C Options History — June 2007

In June 2007, C traded between $511.50 and $545.10. ATM implied volatility averaged 18.4%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.2% (HV 20d: 17.3%). Max pain ranged from $525.00 to $550.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-06-27: Highest Volume — 11,423 contracts
  • 2007-06-13: Largest IV spike — 19.6% change
  • 2007-06-26: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$530.77$511.50$545.10$545.10$512.90
Max Pain$528.57$525.00$550.00$525.00$525.00
ATM IV18.4%14.4%22.5%14.4%20.0%
Expected Move5.3%4.1%6.4%4.1%5.7%
HV 20d17.3%14.5%20.4%17.2%18.5%
HV 60d16.6%15.6%17.5%17.3%17.1%
Term Structure-0.4%-1.7%2.1%2.1%-0.3%
VWIV18.7%15.0%21.4%15.0%20.9%
Skew 25d2.2%0.7%3.3%0.7%2.7%
Skew 10d4.8%-0.6%8.6%-0.6%4.6%
Call IV 25d17.9%16.0%21.4%16.0%20.3%
Put IV 25d20.1%16.6%23.3%16.6%23.0%
Bid-Ask Spread %7.244.9012.246.3010.61
Gamma HHI0.330.230.460.410.23
Net GEX61.2M26.5M125.1M125.1M26.5M
Net DEX-1.63B-2.47B-739.9M-2.47B-739.9M
Net VEX-19.9M-21.2M-18.8M-19.4M-21.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.261.840.821.84
Total Volume4,296.3811,17211,4231,8793,799
Total OI179,103.524153,427199,414190,094173,523

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$545.10$525.0014.4%4.1%17.2%0.0%15.0%0.7%2.1%125.1M-2.47B-19.4M0.826.301,032847110,72579,369
2007-06-04$541.50$550.0016.2%4.8%17.3%0.0%17.3%1.5%-0.3%110.7M-2.28B-19.5M0.987.02591581110,74779,662
2007-06-05$539.00$550.0015.8%4.8%17.4%0.0%18.4%1.9%-0.4%103.7M-2.12B-19.5M0.644.911,369877110,85980,032
2007-06-06$533.30$550.0017.8%5.3%17.7%0.0%19.0%2.1%-0.4%81.0M-1.76B-19.7M0.636.501,6571,051111,24080,430
2007-06-07$525.20$525.0019.3%5.7%18.2%0.0%19.7%2.5%-1.2%63.1M-1.45B-20.0M0.8612.241,7871,540111,84280,803
2007-06-08$533.30$525.0017.7%5.4%18.2%0.0%18.8%2.9%-0.7%80.1M-1.84B-19.4M0.717.983,7832,681112,14781,445
2007-06-11$534.70$525.0019.2%5.4%18.2%0.0%18.2%2.8%-1.3%84.3M-1.87B-19.6M0.767.621,063810113,12683,171
2007-06-12$526.00$525.0018.8%5.6%19.1%0.0%19.4%2.8%-1.2%47.4M-1.40B-19.6M0.537.433,3431,772112,26383,550
2007-06-13$536.80$525.0022.5%5.7%20.4%0.0%19.4%3.1%-1.7%82.6M-1.87B-19.5M0.828.824,7013,840112,35983,739
2007-06-14$536.70$525.0018.8%5.4%14.5%0.0%18.4%2.3%-0.4%46.9M-1.91B-19.4M0.595.842,1061,239114,26584,846
2007-06-15$539.80$525.0018.1%5.2%14.7%0.0%18.2%1.6%-0.5%55.8M-2.05B-18.8M0.265.993,820997113,99585,419
2007-06-18$539.60$525.0016.7%4.8%14.6%0.0%16.9%1.1%-0.9%50.8M-1.82B-19.3M0.526.992,1981,13685,85667,571
2007-06-19$542.60$525.0016.0%4.6%14.7%0.0%16.4%1.5%-0.4%54.9M-1.93B-19.4M0.336.882,90095287,04868,404
2007-06-20$534.40$525.0018.2%5.2%15.5%0.0%17.9%1.4%0.1%50.2M-1.68B-20.0M1.206.921,8912,26788,74669,056
2007-06-21$536.60$525.0018.5%5.3%15.6%0.0%18.1%2.1%0.5%51.8M-1.69B-20.1M0.326.571,76356389,40070,654
2007-06-22$524.10$525.0019.2%5.5%17.5%0.0%19.4%3.0%-0.1%40.7M-1.35B-20.4M0.894.902,2932,05290,04470,782
2007-06-25$516.90$525.0020.1%5.8%17.8%0.0%20.3%3.1%-0.3%32.1M-1.05B-20.3M1.127.632,2262,49491,03070,877
2007-06-26$511.50$525.0022.4%6.4%18.0%0.0%21.4%2.0%-0.7%28.0M-910.7M-20.1M0.686.064,3182,91691,72471,506
2007-06-27$518.10$525.0018.9%5.4%18.7%0.0%19.8%3.3%-0.0%34.5M-1.05B-20.8M0.788.396,4155,00893,52473,448
2007-06-28$518.10$525.0018.6%5.3%18.4%0.0%19.9%2.9%-0.0%33.9M-1.05B-21.2M1.256.361,5781,96896,00975,938
2007-06-29$512.90$525.0020.0%5.7%18.5%0.0%20.9%2.7%-0.3%26.5M-739.9M-21.1M1.8410.611,3392,46096,92076,603