C Options History — November 2018

In November 2018, C traded between $61.75 and $68.22. ATM implied volatility averaged 26.5%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.0% (HV 20d: 25.5%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-11-08: Highest Volume — 181,529 contracts
  • 2018-11-07: Largest IV drop — 13.4% change
  • 2018-11-20: Highest IV Rank — 93.0%
  • 2018-11-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.97$61.75$68.22$65.92$64.95
Max Pain$67.12$65.00$67.50$67.50$65.00
ATM IV26.5%22.3%31.1%27.0%25.0%
Expected Move7.8%6.7%8.9%8.5%7.7%
HV 20d25.5%20.6%30.6%20.6%29.6%
HV 60d21.0%19.5%23.4%19.8%23.2%
IV Rank66.7%42.6%93.0%69.5%57.8%
IV Percentile85.9%70.2%98.4%90.1%77.4%
Term Structure-0.2%-1.7%1.0%-0.3%-0.3%
VWIV27.0%22.5%30.5%30.3%27.3%
Skew 25d4.6%3.2%5.4%5.4%3.2%
Skew 10d9.1%6.1%11.0%11.0%6.1%
Call IV 25d24.6%20.2%29.1%25.2%23.6%
Put IV 25d29.2%24.4%34.3%30.6%26.9%
Bid-Ask Spread %3.432.279.953.193.02
Gamma HHI0.100.060.220.060.10
Net GEX14.8M-22.1M80.1M14.2M23.0M
Net DEX694.2M-292.1M1.44B568.3M547.1M
Net VEX-12.2M-13.2M-10.8M-12.4M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.541.830.540.95
Total Volume102,838.95246,777181,529136,42460,940
Total OI1,610,837.3811,511,9311,723,8001,528,4211,611,941

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$65.92$67.5027.0%8.5%20.6%69.5%30.3%5.4%-0.3%14.2M568.3M-12.4M0.543.1988,30948,115909,805618,616
2018-11-02$65.97$67.5026.5%8.3%20.7%66.6%28.3%5.3%0.1%77.6M450.9M-12.7M0.719.9577,60254,896943,277640,976
2018-11-05$67.26$67.5026.4%7.7%22.1%66.4%26.7%5.4%0.1%37.8M42.6M-13.1M0.553.3664,87035,982935,358628,497
2018-11-06$66.42$67.5025.8%7.3%22.3%62.5%25.8%4.8%0.3%33.1M319.2M-12.9M0.623.1177,56548,141958,994646,041
2018-11-07$68.22$67.5022.3%6.7%23.5%42.6%22.5%4.2%0.1%71.2M-292.1M-13.0M0.963.1791,21587,916983,378661,756
2018-11-08$67.60$67.5022.8%6.7%23.1%45.6%23.7%4.0%0.2%80.1M-138.4M-13.2M1.232.9381,278100,2511,020,155668,307
2018-11-09$66.08$67.5024.9%7.4%24.2%57.4%25.0%4.1%0.2%23.3M532.5M-13.0M0.672.9685,13156,9061,014,299697,809
2018-11-12$64.29$67.5027.8%7.9%25.7%74.4%27.7%5.1%-0.1%1.1M1.08B-12.3M1.332.8327,47236,4331,006,821686,950
2018-11-13$64.86$67.5027.1%7.8%26.1%70.2%26.4%4.8%0.1%7.3M918.5M-12.6M0.903.7432,84229,3961,015,161694,678
2018-11-14$63.71$67.5028.8%8.5%26.5%79.9%29.1%5.2%1.0%-9.8M1.24B-12.1M1.832.8840,15973,4351,020,630695,384
2018-11-15$64.39$67.5027.2%7.8%26.8%70.9%25.8%5.1%-0.1%-5.8M1.08B-12.2M0.702.9675,89553,4031,014,451697,183
2018-11-16$64.83$67.5025.7%7.5%26.9%62.0%25.1%4.4%0.6%-17.5M965.8M-12.3M1.142.2746,48652,7941,019,136704,664
2018-11-19$64.44$67.5027.5%7.9%24.7%72.7%27.3%4.7%-1.3%-4.2M790.4M-12.0M1.312.9630,29939,729875,128636,803
2018-11-20$62.80$67.5031.1%8.9%25.7%93.0%30.5%5.2%-1.7%-16.1M1.14B-11.7M1.153.2154,91163,080881,935640,883
2018-11-21$63.14$67.5028.3%8.1%24.9%76.8%27.3%4.6%-1.4%-17.7M1.10B-11.6M1.243.0832,76840,511895,220649,354
2018-11-23$61.75$67.5029.3%8.5%25.6%83.1%29.5%4.5%-1.4%-22.1M1.44B-10.8M1.015.0623,24523,532900,099653,431
2018-11-26$63.83$67.5027.0%8.0%28.3%69.6%27.2%4.8%-0.6%-5.0M907.8M-11.5M0.993.0840,77240,386883,457639,479
2018-11-27$63.36$66.0026.1%7.9%28.3%64.6%26.9%3.8%-0.1%-4.3M1.03B-11.1M0.992.7629,76829,602899,928642,626
2018-11-28$65.46$65.5024.8%7.5%30.6%56.7%26.4%3.9%-0.4%22.5M420.2M-11.9M0.602.4557,90034,846906,006647,859
2018-11-29$65.15$65.5025.2%7.7%29.6%59.0%28.5%3.5%-0.2%23.1M431.7M-12.0M1.743.1033,09557,742925,993655,117
2018-11-30$64.95$65.0025.0%7.7%29.6%57.8%27.3%3.2%-0.3%23.0M547.1M-11.9M0.953.0231,18529,755935,218676,723