A Options History — November 2023

In November 2023, A traded between $103.17 and $127.63. ATM implied volatility averaged 29.3%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 5.1% (HV 20d: 34.4%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2023-11-20: Highest Volume — 8,929 contracts
  • 2023-11-21: Largest IV drop — 33.0% change
  • 2023-11-20: Highest IV Rank — 70.2%
  • 2023-11-20: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.98$103.17$127.63$103.17$127.63
Max Pain$111.43$110.00$115.00$110.00$115.00
ATM IV29.3%22.4%37.1%28.4%22.4%
Expected Move8.6%6.4%10.6%8.1%6.4%
HV 20d34.4%27.4%40.6%27.4%37.4%
HV 60d27.3%22.4%31.3%22.4%30.8%
IV Rank39.3%12.3%70.2%35.9%12.3%
IV Percentile57.6%9.9%98.4%55.6%9.9%
Term Structure-1.8%-6.5%3.2%3.2%0.1%
VWIV30.2%22.2%37.7%30.4%22.6%
Skew 25d3.1%1.1%5.0%3.7%1.1%
Skew 10d6.6%2.8%13.6%13.6%3.3%
Call IV 25d28.8%21.9%36.3%28.0%22.4%
Put IV 25d31.9%23.5%38.8%31.7%23.5%
Bid-Ask Spread %53.3718.3867.6155.0454.48
Gamma HHI0.170.100.280.140.28
Net GEX1.2M-1.1M4.3M-1.1M4.3M
Net DEX-28.0M-100.8M32.7M32.7M-100.8M
Net VEX-301.6K-336.3K-243.6K-243.6K-308.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.173.161.313.14
Total Volume1,620.5244718,9291,753766
Total OI28,163.71423,34030,64524,52230,645

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$103.17$110.0028.4%8.1%27.4%35.9%30.4%3.7%3.2%-1.1M32.7M-243.6K1.3155.04N/AN/A75899513,64810,874
2023-11-02$104.45$110.0027.4%9.1%27.9%32.0%32.2%5.0%-1.6%-953.6K25.9M-260.7K1.7855.64N/AN/A19434614,21811,143
2023-11-03$109.36$110.0025.3%8.7%32.7%23.6%31.4%4.3%-1.8%-398.6K7.0M-272.6K1.1660.39N/AN/A28032514,28011,293
2023-11-06$107.45$110.0031.5%9.5%33.2%48.3%31.6%4.6%-2.6%-677.4K14.5M-268.1K0.1967.61N/AN/A79414814,52411,382
2023-11-07$110.70$110.0029.4%9.3%34.1%40.0%31.6%4.2%-2.5%130.0K-3.4M-289.3K0.6161.27N/AN/A91956415,08711,474
2023-11-08$109.57$110.0031.8%9.1%34.3%49.3%31.5%3.9%-2.2%-219.5K2.7M-289.4K0.5762.51N/AN/A35520315,60711,830
2023-11-09$107.81$110.0032.1%9.2%32.0%50.7%32.8%4.6%-2.6%-595.7K11.0M-287.9K2.4364.28N/AN/A28168415,76611,880
2023-11-10$107.97$110.0033.4%9.6%31.7%55.6%34.4%4.5%-3.2%-661.5K10.5M-292.2K0.9260.18N/AN/A39536315,92112,158
2023-11-13$107.43$110.0035.6%10.2%31.4%64.4%35.4%4.0%-4.0%-833.0K13.4M-287.8K0.5163.53N/AN/A49025216,13912,348
2023-11-14$111.91$110.0034.8%10.0%34.8%61.2%35.2%3.4%-4.2%316.9K-12.1M-302.9K1.6466.52N/AN/A29948916,32212,502
2023-11-15$113.72$110.0034.4%9.9%33.0%59.7%35.3%3.2%-4.1%967.2K-21.6M-305.3K3.1657.01N/AN/A30195116,40112,710
2023-11-16$114.00$110.0034.8%10.0%33.0%61.4%34.7%2.8%-4.2%1.1M-23.2M-312.8K1.0162.76N/AN/A35636116,50913,024
2023-11-17$112.79$110.0036.2%10.4%33.3%67.0%36.9%2.8%-5.6%228.2K-16.3M-312.0K0.1758.42N/AN/A3,35556416,50613,256
2023-11-20$114.33$110.0037.1%10.6%33.5%70.2%37.7%2.5%-6.5%855.7K-17.0M-325.9K0.7218.38N/AN/A5,2023,72712,41310,927
2023-11-21$123.56$110.0024.8%7.1%40.6%21.7%25.3%1.6%-0.0%3.7M-79.9M-336.1K0.4728.24N/AN/A3,3391,56115,58214,252
2023-11-22$124.51$115.0022.7%6.5%39.1%13.2%23.3%1.5%1.2%3.6M-78.1M-336.3K0.7446.69N/AN/A88265715,24514,414
2023-11-24$126.43$115.0023.4%6.7%39.1%15.9%23.3%2.4%0.7%4.0M-88.9M-333.4K0.4652.55N/AN/A32214915,42614,682
2023-11-27$125.45$115.0023.2%6.7%38.7%15.4%23.1%2.0%0.2%3.8M-83.0M-332.0K1.9141.57N/AN/A38072615,45014,730
2023-11-28$125.08$115.0022.7%6.5%37.7%13.4%22.7%1.5%0.6%3.9M-83.0M-326.1K1.0436.11N/AN/A31132315,57214,767
2023-11-29$127.32$115.0022.8%6.5%37.5%13.8%22.2%1.8%0.7%4.3M-98.0M-311.0K0.6747.57N/AN/A39826615,64614,885
2023-11-30$127.63$115.0022.4%6.4%37.4%12.3%22.6%1.1%0.1%4.3M-100.8M-308.2K3.1454.48N/AN/A18558115,70914,936