C Options History — August 2007

In August 2007, C traded between $456.10 and $494.90. ATM implied volatility averaged 33.9%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.8% (HV 20d: 35.6%). Max pain ranged from $475.00 to $500.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2007-08-03: Highest Volume — 18,369 contracts
2007-08-09: Largest IV spike — 40.6% change
2007-08-03: Highest IV Rank — 100.0%
2007-08-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$473.93	$456.10	$494.90	$468.50	$468.80
Max Pain	$496.74	$475.00	$500.00	$500.00	$475.00
ATM IV	33.9%	26.0%	46.0%	35.5%	28.0%
Expected Move	9.3%	7.5%	12.3%	10.2%	8.0%
HV 20d	35.6%	21.2%	41.0%	21.2%	39.2%
HV 60d	25.3%	19.2%	28.4%	19.2%	28.4%
IV Rank	70.8%	44.0%	100.0%	99.3%	49.5%
IV Percentile	92.8%	82.7%	100.0%	99.3%	84.4%
Term Structure	-1.1%	-5.5%	3.7%	-4.1%	2.1%
VWIV	32.6%	26.2%	40.8%	37.6%	28.3%
Skew 25d	8.7%	4.6%	12.5%	6.5%	4.6%
Skew 10d	17.7%	6.7%	35.2%	20.0%	7.5%
Call IV 25d	28.4%	21.3%	38.7%	34.1%	27.4%
Put IV 25d	37.2%	29.7%	44.5%	40.6%	32.0%
Bid-Ask Spread %	8.91	5.39	16.37	8.85	6.63
Gamma HHI	0.19	0.16	0.30	0.17	0.17
Net GEX	-802.1K	-21.8M	26.8M	-3.1M	-9.4M
Net DEX	203.1M	-651.6M	928.5M	658.1M	450.2M
Net VEX	-23.2M	-24.4M	-21.5M	-21.5M	-23.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.35	2.30	1.15	0.35
Total Volume	9,383.652	3,767	18,369	8,675	4,480
Total OI	234,342	216,990	249,584	217,750	249,584

Daily Data (23 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
2007-08-01	$468.50	$500.00	35.5%	10.2%	21.2%	99.3%	37.6%	6.5%	-4.1%	-3.1M	658.1M	-21.5M	1.15	8.85	4,038	4,637	117,265	100,485
2007-08-02	$472.40	$500.00	31.2%	8.9%	21.7%	82.3%	31.8%	7.5%	0.8%	1.5M	388.9M	-22.4M	1.13	8.42	4,929	5,570	116,238	100,752
2007-08-03	$457.20	$500.00	42.9%	12.3%	23.6%	100.0%	40.8%	5.5%	-3.0%	-1.4M	621.6M	-21.9M	1.08	9.25	8,818	9,551	118,159	101,107
2007-08-06	$483.50	$500.00	37.4%	9.9%	32.3%	83.1%	33.3%	10.6%	-3.1%	14.4M	-198.6M	-23.4M	1.28	8.44	6,230	7,944	121,740	104,284
2007-08-07	$485.90	$500.00	33.3%	9.2%	32.3%	70.6%	32.0%	8.7%	-4.2%	17.2M	-378.2M	-23.2M	0.62	10.87	9,430	5,889	122,918	106,504
2007-08-08	$494.90	$500.00	29.3%	8.2%	32.9%	58.4%	30.4%	10.4%	-3.7%	23.2M	-651.6M	-23.6M	0.71	11.77	7,472	5,311	124,250	107,863
2007-08-09	$469.00	$500.00	41.2%	10.3%	35.8%	94.9%	36.2%	7.9%	-4.8%	905.3K	263.1M	-23.3M	0.94	8.13	4,335	4,080	125,259	109,982
2007-08-10	$470.00	$500.00	40.6%	10.2%	35.9%	93.0%	35.7%	10.1%	-5.5%	-3.4M	437.6M	-23.7M	1.20	10.43	4,256	5,100	126,064	111,761
2007-08-13	$465.40	$500.00	37.4%	9.6%	36.0%	83.3%	34.5%	8.1%	-4.1%	-13.2M	548.9M	-22.8M	0.85	5.39	2,922	2,474	126,517	112,568
2007-08-14	$456.60	$500.00	44.1%	10.9%	36.0%	100.0%	36.7%	9.6%	-5.0%	-21.7M	899.7M	-21.8M	1.22	16.37	3,062	3,733	126,247	112,466
2007-08-15	$456.10	$500.00	46.0%	11.1%	35.9%	100.0%	39.2%	10.7%	-4.9%	-21.8M	928.5M	-22.5M	1.36	7.42	3,880	5,268	127,079	112,483
2007-08-16	$475.50	$500.00	37.6%	10.8%	39.7%	76.6%	38.2%	12.5%	-4.2%	12.9M	-266.1M	-24.4M	0.82	15.68	4,782	3,919	129,412	114,481
2007-08-17	$488.10	$500.00	30.7%	8.8%	41.0%	57.3%	34.7%	11.7%	-2.8%	26.8M	-396.1M	-24.3M	0.75	8.01	7,627	5,743	129,943	114,907
2007-08-20	$483.90	$500.00	31.1%	8.9%	41.0%	58.3%	31.6%	9.3%	1.2%	5.2M	-139.4M	-23.8M	0.77	9.06	5,491	4,209	117,250	105,321
2007-08-21	$480.60	$500.00	29.5%	8.5%	39.7%	53.8%	29.2%	9.5%	2.4%	4.9M	-84.6M	-23.9M	2.30	6.97	1,716	3,946	120,494	106,547
2007-08-22	$484.30	$500.00	28.3%	8.1%	39.8%	50.6%	28.5%	10.1%	2.8%	3.4M	-151.4M	-23.7M	1.90	7.22	4,086	7,757	120,254	107,930
2007-08-23	$483.50	$500.00	27.7%	7.9%	38.4%	48.7%	26.2%	8.4%	2.7%	-453.0K	-98.6M	-23.8M	0.80	7.48	2,652	2,113	121,721	113,785
2007-08-24	$485.00	$500.00	26.0%	7.5%	37.8%	44.0%	27.9%	8.4%	3.7%	-2.0M	-152.7M	-24.0M	1.43	8.39	1,550	2,217	122,471	116,173
2007-08-27	$477.90	$500.00	26.6%	7.6%	38.2%	45.7%	28.2%	7.2%	3.0%	-7.3M	133.1M	-23.0M	2.16	8.79	1,204	2,598	123,110	114,723
2007-08-28	$461.40	$500.00	34.9%	10.0%	40.0%	68.9%	30.7%	8.9%	0.8%	-14.5M	671.7M	-23.0M	0.79	5.59	6,365	5,053	123,212	115,895
2007-08-29	$469.50	$475.00	27.6%	7.9%	40.5%	48.6%	28.9%	8.0%	3.0%	-14.9M	508.7M	-23.1M	0.84	8.25	5,704	4,793	125,589	118,170
2007-08-30	$462.30	$475.00	32.1%	9.2%	40.7%	61.2%	29.0%	6.1%	1.6%	-15.7M	678.9M	-23.0M	0.37	7.59	6,487	2,403	127,613	119,290
2007-08-31	$468.80	$475.00	28.0%	8.0%	39.2%	49.5%	28.3%	4.6%	2.1%	-9.4M	450.2M	-23.4M	0.35	6.63	3,321	1,159	129,888	119,696