C Options History — November 2007

In November 2007, C traded between $303.20 and $385.10. ATM implied volatility averaged 50.9%, placing in the 78.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 2.5% (HV 20d: 48.4%). Max pain ranged from $375.00 to $425.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2007-11-27: Highest Volume — 93,911 contracts
  • 2007-11-02: Largest IV spike — 35.4% change
  • 2007-11-01: Highest IV Rank — 100.0%
  • 2007-11-02: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$335.93$303.20$385.10$385.10$333.00
Max Pain$400.00$375.00$425.00$425.00$375.00
ATM IV50.9%41.7%63.2%46.7%42.9%
Expected Move13.8%12.0%18.1%13.4%12.3%
HV 20d48.4%38.1%60.0%39.1%55.6%
HV 60d36.8%32.1%42.0%33.6%42.0%
IV Rank78.3%59.4%100.0%100.0%61.7%
IV Percentile96.7%90.9%100.0%100.0%90.9%
Term Structure2.7%-14.2%12.6%-2.9%6.2%
VWIV48.0%41.8%62.0%47.1%42.7%
Skew 25d7.3%0.1%11.3%0.1%6.9%
Skew 10d15.8%-0.1%46.6%-0.1%16.4%
Call IV 25d45.2%37.1%58.4%47.3%39.4%
Put IV 25d52.4%45.4%67.1%47.5%46.4%
Bid-Ask Spread %4.501.6939.462.222.09
Gamma HHI0.130.100.160.130.15
Net GEX-20.4M-24.9M-11.4M-17.0M-23.3M
Net DEX3.10B2.50B3.50B2.62B2.61B
Net VEX-22.2M-25.3M-20.1M-23.5M-24.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.632.811.081.52
Total Volume40,134.47614,86293,91152,79226,307
Total OI430,320.952348,297476,878348,297476,878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$385.10$425.0046.7%13.4%39.1%100.0%47.1%0.1%-2.9%-17.0M2.62B-23.5M1.082.2225,41127,381188,337159,960
2007-11-02$377.30$425.0063.2%18.1%38.1%100.0%62.0%8.7%-14.2%-16.5M2.50B-25.3M0.652.4628,02818,286194,512169,651
2007-11-05$359.00$425.0055.6%13.5%40.3%85.6%46.6%7.5%-0.9%-18.0M3.13B-22.0M0.9339.4632,17429,978205,851175,707
2007-11-06$350.80$425.0048.3%12.1%40.2%71.9%42.4%4.5%0.9%-24.2M3.40B-22.0M0.992.0023,05022,845219,282187,439
2007-11-07$334.10$425.0053.4%13.8%41.9%81.5%46.8%4.4%-0.4%-21.5M3.44B-20.1M1.063.1918,93020,062223,347183,742
2007-11-08$329.00$425.0058.5%15.5%38.9%91.2%53.4%11.3%-3.2%-21.3M3.50B-20.6M0.923.2423,94221,931229,458192,119
2007-11-09$331.00$400.0060.9%15.4%39.8%95.7%52.4%10.0%-1.7%-18.3M3.33B-21.6M0.874.0417,60815,362239,995198,469
2007-11-12$335.70$400.0062.8%14.6%40.9%99.2%48.3%9.9%1.8%-17.0M3.30B-21.8M0.633.1718,56711,656244,964200,394
2007-11-13$359.00$400.0052.1%12.2%49.9%79.1%41.8%10.2%1.5%-14.9M2.77B-24.1M1.383.3016,99223,381245,140202,091
2007-11-14$360.40$400.0050.4%12.5%50.1%75.9%42.5%7.8%-1.3%-11.4M2.61B-24.7M0.853.3618,50515,668247,700201,533
2007-11-15$345.80$400.0043.1%12.4%51.2%62.1%44.6%5.4%-0.7%-18.5M3.15B-22.7M1.273.8211,34914,423248,789201,362
2007-11-16$340.00$400.0041.7%12.0%50.6%59.4%43.4%7.8%4.2%-20.8M3.39B-21.8M1.832.3813,69025,091250,232203,584
2007-11-19$320.00$400.0045.4%13.0%53.1%66.3%45.9%5.3%6.6%-23.4M3.28B-20.6M2.442.3115,77338,481220,498198,512
2007-11-20$314.00$400.0043.8%12.6%53.0%63.4%46.0%7.7%12.6%-22.1M3.22B-20.5M2.032.8012,19924,707223,911197,768
2007-11-21$307.30$400.0051.9%14.9%53.0%78.7%50.6%6.0%9.5%-22.4M3.21B-20.6M1.192.6411,21413,367227,101204,145
2007-11-23$317.00$375.0048.8%14.0%55.5%72.8%50.2%9.6%8.6%-22.1M3.18B-21.7M2.312.704,48410,378231,451209,290
2007-11-26$307.00$375.0059.1%16.9%53.1%92.2%58.2%5.3%7.9%-22.0M3.33B-20.4M1.082.2318,35019,788232,521205,471
2007-11-27$303.20$375.0050.1%14.4%52.7%75.3%49.9%8.0%8.0%-23.2M3.30B-20.9M2.811.6924,66469,247242,078212,592
2007-11-28$322.90$375.0045.5%13.0%59.9%66.5%46.5%8.4%5.9%-24.8M2.88B-23.2M1.302.5318,33323,825246,631222,001
2007-11-29$322.90$375.0044.8%12.8%60.0%65.2%45.8%7.8%7.3%-24.9M2.88B-23.3M1.642.926,58110,816248,845223,389
2007-11-30$333.00$375.0042.9%12.3%55.6%61.7%42.7%6.9%6.2%-23.3M2.61B-24.4M1.522.0910,42115,886250,948225,930