%2.4%661.2K-7.8M-425.0K1.5658.99N/AN/A1,3192,06215,47414,687
2021-11-02$157.40$160.0024.6%7.0%19.1%35.6%24.4%4.0%3.0%1.5M-18.2M-436.6K1.5464.71N/AN/A1,2951,99915,81814,749
2021-11-03$157.85$160.0023.3%6.7%19.1%30.1%24.9%4.2%3.3%1.7M-21.5M-432.1K1.5865.08N/AN/A1,3482,13315,95114,791
2021-11-04$157.32$155.0025.4%8.0%18.6%38.8%28.9%6.2%-1.9%1.7M-18.0M-437.5K1.2744.78N/AN/A1,8132,29416,14414,923
2021-11-05$155.97$155.0025.9%8.2%17.6%41.0%28.8%5.2%-2.0%1.3M-10.4M-427.5K0.8848.92N/AN/A2,3932,10516,40215,005
2021-11-08$160.91$155.0027.6%8.6%19.4%48.1%31.3%4.7%-1.7%3.9M-51.9M-464.7K0.6449.04N/AN/A3,2192,07117,11915,237
2021-11-09$159.97$155.0029.6%9.0%18.0%56.3%32.0%4.7%-2.8%3.1M-42.5M-470.2K0.8848.05N/AN/A2,1361,87716,98615,373
2021-11-10$159.36$155.0030.6%8.8%17.4%60.8%32.1%5.6%-2.7%1.6M-30.3M-444.5K1.0550.43N/AN/A1,7891,87617,38815,543
2021-11-11$158.74$155.0029.8%8.5%17.0%57.4%30.0%5.3%-2.7%2.9M-33.3M-452.7K1.5740.62N/AN/A1,2231,91517,88315,605
2021-11-12$160.58$155.0029.7%8.5%17.3%57.0%32.3%4.8%-2.4%3.1M-41.2M-436.1K1.6755.91N/AN/A1,1761,95817,98115,720
2021-11-15$157.75$155.0030.4%8.7%18.3%59.7%32.3%5.2%-3.1%1.4M-21.0M-407.5K1.1055.67N/AN/A1,6611,82718,01115,903
2021-11-16$162.07$155.0028.9%8.3%20.5%53.5%30.8%4.7%-0.6%4.3M-52.3M-419.4K0.8056.94N/AN/A2,1081,68818,27016,045
2021-11-17$161.65$155.0029.4%8.4%20.1%55.6%31.2%5.1%-3.0%3.9M-52.0M-409.5K1.2657.56N/AN/A1,1281,41918,19316,153
2021-11-18$161.98$155.0029.2%8.4%19.6%54.6%30.9%4.6%-2.1%4.6M-58.4M-397.6K0.8958.84N/AN/A1,9331,71218,56316,177
2021-11-19$163.99$155.0031.8%9.1%19.8%65.7%33.6%2.4%-3.8%7.4M-74.6M-392.4K0.3665.66N/AN/A5,2321,88018,16416,432
2021-11-22$163.85$160.0033.8%9.7%19.8%74.0%34.3%2.1%-5.5%2.5M-52.1M-424.0K0.3646.85N/AN/A8,8623,19512,68812,309
2021-11-23$154.57$160.0027.0%7.7%29.1%45.8%27.5%1.6%-1.0%1.4M-11.8M-416.7K0.6255.88N/AN/A4,2512,61718,27513,799
2021-11-24$152.56$155.0025.6%7.3%28.6%39.8%27.4%0.6%0.1%888.4K-4.4M-411.9K0.6459.71N/AN/A2,2401,44418,26113,804
2021-11-26$153.01$155.0029.2%8.4%28.7%54.7%32.1%-0.4%1.2%1.4M-11.3M-443.3K0.9863.69N/AN/A1,2861,26518,16913,805
2021-11-29$153.62$155.0025.3%7.2%28.3%38.4%29.1%0.2%2.1%1.1M-8.8M-397.0K1.0461.36N/AN/A1,1091,15818,01113,850
2021-11-30$150.43$155.0029.8%8.5%29.2%57.4%29.8%2.9%-1.1%253.3K6.9M-390.4K1.1462.71N/AN/A1,0621,21018,12913,836