C Options History — February 2008

In February 2008, C traded between $237.10 and $296.90. ATM implied volatility averaged 47.4%, placing in the 68.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.7% (HV 20d: 52.1%). Max pain ranged from $275.00 to $325.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2008-02-05: Highest Volume — 49,703 contracts
  • 2008-02-13: Largest IV drop — 21.9% change
  • 2008-02-12: Highest IV Rank — 91.8%
  • 2008-02-08: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$260.15$237.10$296.90$296.90$237.10
Max Pain$303.75$275.00$325.00$275.00$275.00
ATM IV47.4%39.1%59.1%44.8%48.9%
Expected Move13.2%11.2%15.5%12.8%14.0%
HV 20d52.1%38.3%63.7%57.6%43.8%
HV 60d46.9%43.1%50.2%48.9%44.5%
IV Rank68.6%51.7%91.8%64.5%71.3%
IV Percentile83.4%67.1%98.4%83.7%88.1%
Term Structure-0.1%-4.9%6.5%-2.3%6.5%
VWIV46.6%39.7%53.3%47.3%47.8%
Skew 25d6.0%4.8%8.2%8.2%5.0%
Skew 10d11.1%7.2%19.1%19.1%9.8%
Call IV 25d44.4%37.9%51.1%42.9%46.5%
Put IV 25d50.4%42.8%57.5%51.1%51.5%
Bid-Ask Spread %2.391.633.782.492.52
Gamma HHI0.220.150.290.230.21
Net GEX-12.3M-19.2M6.0M6.0M-18.1M
Net DEX1.92B1.03B2.40B1.03B2.40B
Net VEX-21.7M-25.2M-19.6M-25.2M-19.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.804.380.921.62
Total Volume22,597.7512,30949,70332,91816,411
Total OI446,510.25422,073466,333441,615466,333

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$296.90$275.0044.8%12.8%57.6%64.5%47.3%8.2%-2.3%6.0M1.03B-25.2M0.922.4917,17915,739223,506218,109
2008-02-04$292.20$325.0048.1%12.5%57.2%70.9%45.0%6.3%-3.9%3.1M1.14B-24.7M0.803.277,3275,855223,276219,582
2008-02-05$270.50$325.0052.9%13.9%63.7%80.2%49.6%4.8%-4.9%-6.0M1.81B-22.7M2.302.5615,05234,651221,539215,514
2008-02-06$269.20$325.0052.4%13.8%62.1%79.3%50.0%6.8%-3.7%-4.7M1.73B-22.9M0.902.448,4987,612227,209213,719
2008-02-07$267.00$325.0052.7%14.1%62.0%79.8%52.5%7.4%-3.2%-5.0M1.75B-22.8M1.222.029,27411,319228,162214,363
2008-02-08$260.30$325.0053.7%15.5%61.8%80.9%53.3%8.2%-4.8%-10.9M1.96B-21.8M1.133.728,89210,018228,415217,137
2008-02-11$258.10$300.0058.4%15.4%61.4%90.3%52.2%5.7%-3.6%-13.7M2.00B-21.9M0.893.787,5016,646230,419219,758
2008-02-12$262.10$300.0059.1%15.4%61.3%91.8%51.8%6.5%-4.5%-10.4M1.84B-22.4M2.172.5311,43224,757232,035219,614
2008-02-13$263.40$300.0046.2%13.8%55.4%65.9%50.0%5.5%-2.3%-10.5M1.83B-22.4M1.401.996,5309,174235,488220,258
2008-02-14$257.40$300.0048.1%13.8%55.2%69.8%48.9%5.2%-0.6%-19.2M2.01B-21.3M1.162.436,8497,945235,168219,946
2008-02-15$254.80$300.0047.8%13.7%52.3%69.3%47.9%5.0%-0.9%-16.5M2.03B-21.0M1.051.899,1619,638237,345222,964
2008-02-19$253.20$300.0044.6%12.8%51.7%62.7%43.8%6.0%2.0%-16.5M2.05B-20.3M3.501.966,41522,476214,728207,345
2008-02-20$254.90$300.0043.2%12.4%51.7%60.0%42.3%6.8%2.6%-16.0M2.02B-20.3M1.052.1010,02310,546216,320206,201
2008-02-21$250.50$300.0042.1%12.1%43.8%57.7%42.4%5.6%2.1%-18.1M2.22B-20.3M0.981.647,8967,722221,897212,738
2008-02-22$251.20$300.0040.9%11.7%41.4%55.3%41.4%7.0%3.0%-17.0M2.11B-20.4M1.751.947,06812,387225,722215,045
2008-02-25$247.40$300.0042.3%12.1%40.9%58.0%43.4%4.8%3.3%-18.4M2.23B-20.2M1.472.6710,84715,941227,758217,848
2008-02-26$249.50$300.0039.1%11.2%38.3%51.7%39.7%4.9%4.6%-17.5M2.16B-20.2M4.382.007,62133,380230,928222,577
2008-02-27$257.20$300.0040.5%11.6%40.0%54.4%40.7%5.3%3.9%-16.7M1.95B-21.4M1.382.268,36211,502232,983223,954
2008-02-28$250.10$300.0042.0%12.0%40.9%57.4%42.7%5.0%4.1%-19.0M2.17B-21.1M1.441.635,0457,264235,745228,557
2008-02-29$237.10$275.0048.9%14.0%43.8%71.3%47.8%5.0%6.5%-18.1M2.40B-19.6M1.622.526,27310,138238,164228,169