C Options History — November 2024

In November 2024, C traded between $62.55 and $71.02. ATM implied volatility averaged 25.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 13.7% (HV 20d: 38.9%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2024-11-06: Highest Volume — 401,506 contracts
  • 2024-11-07: Largest IV drop — 12.1% change
  • 2024-11-04: Highest IV Rank — 67.6%
  • 2024-11-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.36$62.55$71.02$63.97$71.02
Max Pain$60.88$60.00$62.50$60.00$62.50
ATM IV25.2%22.0%32.2%31.1%22.0%
Expected Move7.4%6.7%10.7%10.7%6.7%
HV 20d38.9%34.6%46.9%34.7%35.7%
HV 60d32.4%28.1%33.3%28.1%33.0%
IV Rank28.5%10.4%67.6%61.4%10.4%
IV Percentile43.7%8.3%96.4%94.0%8.3%
Term Structure-0.7%-3.1%0.5%-2.7%-0.4%
VWIV26.0%23.7%32.0%32.0%24.0%
Skew 25d1.0%-0.4%3.2%2.5%1.0%
Skew 10d3.4%0.1%7.3%4.8%4.6%
Call IV 25d25.2%22.0%31.1%31.1%22.0%
Put IV 25d26.2%23.0%33.8%33.6%23.0%
Bid-Ask Spread %2.311.813.032.373.03
Gamma HHI0.130.100.190.150.10
Net GEX109.5M61.7M169.3M119.8M105.5M
Net DEX-3.94B-4.97B-1.86B-2.48B-4.40B
Net VEX-22.0M-23.3M-21.1M-23.3M-21.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.073.390.072.21
Total Volume167,818.878,186401,506278,59178,186
Total OI2,321,032.752,167,7442,462,0342,317,7612,375,545

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$63.97$60.0031.1%10.7%34.7%61.4%32.0%2.5%-2.7%119.8M-2.48B-23.3M0.072.37260,10018,4911,260,0441,057,717
2024-11-04$62.55$60.0032.2%8.9%35.7%67.6%30.6%3.2%-0.7%61.7M-1.86B-23.1M0.561.9378,55743,9861,137,2061,046,548
2024-11-05$63.53$60.0031.7%8.8%35.8%65.1%30.2%2.9%-0.8%80.6M-2.36B-23.0M0.121.83163,65819,0041,177,3551,075,188
2024-11-06$69.14$60.0028.1%8.0%46.6%44.7%29.0%-0.4%-0.4%123.4M-4.74B-22.0M0.221.88328,16273,3441,198,7671,076,874
2024-11-07$68.06$60.0024.7%7.2%46.9%25.6%25.1%0.5%0.1%159.8M-4.35B-22.6M0.261.8496,31224,6701,328,2821,110,464
2024-11-08$68.47$60.0023.2%6.8%44.9%17.3%24.0%0.3%0.2%169.3M-4.49B-22.4M0.471.95168,32378,6261,341,9701,120,064
2024-11-11$69.79$60.0025.2%7.3%45.3%28.4%25.9%-0.4%0.3%151.8M-4.97B-22.1M0.291.81139,51040,2101,261,6851,106,163
2024-11-12$69.05$60.0024.9%7.3%40.4%26.9%27.0%0.1%0.4%141.5M-4.60B-22.1M0.232.19156,65936,2151,286,5441,117,321
2024-11-13$69.06$60.0024.1%7.0%39.6%22.4%26.4%0.1%0.3%141.0M-4.61B-21.8M0.182.18109,98620,2771,299,2321,128,710
2024-11-14$68.22$60.0024.1%7.0%39.9%22.5%24.7%0.6%0.4%121.5M-4.20B-22.0M0.892.0078,57370,0571,313,5961,133,775
2024-11-15$68.75$60.0025.1%7.3%39.0%27.9%26.3%0.7%0.5%126.6M-4.50B-22.1M0.362.01112,94540,2231,325,8991,135,157
2024-11-18$69.09$60.0024.3%7.0%38.2%23.6%25.0%0.9%-0.8%93.7M-3.87B-21.5M0.782.5847,69337,0941,113,5891,054,155
2024-11-19$68.75$60.0023.9%6.9%37.6%21.2%24.9%1.3%-0.9%90.2M-3.70B-21.7M0.522.61120,37562,2611,131,2831,075,031
2024-11-20$68.31$62.5024.7%7.1%37.6%25.6%24.4%1.8%-0.9%73.8M-3.49B-21.8M1.502.6641,83062,7811,116,0621,098,620
2024-11-21$69.17$62.5024.2%7.0%37.7%22.7%24.8%1.3%-1.1%81.0M-3.84B-21.5M0.972.8159,90957,8901,124,5701,118,595
2024-11-22$69.84$62.5023.2%6.8%36.6%17.5%23.8%1.1%-0.9%100.3M-4.10B-21.2M0.432.84156,66167,0641,125,7791,140,927
2024-11-25$70.86$62.5022.9%6.8%34.6%15.4%24.2%1.0%-2.5%95.2M-4.38B-21.1M1.452.4662,54590,5421,141,6301,122,784
2024-11-26$69.63$62.5022.3%6.7%35.5%12.3%24.1%1.1%-1.0%75.5M-3.82B-21.4M2.522.4534,53886,9771,166,9521,148,314
2024-11-27$69.96$62.5022.3%6.8%35.5%12.3%23.7%1.1%-3.1%76.7M-3.98B-21.4M3.392.7930,090102,0521,167,3321,160,926
2024-11-29$71.02$62.5022.0%6.7%35.7%10.4%24.0%1.0%-0.4%105.5M-4.40B-21.1M2.213.0324,35853,8281,176,4621,199,083