C Options History — January 2007

Name: C Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, C traded between $539.30 and $552.50. ATM implied volatility averaged 15.4%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.4% (HV 20d: 12.0%). Max pain ranged from $475.00 to $550.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2007-01-31: Highest Volume — 78,052 contracts
2007-01-26: Largest IV spike — 28.0% change
2007-01-03: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$545.75	$539.30	$552.50	$552.50	$551.30
Max Pain	$516.25	$475.00	$550.00	$475.00	$500.00
ATM IV	15.4%	10.3%	20.1%	17.5%	12.6%
Expected Move	4.3%	3.0%	5.0%	5.0%	3.6%
HV 20d	12.0%	10.6%	13.2%	10.6%	13.2%
Term Structure	0.0%	-1.0%	1.7%	-1.0%	1.5%
VWIV	17.0%	11.3%	26.8%	17.8%	26.8%
Skew 25d	3.0%	0.2%	5.3%	1.8%	5.3%
Skew 10d	6.1%	-3.1%	12.1%	5.4%	7.8%
Call IV 25d	14.0%	10.0%	17.3%	17.3%	10.3%
Put IV 25d	17.0%	13.6%	19.3%	19.1%	15.6%
Bid-Ask Spread %	6.85	4.48	12.10	5.78	7.03
Gamma HHI	0.26	0.21	0.39	0.25	0.21
Net GEX	95.4M	80.7M	144.9M	80.7M	85.1M
Net DEX	-3.28B	-4.04B	-2.19B	-4.04B	-2.67B
Net VEX	-14.5M	-15.3M	-13.4M	-14.3M	-15.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.02	1.84	1.04	0.02
Total Volume	8,213.45	2,211	78,052	4,605	78,052
Total OI	172,467.8	124,620	207,633	196,236	134,241

Daily Data (20 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 Vol	Put Vol	Call OI	Put OI
2007-01-03	$552.50	$475.00	17.5%	5.0%	0.0%	0.0%	17.8%	1.8%	-1.0%	80.7M	-4.04B	-14.3M	1.04	5.78	2,263	2,342	108,892	87,344
2007-01-04	$550.60	$475.00	17.3%	5.0%	0.0%	0.0%	17.5%	1.5%	-1.0%	82.1M	-3.95B	-14.2M	1.84	6.20	943	1,732	108,338	86,932
2007-01-05	$547.70	$550.00	17.6%	4.7%	0.0%	0.0%	16.6%	2.4%	0.2%	85.3M	-3.87B	-14.3M	0.77	8.82	2,084	1,607	108,460	87,971
2007-01-08	$550.50	$550.00	20.0%	5.0%	0.0%	0.0%	19.3%	2.2%	-0.7%	84.7M	-3.97B	-14.1M	0.43	6.91	1,768	752	109,156	87,914
2007-01-09	$545.70	$550.00	20.0%	5.0%	0.0%	0.0%	18.7%	2.4%	-0.5%	88.8M	-3.72B	-14.9M	0.34	7.07	5,008	1,688	109,328	88,041
2007-01-10	$541.30	$550.00	20.1%	4.9%	0.0%	0.0%	18.7%	2.6%	-0.4%	96.5M	-3.66B	-14.2M	0.33	6.03	2,421	808	111,877	88,400
2007-01-11	$541.70	$525.00	16.3%	4.7%	0.0%	0.0%	17.7%	2.8%	-0.9%	103.3M	-3.68B	-14.5M	0.41	7.68	2,436	992	112,255	88,208
2007-01-12	$543.80	$525.00	15.9%	4.6%	0.0%	0.0%	16.4%	1.9%	-0.4%	109.6M	-3.82B	-14.6M	0.65	10.16	1,464	953	113,890	88,438
2007-01-16	$547.70	$525.00	16.3%	4.7%	0.0%	0.0%	16.7%	2.9%	-0.7%	112.4M	-3.97B	-14.0M	0.59	12.10	1,712	1,002	114,275	89,036
2007-01-17	$543.90	$525.00	15.7%	4.5%	0.0%	0.0%	16.9%	1.8%	-0.6%	120.2M	-3.81B	-14.3M	0.80	11.87	2,667	2,124	114,498	89,299
2007-01-18	$543.90	$525.00	15.3%	4.4%	0.0%	0.0%	21.6%	2.0%	-0.8%	127.5M	-3.83B	-13.8M	0.14	4.72	9,302	1,334	115,522	89,948
2007-01-19	$545.00	$500.00	13.2%	3.8%	0.0%	0.0%	17.4%	4.2%	0.1%	144.9M	-3.90B	-13.8M	0.14	4.48	12,016	1,639	117,418	90,215
2007-01-22	$546.80	$500.00	12.9%	3.7%	0.0%	0.0%	13.2%	0.2%	0.3%	81.1M	-2.47B	-13.4M	0.68	5.50	3,443	2,335	78,474	46,146
2007-01-23	$544.90	$500.00	13.1%	3.8%	0.0%	0.0%	13.7%	4.4%	0.4%	80.9M	-2.35B	-14.4M	0.31	5.52	2,908	915	79,627	47,094
2007-01-24	$548.30	$500.00	12.8%	3.7%	0.0%	0.0%	13.9%	5.3%	0.9%	83.3M	-2.53B	-14.4M	0.45	6.37	2,003	906	81,402	47,553
2007-01-25	$539.30	$500.00	10.3%	3.0%	10.6%	0.0%	11.3%	3.8%	1.1%	84.0M	-2.19B	-15.3M	0.52	4.99	2,427	1,251	82,359	47,798
2007-01-26	$546.70	$500.00	13.2%	3.8%	11.9%	0.0%	15.1%	4.7%	1.2%	86.0M	-2.47B	-15.1M	0.85	5.89	1,303	1,105	83,694	48,384
2007-01-29	$540.60	$525.00	14.4%	4.1%	12.2%	0.0%	15.0%	3.1%	0.7%	85.1M	-2.25B	-15.3M	0.15	4.82	3,792	561	83,864	48,866
2007-01-30	$542.70	$525.00	12.9%	3.7%	12.0%	0.0%	15.8%	5.1%	1.7%	86.4M	-2.43B	-15.0M	1.38	5.14	927	1,284	85,196	49,003
2007-01-31	$551.30	$500.00	12.6%	3.6%	13.2%	0.0%	26.8%	5.3%	1.5%	85.1M	-2.67B	-15.3M	0.02	7.03	76,251	1,801	85,187	49,054