C Options History — November 2017

In November 2017, C traded between $71.29 and $75.59. ATM implied volatility averaged 18.8%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.2% (HV 20d: 13.6%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2017-11-02: Highest Volume — 247,709 contracts
2017-11-29: Largest IV spike — 10.3% change
2017-11-29: Highest IV Rank — 34.5%
2017-11-29: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.81	$71.29	$75.59	$73.99	$75.59
Max Pain	$70.40	$70.00	$72.50	$72.50	$72.00
ATM IV	18.8%	17.4%	20.7%	19.2%	19.8%
Expected Move	5.6%	5.0%	6.4%	5.4%	6.2%
HV 20d	13.6%	10.2%	17.6%	17.5%	17.6%
HV 60d	16.9%	16.5%	17.8%	17.3%	17.4%
IV Rank	18.1%	7.4%	34.5%	19.8%	27.6%
IV Percentile	29.3%	10.3%	61.1%	32.9%	46.4%
Term Structure	0.3%	-0.7%	1.5%	0.1%	0.3%
VWIV	20.1%	17.9%	23.0%	19.1%	22.1%
Skew 25d	1.5%	-0.7%	2.4%	-0.7%	0.8%
Skew 10d	3.0%	-2.7%	6.9%	-1.3%	0.5%
Call IV 25d	18.8%	16.8%	22.6%	20.6%	20.0%
Put IV 25d	20.3%	18.5%	24.0%	20.0%	20.8%
Bid-Ask Spread %	3.83	1.85	11.30	4.75	9.97
Gamma HHI	0.14	0.11	0.20	0.16	0.15
Net GEX	96.3M	948.5K	171.0M	142.0M	149.8M
Net DEX	-2.26B	-3.72B	-1.47B	-3.33B	-3.44B
Net VEX	-17.8M	-19.5M	-16.2M	-19.4M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.17	1.47	0.70	0.48
Total Volume	94,593.762	35,110	247,709	63,745	140,995
Total OI	1,862,529.381	1,742,501	1,968,541	1,931,059	1,817,948

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-11-01	$73.99	$72.50	19.2%	5.4%	17.5%	19.8%	19.1%	-0.7%	0.1%	142.0M	-3.33B	-19.4M	0.70	4.75	37,575	26,170	1,147,566	783,493
2017-11-02	$74.71	$70.00	19.0%	5.6%	15.9%	18.3%	19.8%	0.6%	0.5%	171.0M	-3.72B	-19.5M	0.17	2.03	211,468	36,241	1,148,176	790,608
2017-11-03	$73.98	$70.00	18.0%	5.4%	16.2%	10.7%	19.4%	0.8%	0.8%	127.4M	-2.76B	-18.8M	0.62	1.85	64,700	40,330	1,060,040	799,283
2017-11-06	$73.82	$70.00	17.6%	5.3%	16.2%	8.4%	22.5%	1.1%	0.6%	137.3M	-2.72B	-18.7M	0.55	1.99	65,108	35,818	1,067,941	788,691
2017-11-07	$72.60	$70.00	18.8%	5.7%	17.1%	17.0%	20.1%	1.8%	1.0%	88.8M	-2.08B	-18.6M	0.57	2.18	77,274	43,879	1,079,025	803,427
2017-11-08	$72.38	$70.00	19.1%	5.7%	17.1%	19.4%	19.9%	1.5%	0.7%	88.5M	-2.02B	-18.5M	0.68	1.98	47,236	31,898	1,100,976	814,145
2017-11-09	$72.43	$70.00	19.7%	5.9%	12.1%	24.0%	20.9%	1.4%	1.0%	94.9M	-2.07B	-18.4M	0.65	1.94	45,268	29,472	1,101,564	821,833
2017-11-10	$72.11	$70.00	19.3%	5.8%	12.1%	20.7%	20.2%	1.3%	1.5%	109.6M	-1.89B	-18.2M	0.67	3.52	35,720	24,043	1,112,544	831,062
2017-11-13	$71.98	$70.00	19.3%	5.6%	11.9%	20.4%	20.0%	2.2%	-0.1%	67.2M	-1.82B	-17.6M	0.58	1.96	33,847	19,779	1,092,271	813,152
2017-11-14	$71.46	$70.00	19.2%	5.5%	12.0%	19.6%	20.9%	2.3%	0.3%	43.2M	-1.55B	-17.5M	0.97	2.13	41,185	40,142	1,098,142	819,614
2017-11-15	$71.94	$70.00	19.9%	5.7%	11.0%	27.7%	20.3%	2.0%	0.2%	66.7M	-1.81B	-17.6M	0.80	3.57	47,394	37,809	1,105,644	831,864
2017-11-16	$71.71	$70.00	19.4%	5.6%	10.8%	24.1%	19.6%	2.4%	0.4%	68.2M	-1.68B	-17.4M	0.58	2.00	40,058	23,118	1,115,016	842,025
2017-11-17	$71.29	$70.00	18.9%	5.4%	10.2%	20.2%	19.1%	2.1%	-0.4%	70.1M	-1.47B	-17.3M	1.47	3.00	55,926	82,082	1,123,546	844,995
2017-11-20	$72.03	$70.00	18.2%	5.2%	11.0%	13.9%	17.9%	1.6%	-0.4%	76.4M	-1.83B	-17.2M	0.50	2.66	48,306	24,044	989,081	753,420
2017-11-21	$72.41	$70.00	17.4%	5.0%	10.7%	7.6%	17.9%	1.8%	-0.1%	91.3M	-2.05B	-17.2M	0.63	4.39	36,056	22,845	1,002,642	757,609
2017-11-22	$72.31	$70.00	17.6%	5.2%	10.5%	9.1%	18.3%	2.3%	-0.6%	87.8M	-1.99B	-16.9M	0.70	3.18	35,631	24,835	1,005,761	758,181
2017-11-24	$72.02	$71.00	18.0%	5.2%	10.5%	12.0%	18.9%	1.4%	-0.7%	948.5K	-1.85B	-16.5M	1.12	8.71	16,525	18,585	1,009,924	766,900
2017-11-27	$71.36	$70.50	17.4%	5.4%	10.8%	7.4%	20.0%	1.9%	0.6%	70.2M	-1.57B	-16.2M	0.85	3.09	37,643	31,859	999,620	749,359
2017-11-28	$73.77	$71.00	18.7%	6.1%	16.5%	18.4%	21.4%	2.1%	0.4%	119.6M	-2.61B	-17.1M	0.34	4.32	83,436	28,749	1,003,602	765,960
2017-11-29	$75.09	$71.50	20.7%	6.4%	17.5%	34.5%	23.0%	1.1%	-0.1%	150.5M	-3.28B	-17.3M	0.35	11.30	120,907	42,513	1,024,766	771,701
2017-11-30	$75.59	$72.00	19.8%	6.2%	17.6%	27.6%	22.1%	0.8%	0.3%	149.8M	-3.44B	-17.2M	0.48	9.97	95,203	45,792	1,036,392	781,556