C Options History — November 2015

In November 2015, C traded between $53.20 and $55.93. ATM implied volatility averaged 22.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 5.6% (HV 20d: 27.7%). Max pain ranged from $52.50 to $54.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-11-06: Highest Volume — 149,518 contracts
  • 2015-11-12: Largest IV spike — 8.1% change
  • 2015-11-17: Highest IV Rank — 44.2%
  • 2015-11-16: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.44$53.20$55.93$53.77$54.09
Max Pain$52.85$52.50$54.50$52.50$54.50
ATM IV22.1%19.4%25.3%19.4%21.4%
Expected Move6.5%5.5%7.4%5.5%6.6%
HV 20d27.7%23.3%29.4%26.8%23.3%
HV 60d29.8%26.0%32.5%30.9%26.0%
IV Rank32.4%22.7%44.2%22.7%28.2%
IV Percentile59.2%40.1%79.8%40.1%49.2%
Term Structure0.3%-1.5%2.3%0.7%-0.0%
VWIV23.0%19.5%25.5%19.5%23.3%
Skew 25d2.5%1.5%3.3%2.0%2.9%
Skew 10d5.6%2.0%8.1%3.2%5.9%
Call IV 25d21.3%19.5%24.0%19.5%20.0%
Put IV 25d23.8%21.4%27.2%21.5%23.0%
Bid-Ask Spread %7.755.2112.876.907.54
Gamma HHI0.110.100.130.100.11
Net GEX55.6M37.1M81.6M45.0M42.8M
Net DEX-1.01B-1.67B-535.6M-740.8M-692.2M
Net VEX-13.9M-14.9M-12.7M-13.0M-12.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.331.470.330.50
Total Volume67,872.931,064149,518112,84342,838
Total OI1,751,840.551,664,9091,848,8931,686,6431,683,483

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$53.77$52.5019.4%5.5%26.8%22.7%19.5%2.0%0.7%45.0M-740.8M-13.0M0.336.9084,53828,3051,008,572678,071
2015-11-03$54.22$52.5020.3%5.9%26.8%25.9%20.3%2.0%0.4%54.6M-918.2M-13.8M0.605.7944,88326,8521,022,371681,676
2015-11-04$53.69$52.5020.5%6.1%27.2%26.6%21.1%1.7%0.7%46.7M-736.3M-13.6M0.927.7125,60223,6451,028,535686,598
2015-11-05$54.24$52.5021.5%6.4%27.3%30.3%23.1%2.0%0.3%60.6M-997.1M-13.7M0.978.1341,59640,2431,039,681688,177
2015-11-06$55.87$52.5020.4%6.3%28.6%26.2%21.7%1.5%-0.3%77.3M-1.67B-14.5M0.388.70108,16741,3511,048,663704,300
2015-11-09$55.71$52.5021.9%6.7%28.7%32.0%23.2%2.3%1.2%73.2M-1.47B-14.6M0.349.0539,22413,4461,045,469697,544
2015-11-10$55.77$52.5021.9%6.8%28.7%31.8%23.5%2.0%1.6%79.2M-1.62B-14.5M0.997.7631,20230,9571,060,754701,002
2015-11-11$55.93$52.5021.8%6.9%28.1%31.3%24.1%2.2%2.3%81.6M-1.64B-14.9M1.3012.8722,80929,5761,061,307709,990
2015-11-12$53.52$52.5023.5%7.1%29.1%37.8%24.3%3.3%2.3%41.6M-660.9M-14.1M0.566.5659,52033,4911,080,671713,485
2015-11-13$53.20$52.5024.6%7.3%29.2%41.8%25.5%2.8%1.2%37.1M-535.6M-14.2M0.859.5439,34533,5361,100,614720,917
2015-11-16$53.69$52.5025.2%7.4%29.3%43.8%24.9%3.3%-1.1%43.8M-724.1M-14.2M0.386.9928,24510,8471,086,330713,917
2015-11-17$53.60$52.5025.3%7.3%29.3%44.2%24.5%3.3%-1.5%44.4M-692.9M-14.0M1.057.3230,09931,6311,091,963713,545
2015-11-18$55.00$52.5023.4%6.7%29.4%37.3%24.1%2.8%-0.2%70.0M-1.29B-14.2M0.928.3743,01639,6041,093,262722,705
2015-11-19$55.07$52.5022.8%6.5%29.2%35.2%25.3%2.3%-0.3%73.9M-1.34B-14.2M1.108.5435,43638,8811,102,534733,276
2015-11-20$54.73$52.5022.0%6.2%28.3%32.1%24.3%2.8%0.8%50.8M-1.13B-13.9M1.165.2134,57440,2061,108,227740,666
2015-11-23$54.28$52.5021.3%6.1%28.2%29.5%21.9%2.7%-0.3%48.7M-872.5M-13.5M0.727.9028,38220,3751,007,821657,088
2015-11-24$54.18$54.0022.5%6.4%27.9%33.9%23.0%2.7%-1.0%47.6M-826.7M-13.6M0.936.5716,07414,9901,026,750667,052
2015-11-25$54.05$54.0021.0%6.1%24.3%28.3%21.6%2.4%-0.4%43.3M-721.0M-13.2M1.476.8823,53834,6361,030,466667,995
2015-11-27$54.21$54.5021.1%6.2%23.5%28.8%21.6%2.4%-0.1%50.2M-868.5M-13.1M1.436.7318,85126,9471,036,513674,821
2015-11-30$54.09$54.5021.4%6.6%23.3%28.2%23.3%2.9%-0.0%42.8M-692.2M-12.7M0.507.5428,52214,3161,023,960659,523