META Options History — December 2021

In December 2021, META traded between $14.65 and $16.02. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 3.6% (HV 20d: 30.9%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2021-12-03: Highest Volume — 9,814 contracts
  • 2021-12-13: Largest IV spike — 18.5% change
  • 2021-12-03: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.31$14.65$16.02$15.60$15.24
Max Pain$15.45$15.00$16.00$16.00$15.00
ATM IV34.5%27.5%43.4%40.1%27.5%
Expected Move9.8%7.9%12.4%11.5%7.9%
HV 20d30.9%27.9%33.0%28.1%29.5%
HV 60d25.6%23.5%26.7%23.7%25.4%
Term Structure0.4%-5.3%3.0%-5.2%2.2%
VWIV35.6%29.6%44.8%44.5%29.6%
Skew 25d-1.2%-3.3%1.5%-0.8%-0.9%
Skew 10d-5.8%-14.5%1.2%1.2%-6.2%
Call IV 25d36.4%30.3%46.5%45.3%30.7%
Put IV 25d35.2%29.5%48.0%44.6%29.7%
Bid-Ask Spread %52.765.8389.6470.9041.70
Gamma HHI0.170.150.210.190.16
Net GEX1.5M796.2K1.9M1.9M1.7M
Net DEX-33.3M-44.8M-19.3M-37.8M-35.8M
Net VEX-309.8K-339.1K-275.7K-325.9K-308.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.090.340.100.17
Total Volume5,694.5913,4489,8149,7834,774
Total OI141,584.409115,257165,786143,881126,177

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$15.60$16.0040.1%11.5%28.1%0.0%44.5%-0.8%-5.2%1.9M-37.8M-325.9K0.1070.908,919864131,76912,112
2021-12-02$15.63$16.0037.3%10.7%27.9%0.0%40.4%-1.0%-2.1%1.7M-36.4M-329.8K0.1389.646,584879134,31312,503
2021-12-03$15.07$16.0043.4%12.4%30.4%0.0%44.8%1.5%-5.3%1.4M-29.5M-321.2K0.3367.057,4042,410135,96712,630
2021-12-06$15.24$16.0039.5%11.0%30.8%0.0%39.0%-2.7%-0.0%1.4M-28.3M-294.6K0.1764.235,947999137,99313,153
2021-12-07$15.78$16.0034.7%10.2%33.0%0.0%36.8%-2.4%-1.7%1.6M-38.1M-323.5K0.1568.546,081902139,35413,347
2021-12-08$16.02$16.0032.3%9.7%32.1%0.0%35.2%-0.2%-0.9%1.9M-44.8M-339.1K0.2663.354,2671,129142,15213,536
2021-12-09$15.63$16.0033.8%9.9%31.7%0.0%35.9%-1.5%0.1%1.6M-35.1M-317.9K0.1660.634,024655143,21513,672
2021-12-10$15.48$16.0034.0%9.8%31.4%0.0%34.6%0.4%-0.9%1.4M-31.3M-311.1K0.1357.924,836616143,85613,761
2021-12-13$15.30$16.0040.3%9.7%30.4%0.0%35.2%-0.9%1.0%1.3M-27.3M-296.4K0.1763.124,148715144,19714,092
2021-12-14$15.04$16.0041.2%10.0%30.5%0.0%36.2%-1.6%1.7%1.2M-23.5M-293.7K0.1559.347,5851,122145,47614,151
2021-12-15$15.18$15.0034.2%9.8%30.1%0.0%35.7%-2.3%1.7%1.2M-26.2M-298.3K0.2164.424,046838148,51514,247
2021-12-16$14.80$15.0033.9%9.7%31.0%0.0%36.0%-2.1%2.7%1.1M-19.3M-275.7K0.3460.643,8321,306150,04914,339
2021-12-17$14.90$15.0034.4%9.9%30.9%0.0%36.0%-3.3%1.3%796.2K-21.8M-283.6K0.2261.445,9391,315150,98814,798
2021-12-20$14.65$15.0034.8%10.0%31.0%0.0%37.8%-1.9%2.7%1.4M-30.3M-286.1K0.1654.303,100499108,8656,392
2021-12-21$15.07$15.0032.8%9.4%32.4%0.0%35.1%-2.4%2.0%1.5M-34.8M-300.1K0.0959.184,069375109,5866,591
2021-12-22$15.22$15.0032.9%9.4%32.1%0.0%33.0%0.1%1.6%1.5M-34.8M-303.7K0.1463.503,197448111,5446,714
2021-12-23$15.39$15.0031.0%8.9%32.2%0.0%31.7%0.6%1.5%1.8M-39.7M-324.7K0.278.862,705743113,1296,828
2021-12-27$15.59$15.0030.8%8.8%32.4%0.0%32.1%-0.9%-0.6%1.9M-41.9M-317.9K0.187.675,182945114,2957,113
2021-12-28$15.41$15.0031.3%9.0%31.6%0.0%32.5%-3.3%1.8%1.8M-40.7M-329.8K0.287.443,027851116,4087,655
2021-12-29$15.25$15.0029.0%8.3%31.4%0.0%30.2%-0.8%2.4%1.7M-36.7M-312.9K0.155.833,860580116,4438,083
2021-12-30$15.35$15.0029.3%8.4%29.5%0.0%30.5%-0.9%3.0%1.8M-39.0M-320.5K0.2060.962,974590116,7788,071
2021-12-31$15.24$15.0027.5%7.9%29.5%0.0%29.6%-0.9%2.2%1.7M-35.8M-308.1K0.1741.704,070704117,8428,335