C Options History — September 2007

In September 2007, C traded between $453.00 and $483.70. ATM implied volatility averaged 30.8%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.1% (HV 20d: 28.8%). Max pain ranged from $450.00 to $475.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2007-09-19: Highest Volume — 13,102 contracts
  • 2007-09-18: Largest IV drop — 26.7% change
  • 2007-09-17: Highest IV Rank — 88.9%
  • 2007-09-17: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$465.68$453.00$483.70$472.10$466.70
Max Pain$467.11$450.00$475.00$475.00$475.00
ATM IV30.8%23.3%42.0%27.9%23.3%
Expected Move9.0%6.7%12.0%8.0%6.7%
HV 20d28.8%22.1%34.7%33.7%26.2%
HV 60d29.2%28.1%30.3%28.2%30.3%
IV Rank57.6%36.4%88.9%49.3%36.4%
IV Percentile84.5%68.3%98.3%83.9%68.3%
Term Structure-2.7%-8.7%3.0%2.2%-0.4%
VWIV31.7%25.7%40.6%28.4%25.7%
Skew 25d6.8%3.3%9.4%3.3%4.5%
Skew 10d13.1%5.8%18.2%8.7%8.6%
Call IV 25d28.5%22.5%36.0%27.4%22.5%
Put IV 25d35.3%27.0%44.5%30.8%27.0%
Bid-Ask Spread %8.734.9412.797.114.94
Gamma HHI0.180.140.220.170.18
Net GEX-11.2M-21.9M19.2M-7.5M-9.1M
Net DEX468.4M-434.8M1.01B270.3M357.8M
Net VEX-23.6M-24.6M-22.7M-23.2M-23.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.371.630.691.36
Total Volume8,080.2114,31213,1024,7606,800
Total OI264,845.105241,595288,264249,386252,483

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$472.10$475.0027.9%8.0%33.7%49.3%28.4%3.3%2.2%-7.5M270.3M-23.2M0.697.112,8111,949129,712119,674
2007-09-05$460.00$475.0031.5%9.0%34.7%59.5%30.1%5.7%2.3%-19.4M766.5M-22.7M1.116.053,3213,693130,469120,688
2007-09-06$456.60$475.0031.0%8.9%33.8%58.1%30.0%3.8%3.0%-21.8M908.9M-22.8M0.757.143,3792,551132,287122,196
2007-09-07$454.80$475.0033.9%10.4%28.2%66.1%36.2%7.0%-3.5%-19.3M920.8M-23.2M1.219.693,4314,164134,342123,074
2007-09-10$453.00$475.0035.3%11.2%28.2%70.2%39.1%7.9%-4.6%-21.3M1.01B-23.1M1.5710.183,6385,705135,715125,637
2007-09-11$460.10$475.0034.9%10.9%28.7%69.1%37.0%8.7%-5.2%-21.1M786.7M-23.3M0.8910.785,7915,126137,209128,321
2007-09-12$457.60$450.0034.2%10.8%27.9%67.0%37.2%7.2%-4.8%-21.9M877.9M-24.0M1.2012.794,4315,317140,140130,598
2007-09-13$463.60$450.0034.2%9.8%28.3%66.9%33.4%8.2%-5.0%-19.9M605.0M-24.5M0.377.065,0431,866143,106133,389
2007-09-14$466.40$450.0036.1%10.3%24.0%72.3%36.9%9.4%-6.4%-10.7M469.1M-24.5M0.697.895,5783,843144,983132,377
2007-09-17$460.30$450.0042.0%12.0%22.1%88.9%40.6%8.5%-8.7%-16.1M723.8M-24.5M0.736.813,7222,704147,993134,384
2007-09-18$483.70$450.0030.8%8.8%28.7%57.5%30.6%8.6%-4.7%19.2M-434.8M-24.6M0.5510.906,6103,657149,142135,120
2007-09-19$482.70$450.0029.8%8.5%28.6%54.6%30.0%7.3%-3.4%16.4M-374.5M-24.2M0.6910.387,7705,332150,041135,087
2007-09-20$472.00$475.0029.2%8.4%29.6%53.0%30.1%7.2%-2.7%-7.5M291.9M-24.2M0.799.193,8903,087150,909136,664
2007-09-21$475.10$475.0027.1%7.8%29.7%47.0%28.2%6.8%-1.9%-13.6M91.0M-24.0M0.468.036,0792,789151,050137,214
2007-09-24$465.90$475.0027.1%7.8%30.4%47.2%28.5%5.5%-1.7%-6.8M375.9M-23.0M1.6310.053,3055,380123,957117,638
2007-09-25$463.10$475.0026.9%7.7%30.1%46.5%28.7%7.4%-2.1%-14.1M535.1M-23.0M0.7110.135,7254,093124,296121,530
2007-09-26$465.50$475.0026.0%7.5%27.4%44.1%26.2%5.5%-1.8%-11.2M396.6M-23.4M0.658.734,0112,621126,841123,128
2007-09-27$468.80$475.0024.9%7.1%26.8%41.0%26.3%5.9%-1.7%-6.8M321.8M-23.3M1.137.912,0242,288127,210123,453
2007-09-28$466.70$475.0023.3%6.7%26.2%36.4%25.7%4.5%-0.4%-9.1M357.8M-23.4M1.364.942,8793,921128,066124,417