C Options History — November 2020

In November 2020, C traded between $42.11 and $56.86. ATM implied volatility averaged 37.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 11.5% (HV 20d: 48.4%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-11-09: Highest Volume — 275,190 contracts
  • 2020-11-04: Largest IV drop — 16.4% change
  • 2020-11-02: Highest IV Rank — 23.8%
  • 2020-11-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.55$42.11$56.86$42.11$55.32
Max Pain$47.13$45.00$47.50$45.00$47.50
ATM IV37.0%34.3%46.9%46.9%36.9%
Expected Move10.9%9.9%14.7%14.7%10.7%
HV 20d48.4%28.6%55.9%28.6%53.9%
HV 60d40.3%31.9%44.3%31.9%44.3%
IV Rank15.8%13.6%23.8%23.8%15.7%
IV Percentile33.1%25.0%61.5%61.5%32.1%
Term Structure0.0%-0.9%1.1%-0.4%1.1%
VWIV39.3%36.0%52.2%52.2%37.8%
Skew 25d2.5%0.1%7.4%7.4%1.2%
Skew 10d6.7%-2.4%32.3%17.3%2.8%
Call IV 25d37.1%34.1%43.7%43.7%36.9%
Put IV 25d39.5%36.6%51.1%51.1%38.2%
Bid-Ask Spread %3.992.1714.222.882.85
Gamma HHI0.080.070.100.100.09
Net GEX18.8M-23.2M38.8M-23.2M25.0M
Net DEX-343.8M-2.22B1.72B1.72B-1.58B
Net VEX-17.6M-18.5M-15.4M-16.2M-17.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.382.312.310.63
Total Volume114,924.0544,429275,190123,00444,429
Total OI2,381,5732,238,8432,467,8762,400,9612,238,843

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$42.11$45.0046.9%14.7%28.6%23.8%52.2%7.4%-0.4%-23.2M1.72B-16.2M2.312.8837,13885,8661,137,8571,263,104
2020-11-03$43.91$45.0045.6%14.5%32.7%22.7%52.1%6.3%-0.9%-10.0M1.23B-17.1M0.4312.1179,96034,3891,137,8571,263,104
2020-11-04$42.16$45.0038.2%11.8%35.3%16.7%42.2%4.3%0.1%-11.3M1.72B-15.4M0.433.3972,73631,5331,156,7671,211,570
2020-11-05$42.98$47.5036.7%10.9%36.2%15.6%38.0%2.8%0.3%-8.4M1.48B-15.8M0.682.4194,59064,3571,151,5501,211,393
2020-11-06$42.83$47.5036.4%10.7%36.2%15.3%37.9%0.4%0.5%-3.3M1.52B-16.2M0.692.7856,74538,9361,193,1341,242,205
2020-11-09$48.25$47.5037.5%11.0%55.9%16.2%39.9%0.1%0.7%22.0M-126.7M-18.5M0.392.95198,08977,1011,173,8661,238,889
2020-11-10$47.68$47.5037.6%10.9%53.0%16.3%39.1%0.5%0.3%21.5M108.8M-18.3M0.572.5877,29643,9371,186,6961,231,390
2020-11-11$48.74$47.5035.8%10.5%52.8%14.8%37.9%0.6%1.1%26.4M-240.7M-18.5M0.3814.22103,93139,7581,187,1771,235,568
2020-11-12$48.05$47.5037.4%10.8%53.3%16.2%38.5%3.1%0.6%25.6M2.2M-18.2M0.442.7968,89230,6471,199,7991,241,997
2020-11-13$49.02$47.5035.0%10.1%53.4%14.2%36.8%3.0%0.3%35.4M-293.6M-18.4M0.482.2168,39332,7971,200,7511,245,161
2020-11-16$50.22$47.5034.8%10.0%53.6%14.0%36.3%3.3%-0.1%32.3M-595.4M-17.9M0.582.8784,81549,3771,164,5691,226,934
2020-11-17$50.53$47.5035.5%10.2%53.5%14.6%36.0%3.9%-0.9%33.7M-697.8M-18.1M0.572.7236,52320,7601,173,3391,245,311
2020-11-18$51.34$47.5035.1%10.1%52.8%14.3%36.5%2.4%-0.9%38.8M-996.5M-18.3M0.607.8575,30645,1151,180,5591,251,278
2020-11-19$52.23$47.5034.6%9.9%52.7%13.9%36.6%2.0%-0.3%35.2M-1.29B-18.1M1.092.6235,63138,9081,184,2651,267,600
2020-11-20$51.83$47.5034.5%9.9%53.0%13.8%37.2%2.5%-0.1%16.2M-1.14B-18.1M0.872.1742,25236,8431,192,3241,275,552
2020-11-23$53.41$47.5034.3%9.9%52.5%13.6%37.6%3.3%-0.2%28.9M-1.21B-17.8M0.782.6148,25337,5911,089,9031,157,712
2020-11-24$56.84$47.5035.8%10.4%53.6%14.8%37.7%1.3%-0.1%31.2M-2.22B-17.9M0.492.49147,92272,5381,096,1511,159,911
2020-11-25$56.86$47.5035.4%10.3%52.7%14.5%36.8%0.1%-0.5%30.8M-2.17B-17.9M0.742.6550,95337,5551,105,9801,187,949
2020-11-27$56.61$47.5035.8%10.3%53.1%14.8%38.4%1.0%-0.2%28.7M-2.08B-18.1M0.642.5834,45822,1611,120,0291,203,416
2020-11-30$55.32$47.5036.9%10.7%53.9%15.7%37.8%1.2%1.1%25.0M-1.58B-17.7M0.632.8527,22517,2041,085,0991,153,744