C Options History — November 2008

In November 2008, C traded between $37.70 and $146.80. ATM implied volatility averaged 151.7%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 42.3%. IV traded below realized volatility by 1.2% (HV 20d: 153.0%). Max pain ranged from $100.00 to $200.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2008-11-21: Highest Volume — 112,690 contracts
  • 2008-11-24: Largest IV drop — 38.5% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-21: Largest Expected Move — 88.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.98$37.70$146.80$139.90$82.90
Max Pain$160.53$100.00$200.00$150.00$100.00
ATM IV151.7%78.0%308.6%87.4%137.0%
Expected Move42.3%22.4%88.5%25.1%39.3%
HV 20d153.0%102.2%263.5%136.1%263.5%
HV 60d149.1%129.5%195.4%129.5%195.4%
IV Rank58.6%29.1%100.0%33.9%40.3%
IV Percentile94.8%83.3%100.0%87.3%92.9%
Term Structure-6.9%-36.4%4.5%-3.4%3.9%
VWIV149.2%82.1%322.9%90.9%138.8%
Skew 25d31.1%16.1%70.6%16.1%21.9%
Skew 10d64.6%33.9%120.8%33.9%49.7%
Call IV 25d134.1%75.2%278.8%86.3%130.3%
Put IV 25d165.2%93.0%349.4%102.4%152.2%
Bid-Ask Spread %2.801.715.972.912.08
Gamma HHI0.140.090.190.150.09
Net GEX-3.1M-6.4M307.7K-5.2M307.7K
Net DEX1.19B639.2M1.59B1.51B758.8M
Net VEX-6.1M-10.6M-2.6M-10.3M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.571.840.570.62
Total Volume36,548.5798,861112,6908,86133,632
Total OI565,592.316536,035607,160546,528593,880

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$139.90$150.0087.4%25.1%136.1%33.9%90.9%16.1%-3.4%-5.2M1.51B-10.3M0.572.915,6283,233292,233254,295
2008-11-04$146.80$150.0078.0%22.4%128.8%29.1%82.1%17.9%-1.3%-5.5M1.48B-10.6M0.983.477,4427,295292,650253,871
2008-11-05$126.30$150.0099.7%28.6%138.3%40.2%100.2%18.8%-8.1%-6.4M1.59B-8.7M1.132.785,7876,523294,842251,740
2008-11-06$115.20$150.00115.7%33.2%136.9%48.3%120.7%21.0%-15.9%-5.6M1.59B-7.7M1.342.699,58112,864296,168251,793
2008-11-07$118.20$200.00107.9%27.6%133.0%44.4%98.6%17.4%-0.9%-5.8M1.44B-8.2M0.733.505,9214,301299,926242,668
2008-11-10$112.10$200.00137.5%33.1%126.1%59.5%114.9%24.2%-5.2%-4.9M1.43B-7.3M1.302.216,6258,589300,118235,917
2008-11-11$108.00$200.00141.5%33.2%105.7%61.5%112.0%24.0%-5.6%-4.8M1.39B-7.1M1.562.999,48814,809302,083237,354
2008-11-12$96.40$200.00144.9%36.0%102.7%63.3%127.7%24.1%-2.8%-4.0M1.35B-6.5M1.503.1012,04118,038304,842241,685
2008-11-13$94.50$200.00127.3%36.5%102.7%54.2%131.0%28.1%0.2%-3.9M1.34B-6.2M1.212.1916,95420,508309,491246,222
2008-11-14$95.20$175.00134.3%38.5%102.2%57.9%138.5%30.6%-4.2%-3.6M1.26B-6.4M0.922.7014,53413,359314,168243,487
2008-11-17$88.90$175.00138.7%39.8%102.5%60.1%151.3%39.6%-2.1%-3.1M1.28B-5.6M0.962.8413,88513,291316,689244,894
2008-11-18$83.60$175.00175.4%50.3%102.5%78.9%166.6%46.1%-10.0%-2.4M1.22B-5.5M1.782.5515,66027,823322,759249,582
2008-11-19$64.00$175.00198.7%57.0%133.2%90.8%206.6%50.2%-17.5%-1.6M1.04B-3.9M1.842.3419,09935,084325,772252,375
2008-11-20$47.10$175.00253.7%72.7%163.7%100.0%250.1%39.1%-13.7%-979.8K800.6M-3.0M0.985.9735,93335,092330,032258,696
2008-11-21$37.70$150.00308.6%88.5%174.5%100.0%322.9%70.6%-36.4%-387.0K639.2M-2.6M0.953.0557,76854,922343,419263,741
2008-11-24$59.50$125.00189.8%54.4%252.9%58.7%178.5%41.9%-2.8%-1.0M848.4M-3.6M0.681.8241,81028,486334,304259,166
2008-11-25$60.80$100.00179.0%51.3%246.0%54.9%168.4%35.3%-9.7%-315.2K803.9M-3.6M1.182.2518,67522,047343,716248,906
2008-11-26$70.50$100.00127.6%36.6%254.9%37.0%135.7%24.6%4.5%-146.1K805.8M-4.1M0.661.7122,75914,937345,129247,641
2008-11-28$82.90$100.00137.0%39.3%263.5%40.3%138.8%21.9%3.9%307.7K758.8M-5.1M0.622.0820,80512,827349,742244,138