A Options History — November 2024

In November 2024, A traded between $126.18 and $140.37. ATM implied volatility averaged 31.3%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.4% (HV 20d: 29.9%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2024-11-25: Highest Volume — 7,700 contracts
  • 2024-11-26: Largest IV drop — 34.7% change
  • 2024-11-25: Highest IV Rank — 94.8%
  • 2024-11-25: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.08$126.18$140.37$136.98$138.01
Max Pain$134.75$130.00$135.00$130.00$135.00
ATM IV31.3%23.2%37.8%35.6%25.4%
Expected Move9.4%7.0%10.8%10.2%7.3%
HV 20d29.9%27.0%33.4%27.0%33.4%
HV 60d24.4%22.5%26.4%22.5%26.4%
IV Rank60.3%17.0%94.8%83.1%28.7%
IV Percentile77.9%16.7%99.2%97.6%48.0%
Term Structure-3.2%-7.4%-0.4%-0.4%-1.3%
VWIV33.0%24.5%37.6%36.1%25.7%
Skew 25d2.8%1.1%4.3%3.3%1.4%
Skew 10d6.0%2.6%8.1%5.4%4.0%
Call IV 25d31.6%24.2%37.0%33.3%24.6%
Put IV 25d34.4%25.2%38.3%36.5%26.1%
Bid-Ask Spread %64.8439.8881.4981.4969.36
Gamma HHI0.150.120.290.130.18
Net GEX533.0K-2.5M3.0M1.3M2.9M
Net DEX-15.5M-51.0M32.7M-35.0M-48.8M
Net VEX-357.1K-394.0K-326.9K-380.9K-389.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.056.470.101.24
Total Volume1,800.853347,7002,106465
Total OI24,16820,34128,00623,00527,309

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$136.98$130.0035.6%10.2%27.0%83.1%36.1%3.3%-0.4%1.3M-35.0M-380.9K0.1081.49N/AN/A1,90819813,0469,959
2024-11-04$139.28$135.0033.6%9.7%27.7%72.5%34.2%3.0%-2.3%1.6M-43.9M-360.9K0.4860.63N/AN/A92144612,82510,248
2024-11-05$140.37$135.0034.1%9.7%27.7%75.1%34.7%4.3%-2.7%1.9M-49.7M-369.0K1.1361.81N/AN/A43148712,84610,463
2024-11-06$137.21$135.0026.9%9.0%28.7%36.9%30.8%3.0%-2.4%958.6K-29.2M-347.3K0.4968.66N/AN/A78238412,92310,638
2024-11-07$139.63$135.0025.2%8.7%29.3%27.5%31.2%2.9%-2.5%1.9M-44.0M-343.8K0.4669.13N/AN/A44920812,87010,706
2024-11-08$136.79$135.0023.2%9.4%30.0%17.0%32.7%3.3%-2.9%516.0K-24.0M-338.5K2.8768.86N/AN/A4421,26912,80510,826
2024-11-11$133.46$135.0027.8%9.7%30.9%41.5%35.2%3.1%-3.9%-1.5M4.0M-335.2K1.2367.39N/AN/A35343512,69211,837
2024-11-12$133.95$135.0028.8%9.7%30.9%47.2%33.0%2.6%-4.1%-1.4M8.8K-337.1K0.0564.95N/AN/A1,9509812,96612,013
2024-11-13$134.69$135.0033.6%9.6%28.3%72.6%34.1%2.9%-3.6%-550.8K-10.8M-351.6K0.6166.33N/AN/A24014714,62212,039
2024-11-14$130.62$135.0034.2%9.8%29.6%75.9%34.3%3.1%-3.9%-2.5M13.1M-334.5K1.7466.19N/AN/A7081,23214,74411,798
2024-11-15$127.63$135.0034.8%10.0%29.8%78.9%35.7%3.0%-3.6%-220.5K32.7M-330.5K6.4768.14N/AN/A2381,53915,07611,680
2024-11-18$126.70$135.0035.0%10.0%29.5%80.2%34.3%3.5%-4.1%-522.0K17.8M-326.9K0.5566.23N/AN/A1,22266810,7449,597
2024-11-19$126.18$135.0035.2%10.1%28.7%81.2%34.6%3.3%-4.1%-221.0K16.2M-339.3K1.1767.52N/AN/A25529811,7859,797
2024-11-20$127.89$135.0035.4%10.1%29.2%82.1%35.2%3.7%-4.5%-78.2K9.9M-351.5K0.3066.03N/AN/A2577711,7349,946
2024-11-21$131.57$135.0035.7%10.2%30.8%83.9%36.3%3.3%-4.6%402.4K-6.7M-369.5K1.6866.26N/AN/A34558011,8809,991
2024-11-22$134.06$135.0034.7%10.0%31.3%78.5%35.0%2.6%-4.3%807.9K-17.7M-383.7K0.4254.47N/AN/A1,78575412,01410,012
2024-11-25$134.27$135.0037.8%10.8%31.0%94.8%37.6%1.4%-7.4%1.2M-24.7M-394.0K0.5739.88N/AN/A4,9022,79813,35110,589
2024-11-26$133.69$135.0024.7%7.1%31.1%24.9%24.8%1.2%-0.5%1.2M-18.7M-381.3K0.4958.74N/AN/A2,6521,29015,47112,535
2024-11-27$138.53$135.0024.5%7.0%33.4%24.1%24.5%1.1%-0.6%3.0M-51.0M-377.7K0.2964.69N/AN/A2,16863614,79912,184
2024-11-29$138.01$135.0025.4%7.3%33.4%28.7%25.7%1.4%-1.3%2.9M-48.8M-389.4K1.2469.36N/AN/A20825715,13212,177