S Options History — November 2021

In November 2021, S traded between $54.03 and $76.94. ATM implied volatility averaged 77.4%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 10.9% (HV 20d: 66.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2021-11-30: Highest Volume — 11,839 contracts
  • 2021-11-22: Largest IV spike — 16.0% change
  • 2021-11-29: Highest IV Rank — 49.1%
  • 2021-11-29: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.16$54.03$76.94$66.94$54.03
Max Pain$59.29$55.00$60.00$55.00$60.00
ATM IV77.4%61.4%102.3%61.4%98.3%
Expected Move22.3%17.6%29.3%17.6%28.2%
HV 20d66.6%53.5%82.1%53.5%81.8%
HV 60d70.8%67.6%74.6%67.6%73.3%
IV Rank33.6%23.6%49.1%23.6%46.7%
IV Percentile69.6%47.2%88.5%47.2%84.9%
Term Structure-5.9%-15.9%4.1%3.2%-13.1%
VWIV78.9%60.6%105.3%60.6%100.7%
Skew 25d-1.9%-13.0%4.0%4.0%-13.0%
Skew 10d-2.8%-27.3%8.6%8.6%-21.4%
Call IV 25d79.9%59.0%108.7%59.0%106.1%
Put IV 25d77.9%62.9%96.8%62.9%93.1%
Bid-Ask Spread %32.1523.9939.7336.0639.73
Gamma HHI0.180.130.550.170.13
Net GEX1.4M366.9K3.6M1.4M432.9K
Net DEX-66.5M-120.3M-8.8M-62.9M-8.8M
Net VEX-337.8K-362.3K-319.3K-334.8K-323.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.221.441.440.34
Total Volume4,347.2382,28011,8394,38311,839
Total OI39,508.95231,24144,61136,85241,324

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$66.94$55.0061.4%17.6%53.5%23.6%60.6%4.0%3.2%1.4M-62.9M-334.8K1.4436.06N/AN/A1,7932,59023,24513,607
2021-11-02$63.71$55.0062.3%17.9%58.0%24.2%62.4%1.4%4.1%1.2M-45.1M-326.4K0.3838.13N/AN/A2,28186923,23413,834
2021-11-03$65.72$55.0062.2%17.8%57.6%24.2%62.3%2.2%3.9%1.4M-56.2M-332.8K0.3039.22N/AN/A2,78183923,37714,125
2021-11-04$69.61$60.0062.2%19.0%57.0%24.1%65.9%1.1%-3.4%1.6M-78.4M-343.1K0.4832.01N/AN/A2,3071,10924,00114,363
2021-11-05$66.92$60.0063.5%19.6%57.7%25.0%67.9%1.0%-4.5%1.5M-64.8M-340.6K0.2631.07N/AN/A2,64968924,57914,394
2021-11-08$69.44$60.0067.1%20.0%54.6%27.2%69.2%2.1%-4.8%1.7M-81.4M-345.7K0.3935.41N/AN/A2,20686425,26414,505
2021-11-09$74.79$60.0074.2%21.0%57.6%31.6%74.2%1.9%-6.3%1.8M-110.4M-344.1K0.3836.21N/AN/A4,2291,60925,20714,450
2021-11-10$70.31$60.0076.1%21.8%60.3%32.8%76.9%1.4%-6.8%1.7M-82.8M-350.8K0.4730.72N/AN/A3,1101,46825,59415,022
2021-11-11$73.18$60.0073.2%21.0%61.1%31.0%74.1%1.5%-5.6%1.9M-100.4M-344.7K0.4827.54N/AN/A1,85389425,89115,450
2021-11-12$76.94$60.0073.2%21.0%62.2%31.0%73.6%2.1%-4.8%1.9M-120.3M-341.2K0.3328.85N/AN/A4,2361,38325,79015,500
2021-11-15$71.80$60.0075.7%21.7%66.8%32.6%76.4%-0.3%-7.1%1.7M-90.7M-328.4K0.3823.99N/AN/A2,9671,11825,60315,763
2021-11-16$74.83$60.0075.6%21.7%67.8%32.5%76.1%0.3%-6.6%1.9M-109.2M-329.3K0.5725.92N/AN/A1,45582525,93815,993
2021-11-17$73.66$60.0074.2%21.3%68.3%31.6%74.9%1.1%-5.3%1.8M-101.6M-324.1K0.7430.61N/AN/A2,1171,56926,16516,091
2021-11-18$71.97$60.0074.9%21.5%67.8%32.1%75.6%0.2%-5.1%1.8M-91.5M-348.4K0.2926.87N/AN/A2,02759527,03217,115
2021-11-19$70.14$60.0075.0%21.5%67.5%32.1%76.5%-0.4%-4.9%3.6M-81.2M-339.4K0.2930.02N/AN/A2,50873727,48017,131
2021-11-22$64.32$60.0087.0%24.9%74.4%39.6%89.0%-4.3%-7.2%488.0K-27.5M-324.8K0.2533.10N/AN/A5,3461,36118,49212,749
2021-11-23$58.21$60.0092.1%26.4%82.1%42.8%94.3%-8.6%-10.5%366.9K-13.8M-319.3K0.4833.69N/AN/A2,7551,33221,00313,306
2021-11-24$58.07$60.0095.7%27.4%81.6%45.0%98.5%-12.2%-10.4%502.7K-20.3M-342.5K0.2230.52N/AN/A6,3131,39923,56813,707
2021-11-26$58.23$60.0099.9%28.6%81.6%47.7%102.2%-10.2%-12.3%622.7K-26.5M-362.3K0.3934.24N/AN/A1,75868325,71514,057
2021-11-29$57.61$60.00102.3%29.3%79.3%49.1%105.3%-12.1%-15.9%610.1K-23.5M-347.8K0.3931.27N/AN/A2,02980025,92714,097
2021-11-30$54.03$60.0098.3%28.2%81.8%46.7%100.7%-13.0%-13.1%432.9K-8.8M-323.0K0.3439.73N/AN/A8,8343,00526,97814,346