A Options History — November 2022

In November 2022, A traded between $135.49 and $157.07. ATM implied volatility averaged 31.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.4% (HV 20d: 37.0%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2022-11-22: Highest Volume — 7,746 contracts
  • 2022-11-22: Largest IV drop — 20.4% change
  • 2022-11-09: Highest IV Rank — 43.7%
  • 2022-11-09: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.82$135.49$157.07$141.03$154.09
Max Pain$136.67$130.00$150.00$130.00$145.00
ATM IV31.6%25.8%35.5%32.5%27.6%
Expected Move9.1%7.4%10.2%9.3%7.9%
HV 20d37.0%31.0%44.1%32.6%44.1%
HV 60d34.8%32.5%36.7%34.8%36.7%
IV Rank31.2%12.7%43.7%34.1%18.4%
IV Percentile43.6%9.5%70.2%50.4%15.9%
Term Structure-1.2%-3.5%1.7%1.7%-0.3%
VWIV32.1%27.5%34.8%32.4%28.2%
Skew 25d5.5%4.0%6.6%5.2%4.7%
Skew 10d11.2%0.7%14.9%0.7%8.4%
Call IV 25d29.5%24.2%32.2%29.7%25.7%
Put IV 25d35.0%28.2%38.3%34.9%30.4%
Bid-Ask Spread %49.4931.1665.9263.2465.92
Gamma HHI0.170.100.290.120.23
Net GEX2.9M1.0M4.5M2.6M3.4M
Net DEX-67.7M-108.7M-23.4M-53.8M-91.3M
Net VEX-322.3K-355.5K-299.4K-355.5K-319.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.507.012.151.27
Total Volume2,458.3811087,7462,645855
Total OI24,603.23817,96727,26924,17524,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$141.03$130.0032.5%9.3%32.6%34.1%32.4%5.2%1.7%2.6M-53.8M-355.5K2.1563.24N/AN/A8391,80613,46810,707
2022-11-02$136.21$135.0032.8%9.4%34.9%35.1%33.4%4.5%1.6%1.2M-29.8M-344.6K2.0063.02N/AN/A6061,21113,40711,548
2022-11-03$135.49$130.0032.7%9.8%34.9%34.7%34.1%6.0%-1.6%1.0M-23.4M-337.6K2.3050.71N/AN/A5411,24213,41611,563
2022-11-04$136.28$130.0031.7%9.8%31.3%31.6%33.8%6.4%-1.5%1.0M-25.2M-329.0K1.9650.21N/AN/A6601,29613,41611,577
2022-11-07$137.51$130.0031.5%9.4%31.0%31.1%32.2%6.1%-1.5%1.4M-32.4M-319.6K1.2942.88N/AN/A9391,20713,45611,614
2022-11-08$139.52$130.0033.3%9.7%31.1%36.8%33.2%6.3%-2.3%2.0M-44.6M-322.9K1.8237.74N/AN/A6921,25913,77311,625
2022-11-09$136.96$130.0035.5%10.2%32.2%43.7%34.2%6.0%-2.3%1.4M-31.2M-317.6K1.2732.50N/AN/A9861,25213,88711,621
2022-11-10$146.31$130.0033.3%9.6%38.9%36.8%33.1%6.3%-2.2%3.6M-81.8M-332.1K1.5357.35N/AN/A9591,46614,21611,629
2022-11-11$148.84$130.0032.0%9.2%38.1%32.7%33.5%6.0%-1.8%4.2M-98.1M-322.2K2.7956.32N/AN/A5571,55214,19511,688
2022-11-14$147.11$130.0033.7%9.7%36.9%38.0%33.5%5.9%-2.6%4.1M-85.3M-313.2K2.4954.78N/AN/A7501,87114,22012,067
2022-11-15$148.33$130.0032.7%9.4%36.9%34.7%33.1%6.2%-2.4%4.2M-90.8M-311.2K2.7151.71N/AN/A6121,66014,21111,805
2022-11-16$147.02$130.0034.0%9.7%35.3%38.8%34.8%6.2%-2.7%4.5M-83.5M-302.0K2.6059.99N/AN/A5071,32014,25011,816
2022-11-17$144.23$130.0033.9%9.7%35.2%38.6%34.5%6.6%-2.2%3.6M-66.4M-299.7K2.2658.43N/AN/A9452,13614,27611,828
2022-11-18$146.22$145.0033.3%9.5%34.1%36.5%32.7%6.2%-2.4%4.0M-73.6M-301.7K0.9145.82N/AN/A1,6331,49114,37512,894
2022-11-21$145.09$145.0034.6%9.9%34.0%40.9%34.6%6.2%-3.5%2.2M-49.4M-299.4K1.2835.80N/AN/A2,4063,07510,6987,269
2022-11-22$157.07$145.0027.6%7.9%43.1%18.5%28.8%4.3%-0.3%3.7M-108.7M-314.3K1.0931.16N/AN/A3,7004,04612,1759,421
2022-11-23$155.72$150.0025.8%7.4%42.8%12.7%27.5%4.0%0.8%3.1M-97.5M-340.3K2.5948.31N/AN/A9342,41712,46710,541
2022-11-25$156.20$150.0026.4%7.6%42.2%14.7%27.7%4.5%0.5%3.5M-102.3M-325.8K1.6337.69N/AN/A416712,74610,516
2022-11-28$152.05$150.0029.5%8.5%43.7%24.5%29.7%4.2%-0.5%2.8M-78.9M-330.1K7.0141.60N/AN/A2141,50012,75611,406
2022-11-29$150.86$145.0029.0%8.3%43.9%23.0%28.8%4.7%-0.6%2.9M-73.4M-329.9K0.5054.19N/AN/A25012612,78811,222
2022-11-30$154.09$145.0027.6%7.9%44.1%18.4%28.2%4.7%-0.3%3.4M-91.3M-319.9K1.2765.92N/AN/A37747812,81211,303