META Options History — November 2021

In November 2021, META traded between $15.44 and $16.89. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 14.4% (HV 20d: 20.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2021-11-22: Highest Volume — 36,724 contracts
  • 2021-11-10: Largest IV spike — 21.9% change
  • 2021-11-18: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.19$15.44$16.89$15.45$16.12
Max Pain$15.52$14.00$16.00$14.00$16.00
ATM IV34.5%26.9%45.9%33.4%36.9%
Expected Move10.0%8.2%13.2%9.6%10.6%
HV 20d20.1%15.3%25.2%17.5%25.2%
HV 60d21.1%19.8%22.7%20.0%22.7%
Term Structure1.6%-1.8%7.4%-0.3%0.0%
VWIV40.4%31.1%60.3%37.8%38.6%
Skew 25d-4.6%-12.3%1.9%1.9%-4.0%
Skew 10d-4.1%-26.2%28.5%-1.6%28.5%
Call IV 25d40.8%31.2%55.2%36.7%42.1%
Put IV 25d36.2%29.6%42.9%38.6%38.1%
Bid-Ask Spread %74.4461.2894.1461.3277.98
Gamma HHI0.250.190.320.290.20
Net GEX1.6M584.4K3.4M584.4K2.1M
Net DEX-33.6M-58.2M-8.5M-8.5M-48.5M
Net VEX-187.2K-351.1K-37.5K-37.5K-346.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.020.620.110.21
Total Volume12,615.0952,81936,7245,9668,318
Total OI74,289.23820,169141,09920,169141,099

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$15.45$14.0033.4%9.6%17.5%0.0%37.8%1.9%-0.3%584.4K-8.5M-37.5K0.1161.325,37659019,689480
2021-11-02$15.44$14.0028.6%8.2%17.3%0.0%31.1%0.5%1.9%629.5K-9.4M-45.4K0.0563.834,58523422,378962
2021-11-03$15.59$14.0031.5%9.0%17.3%0.0%34.0%-6.0%-0.5%694.5K-10.7M-50.6K0.0964.252,59522424,3671,102
2021-11-04$15.76$15.0028.3%8.6%15.9%0.0%31.7%-0.8%3.5%773.0K-12.2M-55.5K0.0487.915,94923225,3951,183
2021-11-05$15.76$15.0026.9%8.6%15.3%0.0%34.6%-2.4%1.6%874.1K-14.9M-69.0K0.0784.124,29628928,9651,284
2021-11-08$15.97$15.0029.2%8.8%15.3%0.0%33.0%-4.3%3.6%996.4K-17.1M-72.1K0.0581.458,55743831,2661,405
2021-11-09$16.38$15.0028.3%9.2%16.4%0.0%41.8%-8.0%4.1%1.1M-23.8M-95.2K0.0468.3915,64861536,0931,727
2021-11-10$15.91$16.0034.5%9.9%20.6%0.0%38.6%-6.8%3.8%1.3M-23.6M-116.0K0.1182.558,03489846,4102,246
2021-11-11$16.11$16.0032.1%9.2%20.5%0.0%37.1%-1.6%7.4%1.3M-26.6M-130.0K0.3894.143,8431,46949,4942,849
2021-11-12$16.45$16.0033.0%9.4%21.2%0.0%38.2%-2.2%4.3%1.5M-31.2M-142.0K0.1577.296,09090651,7193,847
2021-11-15$16.55$16.0034.9%10.0%21.1%0.0%38.1%-5.8%2.1%1.7M-36.1M-155.1K0.1183.7511,3181,29756,4834,115
2021-11-16$16.79$16.0036.0%10.3%21.1%0.0%46.8%-7.6%3.8%1.9M-43.8M-188.9K0.0476.7115,08656664,4324,749
2021-11-17$16.73$16.0043.1%12.4%21.1%0.0%60.3%-11.9%-0.5%2.1M-48.0M-212.0K0.0266.8328,49167273,7174,959
2021-11-18$16.85$16.0045.9%13.2%21.0%0.0%55.2%-12.3%-1.3%2.7M-54.6M-245.2K0.0671.8823,6291,47890,0105,376
2021-11-19$16.89$16.0038.0%10.9%18.2%0.0%50.1%-10.9%-1.8%3.4M-58.2M-281.0K0.0672.3520,2881,15598,4436,418
2021-11-22$16.43$16.0036.8%10.5%21.8%0.0%39.9%-2.4%0.4%2.1M-49.8M-309.6K0.2968.3628,3668,358103,6655,948
2021-11-23$16.08$16.0037.2%10.7%23.6%0.0%42.2%-3.2%-0.6%1.9M-42.6M-328.0K0.1163.149,4251,039118,89913,586
2021-11-24$16.24$16.0034.3%9.8%23.4%0.0%37.7%-5.5%2.4%2.0M-47.7M-351.1K0.0861.287,298579122,59813,971
2021-11-26$16.04$16.0039.0%11.2%23.8%0.0%40.9%-4.0%-0.8%1.9M-45.6M-349.2K0.6275.6410,7616,702126,78114,249
2021-11-29$16.36$16.0036.1%10.3%24.5%0.0%40.3%-0.3%-0.3%2.3M-53.3M-350.5K0.1680.037,9441,279125,99711,718
2021-11-30$16.12$16.0036.9%10.6%25.2%0.0%38.6%-4.0%0.0%2.1M-48.5M-346.7K0.2177.986,8551,463128,88212,217