C Options History — November 2013

In November 2013, C traded between $48.35 and $53.29. ATM implied volatility averaged 18.8%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.5% (HV 20d: 19.3%). Max pain ranged from $48.00 to $57.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2013-11-22: Highest Volume — 220,734 contracts
  • 2013-11-11: Largest IV spike — 7.2% change
  • 2013-11-19: Highest IV Rank — 8.9%
  • 2013-11-19: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.60$48.35$53.29$48.74$52.92
Max Pain$50.00$48.00$57.50$50.00$50.00
ATM IV18.8%17.8%19.5%18.4%18.6%
Expected Move7.0%5.2%7.9%5.2%7.9%
HV 20d19.3%16.8%22.7%22.7%16.8%
HV 60d20.8%20.0%21.5%21.0%20.3%
IV Rank5.0%0.2%8.9%2.3%4.2%
IV Percentile3.5%0.4%7.1%0.8%4.8%
Term Structure1.1%0.1%3.5%0.5%0.1%
VWIV24.8%18.0%29.0%18.0%27.2%
Skew 25d1.8%1.4%2.3%1.7%1.5%
Skew 10d4.0%2.7%6.1%3.2%3.4%
Call IV 25d18.3%17.3%19.0%17.8%18.2%
Put IV 25d20.1%19.0%20.9%19.5%19.7%
Bid-Ask Spread %7.844.5612.8811.514.57
Gamma HHI0.130.100.200.100.15
Net GEX43.4M-18.9M100.9M-11.1M100.9M
Net DEX-1.72B-3.05B-424.6M-568.4M-2.72B
Net VEX-13.3M-14.2M-12.6M-13.0M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.271.210.450.49
Total Volume101,616.8541,840220,73472,42043,648
Total OI2,542,387.42,342,4742,679,0862,536,4942,617,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$48.74$50.0018.4%5.2%22.7%2.3%18.0%1.7%0.5%-11.1M-568.4M-13.0M0.4511.5150,08622,3341,126,7091,409,785
2013-11-04$48.63$49.0018.6%5.4%21.5%3.0%19.2%1.8%0.3%-13.2M-543.8M-13.0M0.6710.0731,19720,8831,116,2721,401,086
2013-11-05$48.38$49.0018.6%5.3%21.3%3.1%19.1%1.9%0.8%-18.9M-424.6M-12.7M0.759.9039,79029,9521,123,6781,411,585
2013-11-06$48.62$48.0018.6%5.3%21.2%3.1%19.2%1.7%0.2%-7.6M-656.1M-12.6M0.428.0929,56512,2751,132,9421,398,946
2013-11-07$48.35$48.0019.0%5.5%18.9%6.5%18.9%1.8%0.7%-13.5M-539.9M-12.7M0.6710.2358,46539,2411,142,7521,403,876
2013-11-08$49.94$48.5018.0%5.2%22.3%1.3%18.5%1.4%1.1%42.5M-1.39B-13.2M0.438.97130,96756,8691,171,1921,426,557
2013-11-11$50.17$0.0019.3%7.4%22.2%7.8%24.9%1.8%0.5%41.4M-1.60B-13.0M0.279.2664,34917,0731,175,0551,416,440
2013-11-12$49.52$57.5019.5%7.4%22.0%8.7%26.3%2.0%0.3%27.2M-1.22B-12.8M0.884.8938,01733,6141,187,0371,422,893
2013-11-13$49.99$50.0019.3%7.5%16.9%7.7%28.9%1.6%0.4%41.2M-1.51B-13.3M0.346.2872,18724,6181,200,1571,437,081
2013-11-14$50.21$50.0019.3%7.7%16.8%7.8%26.5%1.8%0.5%62.5M-1.78B-13.0M0.4810.8261,02329,4711,222,6691,438,208
2013-11-15$50.40$50.0019.3%7.7%16.9%8.0%26.8%2.1%0.3%58.0M-1.98B-13.0M0.405.2468,23227,5481,229,6781,449,408
2013-11-18$50.79$50.0019.3%7.8%17.2%7.7%27.3%2.0%2.4%47.0M-1.80B-13.0M0.454.56110,19549,9371,071,7731,270,701
2013-11-19$51.17$50.0019.5%7.9%17.3%8.9%29.0%2.3%3.0%58.1M-2.04B-13.7M0.294.8873,00821,5401,109,7041,293,136
2013-11-20$50.77$50.0019.4%7.9%17.0%8.5%28.1%2.1%3.1%51.5M-1.84B-13.5M0.7912.8848,98938,8611,129,5101,302,684
2013-11-21$51.73$50.0018.4%7.8%18.2%3.1%28.3%2.0%0.8%73.4M-2.33B-13.5M0.729.3783,86460,5251,135,6641,314,137
2013-11-22$52.41$50.0018.1%7.8%18.6%1.8%27.0%1.8%0.5%58.4M-2.65B-13.5M0.534.91144,29476,4401,145,8821,336,660
2013-11-25$53.29$50.0018.5%7.8%19.2%3.9%28.8%1.5%3.5%88.9M-3.05B-13.5M0.387.63119,51445,1061,171,9841,349,773
2013-11-26$53.01$50.0018.2%7.8%19.5%2.5%26.9%1.8%3.3%89.1M-2.81B-14.2M0.617.1544,37026,9521,202,8561,367,129
2013-11-27$53.05$50.0017.8%7.9%19.2%0.2%27.6%1.7%0.3%91.8M-2.85B-14.2M1.215.6539,60347,7351,207,7281,377,166
2013-11-29$52.92$50.0018.6%7.9%16.8%4.2%27.2%1.5%0.1%100.9M-2.72B-14.2M0.494.5729,27714,3711,206,7501,410,505