C Options History — April 2007 In April 2007, C traded between $510.50 and $538.00. ATM implied volatility averaged 16.3%. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.5% (HV 20d: 16.8%). Max pain ranged from $500.00 to $525.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2007-04-16 : Highest Volume — 9,481 contracts2007-04-26 : Largest IV spike — 20.0% change2007-04-02 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $524.83 $510.50 $538.00 $510.50 $536.20 Max Pain $506.25 $500.00 $525.00 $500.00 $525.00 ATM IV 16.3% 13.4% 20.7% 20.7% 17.0% Expected Move 4.7% 3.8% 5.9% 5.9% 4.9% HV 20d 16.8% 13.9% 22.0% 22.0% 14.9% HV 60d 19.6% 19.0% 20.2% 19.1% 19.7% Term Structure -0.5% -1.7% 0.6% -0.6% -1.7% VWIV 17.5% 14.0% 21.1% 20.4% 15.8% Skew 25d 3.4% 1.8% 5.7% 4.5% 2.8% Skew 10d 7.4% 1.2% 13.7% 12.4% 6.9% Call IV 25d 14.8% 13.3% 17.1% 17.1% 15.0% Put IV 25d 18.2% 16.3% 21.6% 21.6% 17.8% Bid-Ask Spread % 6.02 4.04 8.99 6.33 4.81 Gamma HHI 0.27 0.20 0.40 0.20 0.40 Net GEX 63.5M 40.2M 88.3M 40.2M 79.9M Net DEX -1.70B -2.11B -1.19B -1.19B -2.00B Net VEX -18.4M -19.3M -17.7M -18.6M -19.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.22 2.38 0.84 0.53 Total Volume 4,505.45 1,002 9,481 2,330 7,024 Total OI 165,758.8 157,513 175,863 157,513 171,329
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 2007-04-02 $510.50 $500.00 20.7% 5.9% 22.0% 0.0% 20.4% 4.5% -0.6% 40.2M -1.19B -18.6M 0.84 6.33 1,264 1,066 91,383 66,130 2007-04-03 $514.10 $500.00 16.7% 4.8% 20.1% 0.0% 18.4% 5.7% 0.3% 45.3M -1.33B -18.6M 1.06 4.04 511 544 91,617 66,433 2007-04-04 $513.60 $500.00 16.9% 4.8% 19.9% 0.0% 19.2% 4.2% -0.1% 45.6M -1.32B -18.4M 0.92 4.85 521 481 91,687 66,771 2007-04-05 $515.70 $500.00 16.2% 4.6% 19.8% 0.0% 19.8% 5.7% 0.3% 49.4M -1.49B -18.0M 2.38 4.49 841 2,003 91,930 66,868 2007-04-09 $515.80 $500.00 17.8% 4.8% 19.7% 0.0% 21.1% 4.4% -0.1% 48.3M -1.42B -17.9M 2.06 6.17 653 1,345 92,265 67,783 2007-04-10 $524.00 $500.00 16.4% 4.7% 20.4% 0.0% 16.7% 3.2% 0.1% 60.5M -1.68B -18.5M 0.81 7.46 2,100 1,710 92,553 68,773 2007-04-11 $518.00 $500.00 18.1% 4.8% 16.7% 0.0% 17.7% 3.8% -0.1% 52.1M -1.51B -17.9M 0.93 8.91 3,038 2,833 93,231 69,421 2007-04-12 $516.50 $500.00 15.5% 4.4% 16.8% 0.0% 17.0% 3.3% 0.1% 49.4M -1.44B -17.9M 0.59 5.07 4,578 2,682 94,161 71,303 2007-04-13 $516.00 $500.00 15.8% 4.5% 15.3% 0.0% 17.9% 3.3% -0.8% 48.8M -1.34B -18.4M 1.13 5.18 2,468 2,791 95,134 72,694 2007-04-16 $529.30 $500.00 15.8% 4.5% 16.7% 0.0% 15.7% 2.6% -0.6% 81.8M -1.99B -17.7M 0.22 5.38 7,764 1,717 95,823 74,507 2007-04-17 $525.30 $500.00 15.7% 4.5% 16.9% 0.0% 17.0% 3.5% -0.3% 88.3M -1.86B -18.3M 0.94 7.27 2,934 2,767 98,519 74,236 2007-04-18 $529.90 $500.00 16.4% 4.7% 16.7% 0.0% 17.9% 2.1% -0.7% 85.1M -2.11B -18.2M 0.31 5.78 5,651 1,766 98,666 76,075 2007-04-19 $530.90 $500.00 16.3% 4.7% 13.9% 0.0% 17.2% 3.3% -1.1% 75.3M -2.11B -18.5M 0.34 5.92 3,280 1,117 99,358 76,505 2007-04-20 $534.20 $500.00 15.7% 4.5% 13.9% 0.0% 15.2% 3.0% -1.0% 79.3M -2.08B -19.0M 0.28 8.00 4,748 1,333 98,461 76,609 2007-04-23 $531.10 $500.00 15.4% 4.4% 14.1% 0.0% 15.4% 1.9% -0.4% 65.2M -1.75B -18.4M 0.80 8.99 1,508 1,208 92,777 68,998 2007-04-24 $528.10 $525.00 15.3% 4.4% 14.2% 0.0% 17.0% 2.6% -0.7% 59.2M -1.61B -18.3M 0.88 4.86 2,261 1,999 93,046 69,755 2007-04-25 $538.00 $525.00 13.4% 3.8% 14.9% 0.0% 14.0% 3.2% 0.6% 73.0M -2.02B -18.7M 0.71 4.68 2,583 1,846 94,043 70,975 2007-04-26 $535.60 $525.00 16.1% 4.6% 15.0% 0.0% 18.2% 1.8% -1.4% 73.6M -1.98B -18.1M 0.84 6.08 1,803 1,508 95,281 71,698 2007-04-27 $533.70 $525.00 15.6% 4.5% 15.0% 0.0% 18.4% 2.7% -1.0% 69.6M -1.82B -19.2M 0.68 6.19 2,304 1,559 95,869 72,509 2007-04-30 $536.20 $525.00 17.0% 4.9% 14.9% 0.0% 15.8% 2.8% -1.7% 79.9M -2.00B -19.3M 0.53 4.81 4,596 2,428 97,759 73,570
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