C Options History — February 2007

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

In February 2007, C traded between $503.70 and $549.50. ATM implied volatility averaged 15.6%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.3% (HV 20d: 14.3%). Max pain ranged from $500.00 to $550.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2007-02-28: Highest Volume — 8,774 contracts
2007-02-27: Largest IV spike — 39.1% change
2007-02-27: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$537.08	$503.70	$549.50	$547.30	$503.70
Max Pain	$510.53	$500.00	$550.00	$550.00	$500.00
ATM IV	15.6%	11.3%	25.7%	12.9%	22.6%
Expected Move	4.6%	3.7%	7.4%	3.7%	6.5%
HV 20d	14.3%	12.4%	19.3%	13.1%	19.1%
Term Structure	-0.4%	-4.3%	1.3%	1.3%	-2.1%
VWIV	16.1%	13.1%	24.7%	13.4%	22.9%
Skew 25d	3.3%	-0.5%	4.8%	4.2%	-0.5%
Skew 10d	6.4%	-1.9%	10.4%	6.5%	-1.9%
Call IV 25d	14.5%	10.4%	23.5%	10.4%	23.2%
Put IV 25d	17.7%	14.6%	27.8%	14.6%	22.7%
Bid-Ask Spread %	6.22	4.44	12.35	4.61	7.16
Gamma HHI	0.22	0.19	0.24	0.21	0.19
Net GEX	90.6M	58.7M	103.5M	84.8M	58.7M
Net DEX	-2.27B	-2.71B	-911.7M	-2.58B	-911.7M
Net VEX	-16.5M	-18.8M	-14.9M	-15.1M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.10	1.35	0.97	0.81
Total Volume	4,045.263	917	8,774	3,113	8,774
Total OI	144,082.895	132,567	154,740	132,567	154,740

Daily Data (19 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
2007-02-01	$547.30	$550.00	12.9%	3.7%	13.1%	0.0%	13.4%	4.2%	1.3%	84.8M	-2.58B	-15.1M	0.97	4.61	1,577	1,536	83,152	49,415
2007-02-02	$546.60	$500.00	12.1%	4.0%	13.0%	0.0%	15.8%	2.9%	-0.5%	89.0M	-2.60B	-14.9M	1.01	9.25	1,368	1,376	83,666	49,306
2007-02-05	$547.50	$500.00	13.0%	4.1%	12.9%	0.0%	14.4%	2.3%	-0.3%	88.2M	-2.57B	-15.7M	1.35	5.47	1,294	1,747	84,392	49,990
2007-02-06	$549.50	$500.00	11.9%	3.8%	12.8%	0.0%	13.1%	2.9%	0.7%	91.5M	-2.71B	-15.6M	0.54	4.72	2,028	1,104	84,853	50,665
2007-02-07	$549.50	$500.00	11.3%	3.9%	12.4%	0.0%	15.4%	3.2%	-0.1%	94.7M	-2.70B	-15.6M	0.74	7.29	1,978	1,459	85,760	51,138
2007-02-08	$544.40	$500.00	13.5%	3.9%	12.5%	0.0%	14.0%	2.7%	0.6%	97.8M	-2.57B	-15.5M	0.28	8.10	1,717	478	87,212	52,160
2007-02-09	$534.00	$500.00	17.3%	4.9%	14.3%	0.0%	16.6%	3.4%	-1.0%	81.4M	-2.10B	-16.4M	1.05	7.60	1,876	1,963	87,521	51,854
2007-02-12	$534.30	$500.00	18.6%	5.3%	14.2%	0.0%	16.4%	4.1%	-2.0%	84.1M	-2.25B	-15.4M	0.82	5.03	4,245	3,478	88,315	52,512
2007-02-13	$537.10	$500.00	17.6%	5.1%	14.1%	0.0%	15.8%	3.7%	-1.7%	90.2M	-2.26B	-16.7M	0.68	5.30	1,312	892	91,079	54,711
2007-02-14	$541.80	$500.00	14.0%	4.0%	14.3%	0.0%	14.7%	2.8%	0.2%	100.6M	-2.53B	-16.1M	0.26	4.82	2,977	786	91,245	55,204
2007-02-15	$542.10	$500.00	13.7%	3.9%	14.3%	0.0%	14.6%	2.6%	0.4%	99.6M	-2.51B	-16.3M	0.63	4.72	941	590	92,582	55,165
2007-02-16	$541.00	$500.00	13.5%	3.9%	14.3%	0.0%	14.6%	2.4%	0.8%	97.7M	-2.45B	-16.6M	0.69	6.40	3,588	2,477	93,031	55,334
2007-02-20	$541.90	$525.00	13.3%	3.8%	14.3%	0.0%	16.2%	4.8%	1.1%	99.6M	-2.53B	-16.8M	0.10	4.44	6,339	659	91,982	55,025
2007-02-21	$537.50	$525.00	16.4%	4.7%	14.5%	0.0%	14.6%	4.1%	0.2%	103.5M	-2.41B	-16.9M	0.73	4.84	1,409	1,028	93,739	55,483
2007-02-22	$535.90	$525.00	16.3%	4.7%	14.3%	0.0%	14.8%	3.2%	-0.3%	102.5M	-2.19B	-18.2M	0.67	4.56	549	368	94,162	56,245
2007-02-23	$537.70	$525.00	13.6%	3.9%	13.1%	0.0%	16.2%	4.8%	0.8%	103.1M	-2.38B	-17.4M	0.94	4.49	1,521	1,425	94,295	56,510
2007-02-26	$526.80	$525.00	18.4%	5.3%	13.9%	0.0%	18.4%	4.3%	-1.4%	93.5M	-1.82B	-17.8M	1.14	6.93	2,340	2,667	94,915	57,220
2007-02-27	$506.00	$525.00	25.7%	7.4%	19.3%	0.0%	24.7%	4.3%	-4.3%	61.5M	-1.01B	-18.8M	1.18	12.35	3,208	3,786	94,996	58,001
2007-02-28	$503.70	$500.00	22.6%	6.5%	19.1%	0.0%	22.9%	-0.5%	-2.1%	58.7M	-911.7M	-17.6M	0.81	7.16	4,838	3,936	95,319	59,421