C Options History — October 2007

In October 2007, C traded between $412.30 and $483.20. ATM implied volatility averaged 31.1%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.8% (HV 20d: 26.3%). Max pain ranged from $450.00 to $475.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2007-10-17: Highest Volume — 37,125 contracts
2007-10-15: Largest IV spike — 18.3% change
2007-10-25: Highest IV Rank — 84.1%
2007-10-25: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$451.07	$412.30	$483.20	$477.20	$419.00
Max Pain	$463.04	$450.00	$475.00	$475.00	$450.00
ATM IV	31.1%	22.9%	40.3%	23.1%	34.9%
Expected Move	8.8%	6.5%	11.5%	6.6%	10.0%
HV 20d	26.3%	24.5%	29.5%	26.9%	27.7%
HV 60d	30.9%	29.4%	32.3%	30.6%	29.4%
IV Rank	58.3%	35.2%	84.1%	35.8%	69.1%
IV Percentile	83.4%	67.0%	97.1%	67.4%	90.0%
Term Structure	-1.6%	-3.9%	0.2%	-0.2%	-2.2%
VWIV	31.1%	22.8%	39.9%	24.4%	38.0%
Skew 25d	3.6%	0.8%	5.6%	4.7%	2.6%
Skew 10d	6.9%	1.2%	11.2%	9.7%	4.9%
Call IV 25d	29.5%	20.9%	39.2%	21.6%	35.4%
Put IV 25d	33.1%	25.8%	42.4%	26.3%	38.0%
Bid-Ask Spread %	3.94	2.27	5.61	2.84	2.88
Gamma HHI	0.16	0.12	0.25	0.16	0.13
Net GEX	-5.3M	-51.3M	26.0M	6.6M	-16.9M
Net DEX	754.2M	-572.3M	2.04B	-144.0M	1.90B
Net VEX	-25.3M	-26.7M	-23.7M	-23.7M	-26.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.24	1.15	0.82	0.24
Total Volume	15,932.174	4,386	37,125	15,437	18,856
Total OI	299,433.565	255,226	345,177	255,226	345,177

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
2007-10-01	$477.20	$475.00	23.1%	6.6%	26.9%	35.8%	24.4%	4.7%	-0.2%	6.6M	-144.0M	-23.7M	0.82	2.84	8,471	6,966	129,648	125,578
2007-10-02	$478.60	$475.00	22.9%	6.6%	26.8%	35.2%	22.8%	4.8%	0.1%	11.5M	-215.5M	-23.7M	0.80	3.97	7,545	6,018	132,378	126,474
2007-10-03	$478.90	$475.00	23.8%	6.8%	24.9%	37.8%	23.9%	4.7%	0.2%	13.7M	-325.9M	-25.1M	0.64	2.27	4,093	2,600	137,056	130,524
2007-10-04	$476.30	$475.00	27.6%	7.9%	24.8%	48.6%	28.1%	4.9%	-2.3%	10.7M	-202.0M	-25.5M	0.65	4.17	4,964	3,248	138,279	130,960
2007-10-05	$483.00	$475.00	25.7%	6.9%	25.1%	43.2%	23.6%	5.4%	-0.3%	21.9M	-559.6M	-25.2M	0.80	4.91	2,907	2,332	139,169	131,417
2007-10-08	$478.00	$475.00	27.0%	6.9%	25.4%	46.8%	26.3%	5.6%	-0.8%	14.5M	-247.4M	-24.9M	0.35	5.61	3,258	1,128	140,004	132,114
2007-10-09	$476.20	$475.00	27.0%	6.8%	25.0%	46.9%	24.1%	5.3%	0.0%	14.4M	-208.5M	-24.7M	0.69	5.22	4,846	3,339	141,547	132,010
2007-10-10	$471.40	$475.00	25.3%	6.5%	25.3%	42.1%	23.3%	4.5%	0.1%	5.5M	20.7M	-24.6M	1.05	4.18	3,050	3,217	144,199	133,758
2007-10-11	$483.20	$475.00	26.2%	7.5%	26.3%	44.5%	25.9%	3.9%	-1.7%	26.0M	-572.3M	-25.6M	0.62	5.19	11,736	7,298	144,697	135,156
2007-10-12	$478.70	$475.00	24.9%	7.1%	26.6%	40.8%	24.4%	2.9%	-0.8%	25.6M	-464.8M	-26.1M	0.46	5.46	13,757	6,389	149,656	137,666
2007-10-15	$462.40	$475.00	29.4%	8.4%	29.1%	53.6%	29.3%	1.3%	-1.4%	-7.0M	457.1M	-25.5M	0.91	3.71	14,484	13,183	155,094	138,729
2007-10-16	$447.90	$475.00	30.1%	8.6%	24.8%	55.5%	30.8%	0.8%	-1.0%	-40.1M	1.18B	-24.8M	0.79	4.39	13,798	10,873	158,626	142,699
2007-10-17	$446.60	$450.00	34.6%	9.9%	24.8%	68.3%	34.6%	3.7%	-3.4%	-30.1M	1.17B	-25.8M	0.62	4.30	22,973	14,152	165,221	146,783
2007-10-18	$438.30	$450.00	34.5%	9.9%	24.5%	68.0%	35.0%	3.5%	-3.2%	-25.5M	1.56B	-25.7M	0.76	2.31	13,715	10,443	171,710	149,987
2007-10-19	$423.60	$450.00	39.7%	11.4%	26.4%	82.6%	39.3%	4.9%	-3.6%	-51.3M	2.00B	-25.2M	0.88	5.01	10,062	8,814	178,184	153,308
2007-10-22	$426.10	$450.00	37.1%	10.6%	26.2%	75.3%	36.9%	5.1%	-2.4%	-16.9M	1.60B	-25.2M	1.03	3.91	8,433	8,687	163,019	142,716
2007-10-23	$424.40	$450.00	33.5%	9.6%	26.2%	65.1%	34.4%	3.0%	-0.8%	-18.0M	1.68B	-25.1M	0.47	4.22	8,586	4,030	168,176	146,342
2007-10-24	$418.20	$450.00	35.9%	10.3%	26.1%	71.9%	36.5%	2.3%	-2.4%	-18.2M	1.90B	-24.5M	0.78	4.14	8,254	6,465	171,638	147,717
2007-10-25	$412.30	$450.00	40.3%	11.5%	25.9%	84.1%	39.9%	3.9%	-3.1%	-16.0M	2.04B	-24.8M	1.15	3.03	8,477	9,728	174,851	149,926
2007-10-26	$426.30	$450.00	36.4%	10.4%	29.5%	73.2%	37.3%	2.9%	-1.9%	-9.4M	1.52B	-26.7M	0.43	2.75	11,235	4,833	178,284	153,768
2007-10-29	$426.90	$450.00	36.6%	10.5%	27.9%	73.7%	37.3%	1.0%	-2.5%	-10.0M	1.50B	-26.4M	0.77	2.97	7,950	6,095	178,142	153,855
2007-10-30	$421.10	$450.00	38.8%	11.1%	27.8%	79.9%	39.3%	1.4%	-3.9%	-13.0M	1.74B	-26.4M	0.62	3.12	9,351	5,801	182,611	158,119
2007-10-31	$419.00	$450.00	34.9%	10.0%	27.7%	69.1%	38.0%	2.6%	-2.2%	-16.9M	1.90B	-26.1M	0.24	2.88	15,212	3,644	185,536	159,641