C Options History — July 2007

In July 2007, C traded between $465.70 and $528.40. ATM implied volatility averaged 25.3%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.5% (HV 20d: 18.8%). Max pain ranged from $500.00 to $525.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2007-07-26: Highest Volume — 19,652 contracts
  • 2007-07-26: Largest IV spike — 24.8% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$505.76$465.70$528.40$516.40$465.70
Max Pain$503.57$500.00$525.00$525.00$500.00
ATM IV25.3%18.6%35.6%19.7%34.8%
Expected Move7.2%5.5%10.2%5.7%10.0%
HV 20d18.8%16.8%21.2%18.8%21.0%
HV 60d17.5%16.2%19.1%17.1%19.1%
IV Rank69.7%38.8%100.0%41.0%96.6%
IV Percentile92.9%68.5%100.0%74.6%98.6%
Term Structure-2.1%-5.9%0.2%-0.6%-4.4%
VWIV25.6%18.7%35.7%20.3%35.2%
Skew 25d3.9%0.8%5.6%3.0%5.6%
Skew 10d8.1%3.8%15.9%5.6%15.9%
Call IV 25d23.6%18.4%33.6%19.1%33.3%
Put IV 25d27.6%20.8%39.1%22.1%38.9%
Bid-Ask Spread %7.143.6311.773.637.28
Gamma HHI0.200.160.250.230.19
Net GEX21.8M-5.6M48.2M30.5M-5.6M
Net DEX-587.1M-1.46B819.6M-957.8M819.6M
Net VEX-20.7M-21.8M-11.5M-21.3M-20.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.193.880.251.32
Total Volume7,479.0951,16019,6522,61412,453
Total OI186,343.286101,139214,385174,934214,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$516.40$525.0019.7%5.7%18.8%0.0%20.3%3.0%-0.6%30.5M-957.8M-21.3M0.253.632,08752797,24377,691
2007-07-03$518.60$525.0019.4%5.5%18.9%0.0%19.9%0.8%0.2%34.6M-1.11B-21.0M0.636.681,02564998,22777,559
2007-07-05$515.00$525.0019.0%5.5%18.7%41.0%21.0%3.0%-0.1%32.6M-1.04B-20.8M3.884.583701,43798,17577,815
2007-07-06$517.00$500.0018.6%5.5%18.1%38.8%18.7%2.9%-0.2%30.4M-994.4M-21.0M0.877.0462054098,23478,937
2007-07-09$516.00$500.0020.3%5.6%17.1%47.1%19.6%3.2%-0.2%28.9M-954.4M-20.8M1.164.858851,02998,59479,090
2007-07-10$510.00$500.0024.5%6.6%17.4%66.8%23.5%3.5%-1.5%22.4M-757.9M-20.7M1.388.392,5423,50798,70479,691
2007-07-11$514.10$500.0023.8%6.0%16.9%63.7%23.6%4.5%-0.3%24.0M-841.7M-21.0M1.566.052,1103,28799,47182,212
2007-07-12$528.40$500.0021.2%6.1%18.2%51.2%20.8%4.3%-1.3%44.1M-1.46B-21.6M0.197.096,4751,233100,65684,208
2007-07-13$525.20$500.0021.4%6.1%18.3%52.3%21.6%3.0%-1.5%46.6M-1.42B-21.4M0.646.081,283826104,16884,055
2007-07-16$521.90$500.0022.2%6.4%18.2%55.9%22.7%2.8%-1.3%19.1M-585.0M-11.5M0.534.953,7631,98655,13646,003
2007-07-17$524.60$500.0021.7%6.2%18.4%53.5%22.6%3.1%-1.6%48.2M-1.42B-21.3M0.306.962,211669106,51785,280
2007-07-18$516.00$500.0023.7%6.8%18.9%63.1%25.3%4.5%-2.0%32.6M-932.4M-21.3M0.877.224,4373,849107,16485,242
2007-07-19$511.30$500.0026.4%7.6%18.5%75.6%25.5%4.8%-4.0%23.2M-802.7M-21.4M1.487.913,8895,764108,67687,572
2007-07-20$507.30$500.0027.3%7.8%18.5%79.9%27.2%5.5%-2.6%16.6M-567.8M-21.8M1.027.767,5207,661110,21089,635
2007-07-23$508.60$500.0026.9%7.7%16.8%78.0%27.3%5.0%-2.6%19.3M-711.9M-21.7M0.397.134,9701,913103,28486,677
2007-07-24$493.10$500.0028.7%8.2%19.4%86.5%29.8%4.1%-3.0%8.2M-138.6M-21.0M1.036.625,9516,136104,73288,017
2007-07-25$492.10$500.0028.1%8.1%19.2%83.7%29.9%4.4%-3.2%6.0M-81.7M-20.8M0.7610.567,1205,391106,07590,849
2007-07-26$478.10$500.0035.0%10.0%20.6%100.0%34.9%3.9%-5.9%-673.0K370.3M-21.1M1.0511.579,57410,078108,62293,103
2007-07-27$469.70$500.0035.6%10.2%21.1%100.0%35.7%5.5%-5.2%-3.0M632.4M-20.9M0.6411.776,3774,073112,66496,782
2007-07-30$471.90$500.0033.3%9.5%21.2%90.6%33.1%5.5%-3.8%-1.2M622.3M-20.7M1.035.805,3525,492114,84897,006
2007-07-31$465.70$500.0034.8%10.0%21.0%96.6%35.2%5.6%-4.4%-5.6M819.6M-20.8M1.327.285,3667,087115,73398,652