MAX Options History — November 2023

In November 2023, MAX traded between $8.71 and $10.35. ATM implied volatility averaged 59.2%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 17.4% (HV 20d: 76.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2023-11-13: Highest Volume — 115 contracts
  • 2023-11-02: Largest IV drop — 60.0% change
  • 2023-11-01: Highest IV Rank — 52.0%
  • 2023-11-01: Largest Expected Move — 44.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.60$8.71$10.35$10.35$10.14
Max Pain$9.85$7.50$10.00$7.50$10.00
ATM IV59.2%47.7%154.5%154.5%52.9%
Expected Move17.0%13.7%44.3%44.3%15.2%
HV 20d76.6%66.8%84.2%74.0%68.1%
HV 60d59.5%53.1%62.1%53.7%62.1%
IV Rank9.3%4.1%52.0%52.0%6.5%
IV Percentile15.8%2.4%98.4%98.4%10.3%
Term Structure-0.9%-61.6%22.1%-61.6%-1.0%
VWIV60.9%47.7%111.1%111.1%52.9%
Skew 25d14.3%-20.6%76.8%60.5%21.5%
Skew 10d23.9%-41.1%130.0%130.0%38.0%
Call IV 25d58.7%40.6%207.3%207.3%45.9%
Put IV 25d73.0%41.4%267.8%267.8%67.5%
Bid-Ask Spread %85.5151.55114.5195.9278.21
Gamma HHI0.750.380.900.380.83
Net GEX3.0K1176.9K2874.6K
Net DEX-50.6K-100.4K-1.7K-91.7K-90.9K
Net VEX-237-329-142-157-264
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.003.200.000.00
Total Volume13.33301153318
Total OI358.905229530338243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$10.35$7.50154.5%44.3%74.0%52.0%111.1%60.5%-61.6%287-91.7K-1570.0095.92N/AN/A330178160
2023-11-02$9.80$0.0061.8%17.7%76.8%10.4%0.0%10.9%22.1%2.6K-52.7K-2180.0087.87N/AN/A190223160
2023-11-03$9.69$0.0068.9%17.4%70.6%13.7%0.0%23.7%-3.0%2.4K-46.5K-2100.0092.00N/AN/A20223160
2023-11-06$8.71$0.0054.4%19.4%80.4%7.1%0.0%11.9%-1.0%1.1K-12.1K-1420.0651.55N/AN/A181223160
2023-11-07$9.30$0.0057.7%16.2%83.9%8.6%56.5%11.9%1.1%2.2K-29.3K-1803.2090.92N/AN/A516233161
2023-11-08$9.58$10.0057.1%16.4%83.8%8.3%0.0%18.4%12.5%2.4K-33.4K-2170.0059.84N/AN/A00237177
2023-11-09$9.36$10.0056.4%16.2%84.2%8.0%0.0%19.5%1.5%2.1K-20.5K-2050.0090.59N/AN/A20237177
2023-11-10$9.23$10.0054.5%15.6%80.3%7.2%0.0%13.9%2.4%1.6K-9.5K-1760.0099.19N/AN/A130239177
2023-11-13$9.02$10.0054.4%15.6%72.2%7.1%54.4%3.7%2.5%117-1.7K-1560.0087.32N/AN/A1150235177
2023-11-14$9.87$10.0054.1%15.5%79.9%7.0%0.0%5.1%1.9%6.9K-100.4K-3290.00102.27N/AN/A50349177
2023-11-15$9.47$10.0054.5%15.6%77.5%7.2%0.0%-20.6%1.2%5.1K-59.0K-3010.0099.90N/AN/A01353177
2023-11-16$9.48$10.0050.8%14.6%77.5%5.5%0.0%9.1%3.4%3.1K-53.0K-2920.00111.30N/AN/A00353177
2023-11-17$9.52$10.0058.4%16.7%77.5%8.9%0.0%-16.6%-4.9%2.7K-47.2K-2760.00114.51N/AN/A00353177
2023-11-20$9.40$10.0051.5%14.8%77.5%5.8%51.5%-19.3%-0.5%3.0K-41.4K-2580.0075.31N/AN/A4018544
2023-11-21$9.37$10.0052.4%15.0%77.3%6.2%0.0%-20.5%-1.3%3.1K-45.3K-2730.00105.70N/AN/A0018944
2023-11-22$9.64$10.0050.3%14.4%77.8%5.3%0.0%-0.1%-0.4%3.6K-54.9K-2680.0061.66N/AN/A0018944
2023-11-24$9.80$10.0047.8%13.7%77.9%4.2%0.0%76.8%3.9%4.0K-61.0K-2680.0072.26N/AN/A2018944
2023-11-27$10.02$10.0052.2%15.0%73.7%6.2%52.2%6.9%-1.3%4.2K-77.1K-2650.5763.67N/AN/A7419144
2023-11-28$10.07$10.0047.7%13.7%69.8%4.1%47.7%64.3%2.8%4.6K-76.8K-2720.0081.00N/AN/A1019148
2023-11-29$9.76$10.0050.4%14.5%66.8%5.4%0.0%19.0%0.3%4.3K-59.0K-2510.4074.72N/AN/A10419148
2023-11-30$10.14$10.0052.9%15.2%68.1%6.5%52.9%21.5%-1.0%4.6K-90.9K-2640.0078.21N/AN/A18019944