C Options History — April 2008

In April 2008, C traded between $225.10 and $268.10. ATM implied volatility averaged 52.2%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 17.2% (HV 20d: 69.4%). Max pain ranged from $225.00 to $250.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2008-04-30: Highest Volume — 68,505 contracts
2008-04-10: Largest IV drop — 14.8% change
2008-04-09: Highest IV Rank — 68.2%
2008-04-14: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$244.88	$225.10	$268.10	$238.40	$252.70
Max Pain	$240.91	$225.00	$250.00	$225.00	$250.00
ATM IV	52.2%	37.2%	68.0%	56.8%	39.5%
Expected Move	14.5%	10.7%	18.0%	16.3%	11.3%
HV 20d	69.4%	37.5%	91.7%	91.7%	40.8%
HV 60d	63.7%	61.2%	65.9%	65.9%	61.8%
IV Rank	48.3%	29.1%	68.2%	54.2%	31.9%
IV Percentile	76.0%	48.8%	97.6%	90.5%	50.8%
Term Structure	-2.6%	-6.4%	0.5%	-2.6%	0.1%
VWIV	54.0%	40.4%	69.2%	67.9%	54.9%
Skew 25d	10.6%	5.7%	17.7%	17.5%	7.2%
Skew 10d	22.1%	12.3%	37.6%	37.6%	16.3%
Call IV 25d	47.8%	37.0%	59.4%	55.2%	38.9%
Put IV 25d	58.4%	43.4%	77.1%	72.7%	46.1%
Bid-Ask Spread %	3.27	2.31	4.53	2.54	2.60
Gamma HHI	0.17	0.13	0.54	0.14	0.18
Net GEX	2.8M	-10.9M	70.1M	-4.2M	-9.2K
Net DEX	1.08B	513.1M	1.59B	1.22B	1.27B
Net VEX	-21.9M	-23.4M	-20.6M	-22.0M	-21.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.24	1.86	0.97	0.24
Total Volume	25,127.955	12,088	68,505	43,343	68,505
Total OI	518,599.727	490,933	553,549	493,938	513,143

Daily Data (22 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
2008-04-01	$238.40	$225.00	56.8%	16.3%	91.7%	54.2%	67.9%	17.5%	-2.6%	-4.2M	1.22B	-22.0M	0.97	2.54	22,051	21,292	232,015	261,923
2008-04-02	$240.20	$225.00	62.2%	17.8%	90.2%	61.0%	69.2%	17.7%	-6.4%	-3.2M	1.07B	-23.0M	1.05	2.62	17,192	18,078	240,491	268,943
2008-04-03	$243.60	$225.00	60.0%	17.2%	90.2%	58.2%	66.3%	16.0%	-5.4%	-2.0M	956.5M	-23.4M	1.67	3.74	6,008	10,029	243,348	271,174
2008-04-04	$240.80	$250.00	62.7%	15.9%	88.5%	61.6%	59.6%	12.6%	-3.3%	-3.4M	1.19B	-23.3M	0.98	3.54	7,274	7,125	243,474	270,110
2008-04-07	$246.00	$225.00	62.7%	15.5%	88.4%	61.6%	56.1%	12.3%	-3.4%	21.8K	836.8M	-23.2M	1.25	3.76	10,742	13,474	244,256	270,648
2008-04-08	$237.60	$225.00	60.8%	15.5%	86.2%	59.2%	58.8%	11.7%	-2.7%	-3.0M	1.06B	-22.7M	1.67	4.31	7,661	12,821	247,943	274,574
2008-04-09	$235.80	$250.00	68.0%	16.5%	81.3%	68.2%	57.8%	9.4%	-3.2%	-6.2M	1.29B	-21.7M	1.32	3.30	12,098	15,973	248,584	278,357
2008-04-10	$237.10	$250.00	58.0%	16.6%	81.0%	55.6%	55.8%	10.0%	-3.7%	-1.2M	1.17B	-21.8M	1.48	3.61	7,161	10,613	254,306	285,061
2008-04-11	$233.60	$250.00	59.3%	17.0%	81.2%	57.3%	59.3%	9.9%	-3.9%	-5.4M	1.31B	-22.0M	1.15	3.79	9,256	10,668	254,102	284,477
2008-04-14	$225.10	$250.00	62.9%	18.0%	78.8%	61.9%	65.0%	12.0%	-5.6%	-10.9M	1.59B	-21.0M	1.44	3.53	11,001	15,793	254,551	287,814
2008-04-15	$228.00	$225.00	60.2%	17.2%	74.7%	58.4%	61.3%	10.9%	-5.7%	-10.2M	1.52B	-20.6M	0.76	4.16	7,689	5,876	255,462	287,752
2008-04-16	$234.40	$225.00	56.9%	16.3%	66.0%	54.3%	56.3%	12.0%	-5.3%	-3.0M	1.26B	-20.9M	0.90	2.31	8,840	7,940	258,435	287,612
2008-04-17	$240.30	$225.00	51.2%	14.7%	65.8%	47.2%	55.5%	12.0%	-5.5%	1.8M	1.05B	-21.2M	1.86	4.53	10,030	18,607	258,742	287,347
2008-04-18	$251.10	$250.00	44.0%	12.6%	58.5%	38.3%	45.9%	9.4%	-1.0%	70.1M	596.5M	-20.9M	0.64	3.67	34,472	22,035	260,985	292,564
2008-04-21	$250.30	$250.00	42.8%	12.3%	57.6%	36.8%	44.4%	8.8%	0.2%	3.2M	1.07B	-21.4M	1.20	3.19	7,353	8,795	239,933	251,574
2008-04-22	$251.20	$250.00	42.4%	12.2%	57.6%	36.2%	42.8%	8.6%	0.5%	2.9M	1.05B	-21.5M	0.53	3.12	8,086	4,263	239,288	251,645
2008-04-23	$246.30	$250.00	42.0%	12.0%	53.3%	35.7%	43.6%	7.6%	0.4%	-3.8M	1.30B	-21.1M	0.92	2.82	6,302	5,786	241,677	259,146
2008-04-24	$257.60	$250.00	41.3%	11.8%	54.6%	34.8%	42.2%	6.8%	-0.5%	6.2M	965.9M	-21.5M	0.68	2.80	10,823	7,348	241,541	255,476
2008-04-25	$266.00	$250.00	37.2%	10.7%	51.4%	29.1%	40.4%	6.4%	0.4%	11.5M	566.4M	-22.6M	0.59	2.63	13,273	7,797	243,252	256,165
2008-04-28	$268.10	$250.00	38.2%	11.0%	51.1%	30.4%	40.5%	5.7%	0.1%	13.4M	513.1M	-22.5M	0.82	2.97	12,949	10,613	243,603	258,892
2008-04-29	$263.20	$250.00	38.2%	10.9%	37.5%	30.3%	44.1%	8.0%	0.1%	9.0M	800.3M	-22.5M	1.30	2.36	8,324	10,799	246,327	262,482
2008-04-30	$252.70	$250.00	39.5%	11.3%	40.8%	31.9%	54.9%	7.2%	0.1%	-9.2K	1.27B	-21.0M	0.24	2.60	55,145	13,360	246,360	266,783