C Options History — March 2007

In March 2007, C traded between $487.50 and $520.30. ATM implied volatility averaged 21.1%. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 3.5% (HV 20d: 24.5%). Max pain ranged from $500.00 to $525.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2007-03-14: Highest Volume — 12,869 contracts
  • 2007-03-14: Largest IV drop — 36.6% change
  • 2007-03-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$505.62$487.50$520.30$510.80$513.40
Max Pain$501.14$500.00$525.00$500.00$500.00
ATM IV21.1%16.2%31.6%23.6%17.1%
Expected Move5.7%4.7%7.3%6.8%4.9%
HV 20d24.5%18.9%29.1%18.9%22.6%
HV 60d19.1%17.6%20.1%17.8%19.1%
Term Structure-1.5%-3.5%0.2%-2.2%0.2%
VWIV20.5%17.5%25.8%23.7%19.7%
Skew 25d3.5%0.8%5.9%0.8%5.9%
Skew 10d7.1%1.2%12.8%1.2%12.8%
Call IV 25d18.7%15.2%24.6%23.9%15.2%
Put IV 25d22.2%18.9%27.6%24.6%21.1%
Bid-Ask Spread %7.294.1612.478.517.40
Gamma HHI0.200.170.230.210.21
Net GEX46.4M20.0M72.3M70.0M43.1M
Net DEX-985.9M-1.53B-226.8M-1.21B-1.24B
Net VEX-18.4M-19.4M-17.5M-18.3M-19.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.231.720.661.04
Total Volume5,483.6821,49212,8695,2933,489
Total OI158,917.182142,422172,694158,629155,983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$510.80$500.0023.6%6.8%18.9%0.0%23.7%0.8%-2.2%70.0M-1.21B-18.3M0.668.513,1962,09798,27060,359
2007-03-02$499.70$500.0025.3%7.3%20.0%0.0%25.8%3.0%-3.5%52.1M-760.4M-17.9M0.735.833,3272,41898,60360,879
2007-03-05$492.50$525.0030.0%6.8%20.2%0.0%23.8%2.8%-3.1%39.2M-499.2M-18.3M0.8910.114,5564,03699,92561,427
2007-03-06$505.80$500.0023.8%6.0%23.1%0.0%20.9%3.2%-2.8%72.3M-1.10B-18.0M0.546.415,5472,986101,65762,240
2007-03-07$502.20$500.0021.1%5.7%22.9%0.0%17.5%2.5%-2.3%58.7M-917.3M-17.5M0.608.474,3012,565101,97761,029
2007-03-08$505.00$500.0022.2%5.7%23.2%0.0%19.6%2.9%-2.3%64.7M-1.04B-18.1M0.869.062,4322,095102,40662,061
2007-03-09$503.30$500.0020.3%5.5%23.1%0.0%18.6%2.9%-1.8%58.6M-940.8M-18.0M1.377.441,3731,877103,68562,962
2007-03-12$503.60$500.0023.1%5.6%22.4%0.0%19.8%3.1%-2.2%55.0M-925.7M-17.8M0.2312.471,878438103,60763,657
2007-03-13$487.50$500.0031.6%6.7%24.7%0.0%22.3%2.5%-2.2%20.0M-226.8M-18.2M1.1810.193,6124,253102,94963,581
2007-03-14$490.80$500.0020.0%6.7%24.8%0.0%25.8%5.9%-2.6%25.1M-310.5M-18.8M0.866.996,9365,933103,82265,634
2007-03-15$501.30$500.0021.4%6.1%26.0%0.0%21.6%4.7%-2.4%44.2M-780.8M-18.8M0.946.975,7165,396104,56668,128
2007-03-16$495.30$500.0021.3%6.1%26.1%0.0%21.9%4.7%-1.5%30.0M-427.1M-18.4M1.215.561,9492,356104,42468,137
2007-03-19$500.60$500.0020.1%5.8%26.6%0.0%20.1%4.8%-1.0%28.1M-715.2M-18.4M0.495.063,7421,82483,53958,883
2007-03-20$506.40$500.0019.5%5.6%27.1%0.0%19.5%4.2%-0.9%36.1M-997.9M-18.5M0.864.163,1142,66885,19660,215
2007-03-21$520.30$500.0016.2%4.7%29.1%0.0%18.5%3.9%-0.4%50.8M-1.53B-18.3M0.988.193,9893,89086,98860,631
2007-03-22$518.40$500.0016.5%4.7%29.1%0.0%17.9%3.0%-0.1%49.8M-1.44B-19.1M0.917.392,0191,83988,79762,384
2007-03-23$517.20$500.0016.6%4.8%29.1%0.0%18.0%3.7%0.1%49.0M-1.43B-18.9M1.245.981,3091,62488,82162,756
2007-03-26$515.40$500.0016.9%4.9%28.2%0.0%19.0%3.4%-0.1%46.0M-1.41B-18.4M0.906.421,2311,10989,41863,214
2007-03-27$510.60$500.0019.8%5.7%24.4%0.0%17.7%2.9%-1.4%40.7M-1.19B-18.8M1.725.801,0131,74589,72763,789
2007-03-28$509.60$500.0019.9%5.7%24.4%0.0%19.2%2.6%-0.2%40.1M-1.20B-18.7M1.336.171,4051,86690,17464,346
2007-03-29$514.00$500.0017.3%5.0%24.1%0.0%19.2%3.0%-0.1%46.3M-1.40B-18.4M1.645.7956692690,64264,690
2007-03-30$513.40$500.0017.1%4.9%22.6%0.0%19.7%5.9%0.2%43.1M-1.24B-19.4M1.047.401,7071,78290,88865,095