C Options History — December 2007

In December 2007, C traded between $292.90 and $347.70. ATM implied volatility averaged 45.0%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.1% (HV 20d: 47.1%). Max pain ranged from $350.00 to $400.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2007-12-11: Highest Volume — 75,326 contracts
  • 2007-12-06: Largest IV drop — 19.3% change
  • 2007-12-17: Highest IV Rank — 86.1%
  • 2007-12-17: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$315.17$292.90$347.70$330.60$294.40
Max Pain$377.50$350.00$400.00$375.00$350.00
ATM IV45.0%34.4%55.9%43.3%43.5%
Expected Move13.0%10.4%16.0%12.4%12.5%
HV 20d47.1%34.4%55.4%55.4%34.4%
HV 60d43.0%42.0%43.6%42.0%43.3%
IV Rank65.7%45.5%86.1%62.4%62.7%
IV Percentile90.1%77.9%97.9%91.3%88.0%
Term Structure-3.5%-10.9%7.0%7.0%-5.7%
VWIV45.8%39.4%55.5%44.4%44.6%
Skew 25d6.8%3.3%10.5%7.0%3.3%
Skew 10d14.6%8.6%21.5%14.6%8.6%
Call IV 25d43.2%35.1%52.5%40.8%43.8%
Put IV 25d50.0%42.1%59.2%47.8%47.1%
Bid-Ask Spread %2.391.593.131.882.18
Gamma HHI0.210.150.420.160.24
Net GEX-38.9M-69.9M-23.4M-24.4M-46.2M
Net DEX2.83B1.98B3.44B2.77B3.06B
Net VEX-22.1M-25.1M-18.2M-23.8M-18.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.5010.680.943.66
Total Volume39,000.415,99275,32615,99260,908
Total OI489,512.1452,141522,297481,417463,788

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$330.60$375.0043.3%12.4%55.4%62.4%44.4%7.0%7.0%-24.4M2.77B-23.8M0.941.888,2247,768252,900228,517
2007-12-04$325.50$375.0043.3%12.4%53.1%62.4%44.3%5.7%6.9%-28.5M2.85B-23.9M4.652.988,20538,119252,927229,573
2007-12-05$336.90$375.0045.1%12.9%54.4%65.8%44.6%7.7%4.4%-24.9M2.43B-24.6M2.261.8810,82724,426255,286228,214
2007-12-06$343.50$350.0036.4%10.4%52.0%49.4%39.4%6.6%4.4%-24.6M2.12B-25.1M5.052.107,21936,487257,926228,627
2007-12-07$343.10$400.0034.4%11.3%51.6%45.5%42.2%10.0%-1.9%-25.5M2.12B-24.7M2.242.556,28714,107258,018228,196
2007-12-10$347.70$400.0036.8%10.9%51.7%50.1%40.1%10.5%-2.0%-23.4M1.98B-24.0M1.542.817,91212,163258,978229,557
2007-12-11$332.30$400.0042.9%12.4%54.2%61.6%42.0%8.6%-4.5%-33.9M2.53B-22.9M5.123.0912,31663,010259,628232,858
2007-12-12$314.70$400.0045.8%13.1%51.2%67.0%47.9%8.5%-4.8%-40.5M3.04B-22.7M1.583.1316,80826,536260,371236,082
2007-12-13$310.10$400.0052.3%15.0%51.1%79.5%52.4%6.7%-8.6%-43.4M3.11B-22.9M1.272.4511,16014,206261,772242,342
2007-12-14$307.00$400.0055.1%15.8%49.5%84.7%52.7%6.4%-10.2%-41.3M3.11B-22.9M2.662.7615,45841,156265,228244,285
2007-12-17$307.70$400.0055.9%16.0%49.4%86.1%55.5%6.7%-10.9%-40.9M3.12B-21.9M1.173.007,4168,706270,107244,697
2007-12-18$303.80$400.0053.3%15.3%45.0%81.3%51.1%6.5%-9.2%-41.4M3.18B-21.8M6.651.979,45662,874271,079245,432
2007-12-19$302.10$375.0051.1%14.6%44.6%77.1%50.3%5.9%-8.1%-43.6M3.26B-21.2M1.332.468,93011,903273,510246,310
2007-12-20$298.90$375.0048.6%13.9%44.2%72.4%49.1%5.7%-7.3%-52.0M3.44B-21.2M2.962.7211,54234,125275,133245,903
2007-12-21$302.40$375.0045.9%13.2%42.8%67.4%45.1%5.5%-5.9%-69.9M3.30B-19.7M1.341.8610,06613,530275,552246,745
2007-12-24$309.80$350.0044.0%12.6%42.3%63.8%41.7%6.4%-3.5%-39.9M2.53B-21.9M10.681.904,75550,776228,545224,317
2007-12-26$304.50$350.0043.3%12.4%42.5%62.4%43.2%6.3%-4.0%-41.6M2.70B-20.7M6.622.116,15040,740229,914222,227
2007-12-27$295.60$350.0040.1%11.5%36.7%56.3%44.0%7.4%-2.2%-44.5M2.88B-20.0M2.192.4311,31524,788231,999223,525
2007-12-28$292.90$350.0039.9%11.4%36.7%56.0%41.1%5.1%-3.1%-46.9M3.15B-18.2M0.501.5913,1186,516233,541226,633
2007-12-31$294.40$350.0043.5%12.5%34.4%62.7%44.6%3.3%-5.7%-46.2M3.06B-18.4M3.662.1813,07347,835235,775228,013