C Options History — November 2016

In November 2016, C traded between $48.04 and $56.78. ATM implied volatility averaged 25.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.6% (HV 20d: 21.6%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-11-10: Highest Volume — 382,526 contracts
  • 2016-11-07: Largest IV drop — 12.5% change
  • 2016-11-14: Highest IV Rank — 31.2%
  • 2016-11-14: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.32$48.04$56.78$48.95$56.55
Max Pain$48.69$47.50$50.00$47.50$50.00
ATM IV25.2%22.4%29.9%25.1%22.8%
Expected Move7.4%6.4%8.6%7.7%6.9%
HV 20d21.6%10.3%27.6%11.8%27.3%
HV 60d19.2%15.5%21.4%15.5%21.4%
IV Rank16.7%8.3%31.2%17.1%9.4%
IV Percentile39.1%17.5%71.0%40.5%19.8%
Term Structure0.1%-0.7%1.3%-0.2%-0.0%
VWIV26.7%23.0%30.7%27.1%25.2%
Skew 25d3.5%1.9%5.8%4.4%2.1%
Skew 10d6.7%2.3%12.7%9.1%4.5%
Call IV 25d23.9%21.0%29.1%23.2%22.2%
Put IV 25d27.4%23.6%32.6%27.7%24.3%
Bid-Ask Spread %8.494.1117.8917.8913.81
Gamma HHI0.150.120.260.140.12
Net GEX76.3M33.8M122.1M46.5M75.2M
Net DEX-2.36B-3.70B-407.9M-761.2M-3.17B
Net VEX-11.7M-12.9M-11.2M-11.4M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.351.100.951.10
Total Volume126,892.95254,696382,52669,981117,640
Total OI1,944,911.3331,844,3462,124,7071,844,3461,970,843

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$48.95$47.5025.1%7.7%11.8%17.1%27.1%4.4%-0.2%46.5M-761.2M-11.4M0.9517.8935,92234,0591,075,638768,708
2016-11-02$48.59$47.5025.4%7.9%10.3%17.2%27.6%4.7%-0.0%39.4M-623.8M-11.5M0.9512.7228,02426,6721,086,206783,376
2016-11-03$48.04$47.5027.2%8.0%10.7%22.8%28.1%5.7%-0.2%33.8M-407.9M-11.3M0.866.8938,63433,2271,081,537789,523
2016-11-04$48.18$47.5026.9%8.0%10.4%22.0%29.9%5.7%-0.1%48.9M-493.6M-11.6M0.504.1173,89336,5911,097,807798,129
2016-11-07$49.77$47.5023.6%6.9%15.8%11.7%26.3%5.8%0.5%60.4M-1.11B-11.2M0.967.9949,66647,5111,105,370779,446
2016-11-08$49.98$47.5023.3%6.9%15.1%11.0%26.3%5.4%0.7%58.0M-1.13B-11.4M1.005.6544,04044,0511,099,943798,324
2016-11-09$51.61$47.5024.4%6.9%18.6%14.3%25.5%4.6%-0.2%84.4M-1.90B-11.3M0.526.49148,18476,4941,106,101816,906
2016-11-10$53.57$47.5026.9%8.0%22.1%21.8%27.9%3.4%1.3%103.2M-2.80B-11.6M0.357.87283,21399,3131,131,376841,523
2016-11-11$52.81$47.5027.0%7.9%23.1%22.2%27.9%2.7%0.7%85.3M-2.42B-12.0M0.645.92126,41980,9841,134,195878,528
2016-11-14$54.49$47.5029.9%8.6%24.8%31.2%30.7%3.5%-0.5%102.3M-3.09B-12.1M0.655.2786,58355,9731,145,465838,879
2016-11-15$55.31$47.5028.7%8.2%25.0%27.4%29.6%3.2%-0.7%101.9M-3.36B-12.2M0.704.7898,58868,8251,154,571855,747
2016-11-16$54.53$50.0027.1%7.8%25.9%22.4%30.2%3.9%0.6%113.8M-3.05B-12.9M0.864.5452,07444,9371,190,813876,016
2016-11-17$55.49$50.0026.7%7.7%26.3%21.3%28.7%2.7%-0.0%122.1M-3.58B-12.3M0.816.7588,18471,7981,194,172890,889
2016-11-18$55.57$50.0024.9%7.1%26.3%15.7%26.1%2.0%0.3%96.1M-3.70B-12.1M0.664.3996,62163,6251,202,536922,171
2016-11-21$55.50$50.0023.3%6.6%26.3%10.8%23.9%2.0%0.1%69.2M-2.81B-11.8M0.7613.6849,06537,2941,055,306800,091
2016-11-22$56.08$50.0023.3%6.6%26.3%10.8%24.0%2.4%0.1%74.2M-3.00B-11.6M0.7610.2855,05041,7711,061,814811,427
2016-11-23$56.75$50.0022.4%6.4%26.3%8.3%23.1%1.9%0.0%78.8M-3.25B-11.5M0.8312.6055,00345,9021,075,317830,345
2016-11-25$56.78$50.0022.9%6.6%26.3%9.6%23.0%2.2%-0.3%77.2M-3.24B-11.7M0.7910.2131,05324,5971,088,802850,165
2016-11-28$55.60$50.0023.6%7.0%27.6%11.7%25.3%2.1%0.1%65.9M-2.80B-11.6M0.638.0854,73734,7191,078,073830,406
2016-11-29$55.48$50.0023.6%7.0%27.4%11.8%24.7%2.3%0.2%65.3M-2.75B-11.8M0.538.3954,94828,8681,096,693849,961
2016-11-30$56.55$50.0022.8%6.9%27.3%9.4%25.2%2.1%-0.0%75.2M-3.17B-11.5M1.1013.8155,97161,6691,111,345859,498