C Options History — May 2007

In May 2007, C traded between $527.90 and $552.00. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.4% (HV 20d: 16.1%). Max pain ranged from $525.00 to $525.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-05-02: Highest Volume — 61,577 contracts
  • 2007-05-08: Largest IV spike — 15.1% change
  • 2007-05-10: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$542.96$527.90$552.00$542.00$544.90
Max Pain$525.00$525.00$525.00$525.00$525.00
ATM IV16.4%14.1%19.6%15.2%15.3%
Expected Move4.8%4.0%5.6%4.3%4.4%
HV 20d16.1%12.3%18.5%14.9%17.3%
HV 60d19.7%17.3%21.3%19.8%17.3%
Term Structure0.0%-2.3%1.9%0.1%1.5%
VWIV17.8%15.0%32.4%15.9%15.3%
Skew 25d1.5%0.2%3.4%2.5%0.4%
Skew 10d4.0%-1.1%10.9%10.1%-1.1%
Call IV 25d16.6%13.7%19.4%14.0%16.2%
Put IV 25d18.1%16.6%20.4%16.6%16.6%
Bid-Ask Spread %6.704.3111.904.607.17
Gamma HHI0.390.290.770.400.39
Net GEX134.9M63.3M638.7M86.0M124.9M
Net DEX-2.42B-2.94B-1.70B-2.18B-2.49B
Net VEX-19.7M-20.6M-18.6M-18.9M-19.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.020.810.800.69
Total Volume8,743.7271,18861,5776,0403,011
Total OI186,063.636168,551199,598171,080189,041

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$542.00$525.0015.2%4.3%14.9%0.0%15.9%2.5%0.1%86.0M-2.18B-18.9M0.804.603,3512,68997,00374,077
2007-05-02$543.00$525.0014.8%4.2%14.9%0.0%32.4%3.4%0.1%87.8M-2.25B-18.7M0.024.9960,5401,03797,78675,626
2007-05-03$539.50$525.0014.1%4.0%15.2%0.0%15.0%3.1%-0.0%81.7M-2.04B-18.6M0.415.062,33694892,67975,872
2007-05-04$540.90$525.0014.8%4.6%15.2%0.0%16.4%1.8%-1.0%83.4M-2.21B-19.2M0.407.718,5003,39594,20774,816
2007-05-07$538.80$525.0016.1%4.9%15.3%0.0%18.0%1.1%-1.3%83.1M-2.13B-19.5M0.175.607,8861,31298,90376,048
2007-05-08$537.20$525.0018.6%5.3%14.5%0.0%18.6%0.3%-1.5%86.0M-2.14B-19.8M0.245.325,2531,254102,80376,693
2007-05-09$541.20$525.0017.0%5.5%13.9%0.0%19.3%1.0%-2.3%98.5M-2.32B-19.9M0.339.547,7032,553105,72976,808
2007-05-10$532.00$525.0019.6%5.6%15.4%0.0%19.6%1.0%-1.7%81.8M-1.94B-20.5M0.535.093,9642,119110,35378,527
2007-05-11$531.10$525.0018.8%5.4%15.4%0.0%18.7%1.3%-1.5%80.1M-1.89B-20.6M0.626.394,6732,896112,26279,381
2007-05-14$528.60$525.0018.1%5.2%12.7%0.0%18.2%2.0%-0.8%65.8M-1.70B-20.4M0.395.933,0381,174114,41680,892
2007-05-15$527.90$525.0017.6%5.0%12.3%0.0%17.9%2.2%-0.1%63.3M-1.73B-20.2M0.4611.903,4141,565115,82281,256
2007-05-16$549.10$525.0017.3%5.0%18.4%0.0%18.4%1.3%-0.5%174.9M-2.86B-19.6M0.498.2010,0444,927114,07581,868
2007-05-17$548.00$525.0017.2%4.9%18.5%0.0%18.0%0.2%0.2%193.9M-2.78B-20.2M0.617.283,3082,002116,19283,406
2007-05-18$550.00$525.0016.9%4.8%18.4%0.0%17.2%1.6%0.2%638.7M-2.90B-20.1M0.344.314,3961,480115,03681,797
2007-05-21$548.40$525.0016.3%4.7%18.3%0.0%16.5%0.8%0.8%133.7M-2.74B-19.8M0.775.442,3571,804111,46675,650
2007-05-22$550.80$525.0015.4%4.4%18.1%0.0%16.2%1.1%1.1%142.3M-2.80B-19.8M0.125.6413,3011,613112,12376,460
2007-05-23$550.10$525.0015.6%4.5%17.1%0.0%15.7%1.4%1.2%133.3M-2.82B-19.4M0.576.602,4321,388109,77076,846
2007-05-24$549.30$525.0015.5%4.4%17.0%0.0%15.9%1.1%1.9%133.7M-2.76B-19.8M0.716.341,6521,176111,86678,435
2007-05-25$551.20$525.0015.3%4.4%16.9%0.0%15.4%3.2%1.5%132.3M-2.79B-20.0M0.817.631,161944110,58078,784
2007-05-29$549.10$525.0016.1%4.6%16.9%0.0%16.3%0.7%1.2%128.8M-2.72B-19.7M0.658.121,5651,013110,27578,559
2007-05-30$552.00$525.0015.5%4.5%16.6%0.0%15.7%2.1%1.2%134.7M-2.94B-18.7M0.568.48761427110,54778,665
2007-05-31$544.90$525.0015.3%4.4%17.3%0.0%15.3%0.4%1.5%124.9M-2.49B-19.5M0.697.171,7831,228110,39878,643