C Options History — November 2019

In November 2019, C traded between $73.77 and $75.98. ATM implied volatility averaged 20.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.5% (HV 20d: 21.2%). Max pain ranged from $70.00 to $71.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2019-11-07: Highest Volume — 93,153 contracts
  • 2019-11-22: Largest IV drop — 6.0% change
  • 2019-11-21: Highest IV Rank — 11.2%
  • 2019-11-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.84$73.77$75.98$73.78$75.35
Max Pain$70.17$70.00$71.50$70.00$71.50
ATM IV20.6%19.1%21.6%20.0%19.5%
Expected Move6.0%5.6%6.6%5.6%5.8%
HV 20d21.2%17.8%26.0%25.4%17.8%
HV 60d25.2%22.6%28.8%28.5%22.6%
IV Rank8.3%3.6%11.2%6.6%4.9%
IV Percentile12.1%3.6%21.0%6.7%4.4%
Term Structure0.1%-0.7%0.8%0.7%0.1%
VWIV21.5%19.7%23.4%21.0%20.5%
Skew 25d3.6%2.9%4.2%3.9%3.0%
Skew 10d7.4%5.7%10.0%7.8%5.7%
Call IV 25d19.2%18.1%20.2%18.2%18.4%
Put IV 25d22.8%21.2%24.1%22.1%21.4%
Bid-Ask Spread %2.762.223.963.633.21
Gamma HHI0.120.090.140.120.12
Net GEX62.6M45.6M79.4M68.3M68.1M
Net DEX-1.51B-1.95B-1.11B-1.42B-1.57B
Net VEX-11.0M-11.2M-10.4M-11.2M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.231.500.860.81
Total Volume52,097.221,89193,15381,96721,891
Total OI1,230,625.31,175,9581,297,2271,204,4111,269,405

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$73.78$70.0020.0%5.6%25.4%6.6%21.0%3.9%0.7%68.3M-1.42B-11.2M0.863.6344,02737,940571,193633,218
2019-11-04$75.26$70.0020.5%6.2%26.0%7.9%23.4%4.0%0.7%64.0M-1.74B-11.1M0.572.8949,16728,220553,641622,317
2019-11-05$74.88$70.0021.4%6.4%23.8%10.6%22.4%3.7%0.5%62.3M-1.64B-11.1M0.442.6746,57320,345560,177634,221
2019-11-06$74.42$70.0020.9%6.2%23.9%9.3%22.3%3.1%0.7%61.7M-1.50B-11.1M1.502.6021,70532,618562,090640,534
2019-11-07$75.67$70.0021.5%6.6%24.0%11.1%22.4%2.9%0.8%64.8M-1.85B-11.1M0.233.9675,59717,556571,956649,750
2019-11-08$75.98$70.0021.0%6.4%22.4%9.4%22.4%3.2%0.7%74.5M-1.95B-11.2M0.882.8725,16122,201593,024655,334
2019-11-11$75.60$70.0021.3%6.3%22.5%10.3%22.2%3.7%0.4%72.5M-1.81B-11.1M0.712.4018,32213,047580,882650,914
2019-11-12$75.12$70.0021.0%6.1%22.3%9.4%21.8%3.7%0.3%69.0M-1.67B-11.1M0.852.3229,29824,772585,167657,532
2019-11-13$73.94$70.0021.3%6.0%20.7%10.5%22.0%3.6%-0.4%61.6M-1.31B-11.2M1.492.2920,33530,314591,806671,868
2019-11-14$73.77$70.0020.7%5.8%20.8%8.6%21.7%4.0%-0.2%57.4M-1.24B-11.2M0.972.5127,62026,664598,786674,798
2019-11-15$74.13$70.0019.8%5.6%20.8%5.8%21.2%3.7%-0.3%48.4M-1.38B-11.0M0.872.2228,31824,690606,211691,016
2019-11-18$74.38$70.0020.8%6.0%18.6%8.8%21.2%3.3%-0.5%50.2M-1.26B-10.9M1.162.3619,81522,939554,613632,731
2019-11-19$74.94$70.0020.9%6.0%18.7%9.2%21.4%3.7%-0.6%57.4M-1.44B-11.0M0.772.3216,35812,632565,148642,689
2019-11-20$73.91$70.0021.5%6.2%19.5%10.9%20.8%3.8%-0.6%45.9M-1.11B-11.1M1.342.5027,54336,827568,592648,531
2019-11-21$74.02$70.0021.6%6.2%19.5%11.2%22.3%4.2%-0.7%45.6M-1.12B-11.2M1.002.9912,28312,224573,790653,789
2019-11-22$74.76$70.0020.3%5.9%19.0%7.3%20.7%3.6%-0.5%67.0M-1.40B-11.0M0.722.3832,94223,582577,672660,822
2019-11-25$75.74$70.5019.8%5.8%19.4%5.8%20.7%3.5%0.3%67.1M-1.62B-10.7M0.752.7918,75514,076567,618654,555
2019-11-26$75.44$70.5019.6%5.7%19.1%5.1%19.7%3.6%0.2%66.4M-1.53B-10.8M1.162.7430,49535,236573,098661,193
2019-11-27$75.76$71.0019.1%5.6%19.1%3.6%19.8%3.1%0.4%79.4M-1.68B-10.6M0.553.5425,71014,146580,556671,269
2019-11-29$75.35$71.5019.5%5.8%17.8%4.9%20.5%3.0%0.1%68.1M-1.57B-10.4M0.813.2112,0759,816591,803677,602