C Options History — November 2021

In November 2021, C traded between $64.04 and $69.53. ATM implied volatility averaged 25.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.0% (HV 20d: 20.1%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-11-04: Highest Volume — 242,323 contracts
  • 2021-11-26: Largest IV spike — 22.5% change
  • 2021-11-26: Highest IV Rank — 50.9%
  • 2021-11-26: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.56$64.04$69.53$69.53$64.04
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV25.1%22.2%32.0%23.0%31.4%
Expected Move7.3%6.4%9.5%6.8%9.3%
HV 20d20.1%16.8%22.6%18.3%22.0%
HV 60d23.0%22.5%23.6%22.9%23.6%
IV Rank17.8%4.1%50.9%6.5%47.7%
IV Percentile18.1%3.2%62.3%4.4%61.1%
Term Structure0.2%-0.6%0.8%0.3%-0.2%
VWIV26.5%22.5%35.0%25.0%34.3%
Skew 25d2.4%1.5%5.1%2.5%4.6%
Skew 10d6.5%4.2%11.0%6.8%10.5%
Call IV 25d24.9%22.4%31.5%22.9%30.1%
Put IV 25d27.3%24.4%36.5%25.3%34.7%
Bid-Ask Spread %2.591.744.453.223.02
Gamma HHI0.080.070.110.070.09
Net GEX-27.2M-71.7M40.1M-5.1M-60.0M
Net DEX1.04B235.7M2.38B288.9M2.38B
Net VEX-25.7M-26.7M-23.7M-23.7M-25.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.341.490.340.73
Total Volume139,872.57173,550242,323217,394159,287
Total OI2,561,083.4762,253,1922,745,8232,253,1922,627,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$69.53$70.0023.0%6.8%18.3%6.5%25.0%2.5%0.3%-5.1M288.9M-23.7M0.343.22162,44154,953989,8621,263,330
2021-11-02$68.69$70.0023.6%7.0%16.8%9.1%25.3%2.2%0.2%-14.7M611.3M-24.1M0.843.6095,04880,2691,036,0591,288,521
2021-11-03$69.20$70.0023.2%6.8%17.2%7.7%25.0%1.5%0.4%777.1K377.7M-25.0M0.642.5597,83863,0751,079,7561,325,456
2021-11-04$66.96$70.0024.5%7.1%20.4%15.1%25.3%1.9%0.4%-42.6M1.38B-25.1M0.682.06144,35897,9651,112,9061,342,863
2021-11-05$67.10$70.0024.2%7.1%20.3%13.8%25.5%1.8%0.3%-31.5M1.32B-25.6M0.622.4081,81450,4811,159,7901,385,802
2021-11-08$68.33$70.0024.8%7.2%21.7%16.3%25.2%2.0%0.3%-12.4M715.9M-26.1M0.361.7484,21130,0561,117,4681,373,389
2021-11-09$68.21$70.0025.2%7.4%20.8%18.7%26.6%1.7%0.4%-12.5M739.2M-26.2M0.562.5354,98031,0051,130,5471,381,825
2021-11-10$68.17$70.0025.6%7.4%20.8%20.5%26.4%2.1%0.4%-11.7M730.3M-26.2M0.822.89103,69884,9171,142,5071,394,800
2021-11-11$69.04$70.0023.9%6.9%21.4%12.3%24.6%2.1%0.3%16.3M235.7M-26.7M0.451.9457,28625,8871,207,3211,447,721
2021-11-12$68.97$70.0023.4%6.8%19.2%10.1%25.9%1.6%0.3%40.1M291.9M-26.7M0.691.9456,40538,9451,207,3041,454,773
2021-11-15$68.68$70.0023.0%6.6%19.1%8.1%23.2%1.8%-0.0%-9.4M505.2M-26.5M0.632.0145,17028,3801,185,7601,432,475
2021-11-16$67.92$70.0022.2%6.4%19.4%4.1%22.5%2.1%0.5%-24.4M969.3M-25.3M0.502.5263,65631,5721,195,9131,441,831
2021-11-17$67.00$70.0023.2%6.6%19.7%8.8%23.8%2.1%0.3%-43.2M1.49B-25.1M0.861.8881,43169,6811,211,8911,456,125
2021-11-18$67.08$70.0023.1%6.6%19.3%8.3%23.3%2.5%0.8%-43.8M1.41B-25.4M1.492.0255,87983,4601,219,6151,483,288
2021-11-19$66.14$70.0025.3%7.3%18.8%19.0%28.8%2.7%-0.6%-71.7M1.91B-25.8M1.112.2387,22596,8611,229,4101,516,413
2021-11-22$67.35$70.0025.2%7.1%20.2%18.3%25.0%2.5%0.2%-47.1M1.07B-26.5M0.512.8895,08248,6101,088,6441,466,308
2021-11-23$68.10$70.0026.3%7.6%20.7%23.7%27.1%2.5%-0.1%-25.2M637.1M-26.6M0.573.3963,61935,9791,104,6691,470,898
2021-11-24$67.43$70.0026.1%7.4%20.9%22.8%27.1%2.5%-0.2%-48.6M986.1M-26.2M0.672.2962,42441,7611,114,4221,479,315
2021-11-26$65.58$70.0032.0%9.5%22.6%50.9%35.0%5.1%-0.5%-65.9M1.88B-26.6M0.784.4587,09267,4971,131,2061,492,689
2021-11-29$65.21$70.0028.0%8.4%21.6%31.8%31.1%3.7%0.2%-58.0M1.98B-25.2M0.632.7584,02053,0061,116,7841,475,928
2021-11-30$64.04$70.0031.4%9.3%22.0%47.7%34.3%4.6%-0.2%-60.0M2.38B-25.4M0.733.0291,83667,4511,134,8411,492,328