C Options History — November 2023

In November 2023, C traded between $39.63 and $46.09. ATM implied volatility averaged 22.7%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.0% (HV 20d: 26.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2023-11-02: Highest Volume — 333,752 contracts
  • 2023-11-09: Largest IV spike — 6.1% change
  • 2023-11-09: Highest IV Rank — 13.9%
  • 2023-11-09: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.71$39.63$46.09$39.63$46.09
Max Pain$40.33$40.00$41.00$40.00$41.00
ATM IV22.7%20.9%24.3%23.9%20.9%
Expected Move6.7%6.1%7.1%7.0%6.5%
HV 20d26.7%22.2%30.5%22.2%23.9%
HV 60d22.4%19.6%23.4%19.6%23.2%
IV Rank8.6%2.6%13.9%12.7%2.6%
IV Percentile11.1%2.4%25.0%19.0%2.4%
Term Structure0.1%-0.5%1.0%1.0%-0.0%
VWIV23.7%21.7%25.9%24.4%23.1%
Skew 25d2.0%1.1%3.3%2.7%1.3%
Skew 10d4.4%2.6%7.3%4.5%3.0%
Call IV 25d22.2%20.9%23.7%23.7%20.9%
Put IV 25d24.2%22.2%26.3%26.3%22.2%
Bid-Ask Spread %2.241.943.132.662.14
Gamma HHI0.070.050.100.050.09
Net GEX50.2M1.6M107.3M1.6M103.3M
Net DEX-421.4M-1.59B1.79B1.79B-1.59B
Net VEX-20.9M-22.1M-17.7M-17.7M-21.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.218.441.210.34
Total Volume157,103.90575,381333,75275,38196,097
Total OI3,128,526.0953,017,4233,221,7193,116,2723,153,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$39.63$40.0023.9%7.0%22.2%12.7%24.4%2.7%1.0%1.6M1.79B-17.7M1.212.6634,14341,2381,757,2671,359,005
2023-11-02$41.31$41.0023.2%7.0%26.7%10.2%25.3%2.1%0.8%15.1M1.01B-19.4M0.362.07245,29388,4591,774,0081,382,468
2023-11-03$42.36$41.0023.6%7.1%27.1%11.8%24.4%2.7%0.9%27.7M502.6M-21.2M0.532.40123,33865,5161,738,8651,432,055
2023-11-06$42.05$41.0023.5%6.9%27.3%11.5%25.9%2.4%0.4%18.3M488.1M-20.5M1.592.0667,995108,0691,733,1981,345,091
2023-11-07$42.05$40.0023.0%6.8%26.7%9.7%23.3%2.9%0.6%18.7M302.1M-20.4M4.482.1622,25699,7431,769,0751,358,004
2023-11-08$41.94$40.0022.9%6.7%26.7%9.2%23.1%2.8%0.5%16.6M303.8M-20.2M8.441.9430,663258,7841,773,4681,352,207
2023-11-09$41.50$40.0024.3%7.1%27.0%13.9%24.6%3.3%0.6%4.1M521.6M-19.7M3.312.1626,04186,2441,778,1561,355,486
2023-11-10$42.08$40.0023.0%6.7%27.4%9.7%23.1%2.7%0.6%9.2M241.3M-19.9M1.612.1746,04774,1891,782,2821,359,079
2023-11-13$42.77$41.0023.3%6.7%27.4%10.7%23.9%3.1%-0.1%27.8M-122.1M-20.4M1.142.08105,172120,2331,771,0161,331,689
2023-11-14$44.53$40.0023.2%6.7%30.5%10.3%25.7%1.3%-0.2%59.9M-1.12B-21.9M0.412.31162,71065,9341,793,1711,343,820
2023-11-15$45.00$40.0023.4%6.7%29.2%11.2%24.5%1.3%-0.4%78.1M-1.34B-22.1M0.472.06133,59262,5591,832,6461,338,145
2023-11-16$44.72$40.0022.7%6.5%29.2%8.7%24.2%1.6%-0.1%79.8M-1.12B-22.0M0.742.3665,40048,2381,869,3321,349,336
2023-11-17$45.33$40.0023.2%6.7%28.9%10.5%23.9%1.6%-0.2%89.4M-1.56B-22.1M0.393.13110,35042,9961,874,0091,347,710
2023-11-20$45.42$40.0022.5%6.5%27.1%8.1%22.7%1.6%-0.3%69.1M-1.15B-21.7M0.212.14123,28426,1051,751,3561,266,067
2023-11-21$45.14$40.0022.2%6.4%27.5%7.0%22.7%1.1%-0.3%65.0M-1.00B-21.6M0.642.1599,85363,6871,776,8621,277,990
2023-11-22$44.98$40.0021.3%6.1%27.1%4.0%21.7%1.2%-0.2%65.8M-867.2M-21.7M0.472.0557,66427,1201,813,3601,295,300
2023-11-24$45.20$40.0021.8%6.4%26.8%5.8%22.7%1.4%-0.5%73.6M-1.02B-21.6M0.342.4976,69526,3151,826,0391,301,109
2023-11-27$45.16$40.0021.6%6.5%23.4%5.1%23.1%1.5%-0.3%59.0M-950.7M-21.2M0.361.9968,98225,1711,793,3711,273,969
2023-11-28$44.89$41.0021.3%6.4%23.7%4.1%22.7%1.5%-0.2%63.7M-804.5M-21.0M0.332.2073,05524,2821,825,5361,288,122
2023-11-29$45.72$41.0021.3%6.6%23.9%4.0%23.1%1.3%-0.1%107.3M-1.37B-21.6M0.352.30130,26745,4031,856,6481,299,228
2023-11-30$46.09$41.0020.9%6.5%23.9%2.6%23.1%1.3%-0.0%103.3M-1.59B-21.8M0.342.1471,86924,2281,847,5621,305,941