C Options History — January 2008

In January 2008, C traded between $244.00 and $290.60. ATM implied volatility averaged 48.1%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 7.3% (HV 20d: 40.8%). Max pain ranged from $250.00 to $350.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2008-01-15: Highest Volume — 64,956 contracts
  • 2008-01-10: Largest IV drop — 20.3% change
  • 2008-01-09: Highest IV Rank — 99.3%
  • 2008-01-22: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$273.16$244.00$290.60$289.20$281.70
Max Pain$285.71$250.00$350.00$350.00$275.00
ATM IV48.1%41.5%62.8%47.3%45.3%
Expected Move13.3%11.9%15.1%13.6%13.0%
HV 20d40.8%27.3%54.5%34.7%54.4%
HV 60d46.2%43.1%51.0%43.1%48.4%
IV Rank71.3%58.2%99.3%70.0%65.5%
IV Percentile89.3%77.4%99.6%92.4%84.9%
Term Structure-4.3%-8.3%-0.5%-8.3%-4.0%
VWIV47.8%42.2%54.0%48.5%45.3%
Skew 25d6.2%2.3%9.6%5.0%8.6%
Skew 10d12.1%4.3%20.2%9.9%17.4%
Call IV 25d45.3%39.8%52.6%47.2%41.9%
Put IV 25d51.5%45.5%60.3%52.2%50.5%
Bid-Ask Spread %3.091.545.112.242.62
Gamma HHI0.220.120.360.220.17
Net GEX-29.5M-58.5M-716.7K-43.8M-716.7K
Net DEX2.94B1.90B4.26B2.93B1.90B
Net VEX-19.0M-22.7M-15.3M-19.3M-22.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.355.552.280.48
Total Volume35,061.7629,95764,95617,54832,588
Total OI473,715.905400,742561,733465,332440,462

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$289.20$350.0047.3%13.6%34.7%70.0%48.5%5.0%-8.3%-43.8M2.93B-19.3M2.282.245,35312,195238,154227,178
2008-01-03$289.30$350.0044.5%12.8%34.6%64.7%45.4%3.5%-7.6%-46.6M3.07B-18.8M5.551.547,29140,478240,365230,343
2008-01-04$282.40$300.0046.1%12.3%31.6%67.7%42.2%4.7%-0.5%-45.6M3.11B-19.0M4.263.5611,63549,577242,812229,262
2008-01-07$282.60$300.0050.2%12.3%30.1%75.4%42.2%4.9%-1.4%-45.9M3.22B-18.2M1.762.986,16910,830246,191232,579
2008-01-08$271.40$300.0056.4%13.7%31.8%87.2%47.8%5.6%-3.1%-44.8M3.35B-17.7M2.194.4813,90330,469247,256236,766
2008-01-09$274.90$300.0062.8%14.1%31.7%99.3%50.3%7.8%-3.3%-44.0M3.24B-19.1M1.855.1114,02526,015253,357241,905
2008-01-10$281.10$300.0050.1%14.4%31.3%75.2%49.4%5.9%-7.3%-43.7M3.16B-19.2M1.734.2810,07817,440258,320244,160
2008-01-11$285.60$275.0052.1%14.9%27.3%79.1%49.7%8.8%-6.7%-45.5M3.04B-19.8M1.834.2613,72125,171260,121245,892
2008-01-14$290.60$300.0046.0%13.2%28.1%67.5%49.3%8.7%-5.5%-48.5M2.98B-19.8M1.834.2214,87927,259262,735252,793
2008-01-15$269.40$300.0043.9%12.6%38.1%63.6%44.7%4.9%-4.0%-58.5M3.79B-18.0M1.652.7224,50940,447267,759257,664
2008-01-16$262.40$275.0046.6%13.3%38.6%68.5%46.6%2.3%-3.3%-45.8M3.76B-17.6M0.652.4019,75912,829276,922255,198
2008-01-17$249.60$275.0050.5%14.5%41.4%76.0%51.3%3.0%-4.4%-38.4M4.01B-15.9M1.102.7622,43724,641284,891259,532
2008-01-18$244.50$275.0051.5%14.8%41.5%77.9%53.1%5.4%-4.8%-21.2M4.26B-15.3M0.762.2920,40715,545294,356267,377
2008-01-22$244.00$275.0052.5%15.1%41.6%79.8%54.0%7.7%-6.5%-14.8M2.90B-15.6M0.563.0719,36710,853191,451209,291
2008-01-23$263.60$250.0048.4%13.9%51.5%72.0%50.8%5.6%-5.8%-8.7M2.46B-19.3M0.392.5322,3958,689200,724211,447
2008-01-24$273.30$250.0043.8%12.6%52.6%63.3%46.2%6.0%-2.6%-4.8M2.15B-20.8M0.372.0316,1576,025207,917214,189
2008-01-25$266.40$250.0043.9%12.6%53.0%63.5%48.4%7.4%-2.6%-6.5M2.36B-19.3M0.932.5211,18810,444210,129214,118
2008-01-28$276.50$250.0041.5%11.9%54.4%58.2%44.7%7.3%-1.2%-5.3M2.13B-20.6M0.683.415,9434,014210,292216,964
2008-01-29$279.10$275.0042.2%12.1%54.5%59.7%43.8%9.6%-3.5%-4.3M1.98B-21.8M0.523.2516,6308,627211,646218,428
2008-01-30$278.80$275.0044.5%12.8%54.5%64.1%49.9%6.8%-3.7%-2.5M1.96B-21.5M0.352.6634,27612,039216,583220,505
2008-01-31$281.70$275.0045.3%13.0%54.4%65.5%45.3%8.6%-4.0%-716.7K1.90B-22.7M0.482.6221,95710,631217,373223,089