MAX Options History — November 2021 In November 2021, MAX traded between $14.88 and $18.40. ATM implied volatility averaged 86.1%. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 12.8% (HV 20d: 73.3%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.14.
Notable Days 2021-11-24 : Highest Volume — 188 contracts2021-11-26 : Largest IV spike — 85.2% change2021-11-26 : Largest Expected Move — 40.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.64 $14.88 $18.40 $18.02 $15.59 Max Pain $18.69 $17.50 $22.50 $22.50 $17.50 ATM IV 86.1% 64.2% 141.4% 76.1% 82.5% Expected Move 23.6% 18.1% 40.5% 21.8% 23.7% HV 20d 73.3% 62.4% 85.8% 62.4% 84.0% HV 60d 65.4% 59.8% 67.4% 59.8% 67.0% Term Structure -8.6% -40.4% 17.9% -19.7% -8.7% VWIV 84.2% 65.7% 139.7% 69.4% 78.1% Skew 25d 11.0% -7.4% 48.2% 18.7% 13.3% Skew 10d 19.5% -5.2% 52.0% 17.1% 39.8% Call IV 25d 82.8% 53.9% 119.3% 53.9% 80.6% Put IV 25d 93.7% 72.6% 140.3% 72.6% 93.8% Bid-Ask Spread % 107.03 96.92 128.84 115.39 114.52 Gamma HHI 0.61 0.45 0.73 0.62 0.45 Net GEX 8.2K 4.4K 13.8K 8.6K 5.7K Net DEX -202.4K -308.3K -90.8K -169.4K -155.3K Net VEX -934 -1.1K -603 -901 -694 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.14 0.04 0.24 0.18 0.05 Total Volume 154.333 97 188 97 158 Total OI 544.905 438 607 469 507
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-11-01 $18.02 $22.50 76.1% 21.8% 62.4% 0.0% 69.4% 18.7% -19.7% 8.6K -169.4K -901 0.18 115.39 N/A N/A 82 15 461 8 2021-11-02 $15.81 $22.50 94.7% 27.2% 67.1% 0.0% 103.6% -1.4% -26.8% 5.0K -110.0K -690 0.15 107.10 N/A N/A 151 22 461 8 2021-11-03 $16.87 $20.00 89.3% 25.6% 71.0% 0.0% 91.7% 7.1% -14.2% 7.7K -197.7K -1.1K 0.16 107.64 N/A N/A 145 23 532 16 2021-11-04 $17.24 $20.00 89.4% 22.3% 68.0% 0.0% 74.2% 3.6% -6.5% 9.1K -241.6K -1.1K 0.17 105.81 N/A N/A 144 24 538 18 2021-11-05 $16.51 $20.00 95.5% 19.3% 68.6% 0.0% 88.4% 15.8% 0.5% 8.1K -231.2K -1.1K 0.14 105.33 N/A N/A 164 23 554 19 2021-11-08 $16.27 $20.00 82.0% 18.1% 67.9% 0.0% 70.1% 9.4% -8.8% 8.7K -185.8K -943 0.24 99.07 N/A N/A 94 23 554 19 2021-11-09 $16.19 $20.00 101.6% 22.7% 67.0% 0.0% 91.7% -7.4% -0.1% 7.0K -192.1K -964 0.24 102.44 N/A N/A 95 23 554 18 2021-11-10 $16.11 $20.00 78.2% 22.4% 65.2% 0.0% 75.9% 4.0% 0.9% 8.0K -224.1K -994 0.20 107.00 N/A N/A 116 23 556 18 2021-11-11 $16.00 $17.50 83.6% 24.0% 64.1% 0.0% 91.8% -6.5% -7.4% 7.4K -164.3K -907 0.22 99.89 N/A N/A 105 23 576 18 2021-11-12 $17.38 $17.50 81.4% 23.3% 71.9% 0.0% 79.7% 3.9% -11.6% 9.8K -228.0K -1.1K 0.21 99.90 N/A N/A 110 23 587 18 2021-11-15 $18.38 $17.50 84.7% 24.3% 75.1% 0.0% 82.3% 3.7% -16.8% 12.9K -300.4K -1.1K 0.16 96.92 N/A N/A 151 24 587 18 2021-11-16 $18.40 $17.50 67.9% 19.5% 74.1% 0.0% 65.7% 12.9% 17.9% 13.8K -308.3K -1.1K 0.16 110.60 N/A N/A 152 24 587 18 2021-11-17 $17.65 $17.50 89.5% 25.7% 75.3% 0.0% 83.9% 23.6% -14.7% 11.0K -268.0K -1.1K 0.16 100.13 N/A N/A 152 24 588 18 2021-11-18 $17.24 $17.50 66.3% 19.0% 74.3% 0.0% 66.0% 12.7% -9.3% 10.3K -172.1K -884 0.16 105.08 N/A N/A 148 24 588 18 2021-11-19 $17.07 $17.50 64.2% 18.4% 73.7% 0.0% 67.2% 17.0% -1.4% 8.5K -186.2K -893 0.16 104.49 N/A N/A 148 24 591 16 2021-11-22 $16.11 $17.50 79.8% 22.9% 75.4% 0.0% 73.8% 23.8% -4.9% 6.7K -147.6K -771 0.06 106.16 N/A N/A 121 7 432 6 2021-11-23 $14.88 $17.50 80.3% 23.0% 79.4% 0.0% 88.7% 9.2% -1.0% 4.4K -90.8K -603 0.05 105.03 N/A N/A 140 7 433 7 2021-11-24 $16.23 $17.50 76.4% 21.9% 85.8% 0.0% 81.6% 14.7% 9.8% 6.2K -139.5K -718 0.04 105.73 N/A N/A 180 8 455 7 2021-11-26 $15.88 $17.50 141.4% 40.5% 85.1% 0.0% 139.7% 48.2% -40.4% 6.8K -300.5K -1.1K 0.05 128.84 N/A N/A 170 8 514 8 2021-11-29 $15.70 $17.50 103.4% 29.6% 84.6% 0.0% 104.7% 3.9% -17.9% 7.4K -237.4K -904 0.06 120.45 N/A N/A 135 8 504 8 2021-11-30 $15.59 $17.50 82.5% 23.7% 84.0% 0.0% 78.1% 13.3% -8.7% 5.7K -155.3K -694 0.05 114.52 N/A N/A 150 8 499 8
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