C Options History — May 2008

In May 2008, C traded between $210.60 and $263.90. ATM implied volatility averaged 40.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 2.6% (HV 20d: 42.6%). Max pain ranged from $250.00 to $300.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2008-05-20: Highest Volume — 33,437 contracts
  • 2008-05-30: Largest IV spike — 78.6% change
  • 2008-05-12: Highest IV Rank — 44.4%
  • 2008-05-09: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$233.03$210.60$263.90$259.90$218.90
Max Pain$264.29$250.00$300.00$250.00$250.00
ATM IV40.0%21.2%49.5%40.3%37.8%
Expected Move11.1%6.1%12.6%11.5%10.8%
HV 20d42.6%39.7%45.9%41.6%39.7%
HV 60d61.5%60.1%62.8%60.1%61.5%
IV Rank32.4%8.5%44.4%32.9%29.6%
IV Percentile51.0%10.3%75.0%52.0%42.9%
Term Structure0.8%-6.4%2.8%-0.6%2.1%
VWIV40.7%35.6%54.6%39.8%38.8%
Skew 25d4.1%1.5%6.9%6.7%1.5%
Skew 10d8.7%2.3%14.6%11.8%5.9%
Call IV 25d38.5%28.2%42.3%36.5%39.8%
Put IV 25d42.6%34.2%46.6%43.2%41.3%
Bid-Ask Spread %3.071.989.783.002.64
Gamma HHI0.220.180.360.180.18
Net GEX-6.9M-21.1M12.6M9.3M-9.4M
Net DEX1.43B452.1M1.96B872.7M1.64B
Net VEX-20.1M-23.4M-15.2M-23.0M-19.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.243.000.380.63
Total Volume18,567.9056,09233,43715,75811,149
Total OI512,802.286406,348534,157517,487534,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$259.90$250.0040.3%11.5%41.6%32.9%39.8%6.7%-0.6%9.3M872.7M-23.0M0.383.0011,4374,321249,244268,243
2008-05-02$263.90$250.0034.8%10.0%41.4%26.0%37.1%5.2%1.7%12.6M452.1M-23.4M0.642.6512,2837,801251,776260,971
2008-05-05$257.50$275.0042.7%11.4%42.2%35.8%38.9%6.9%-0.9%7.8M748.2M-22.9M0.732.986,9385,053253,797262,153
2008-05-06$258.70$275.0042.7%11.4%39.8%35.7%39.3%6.9%-0.7%10.5M533.8M-22.9M2.422.975,99614,531254,738261,316
2008-05-07$244.80$275.0045.0%11.6%45.0%38.7%42.4%5.1%-0.4%-6.3M1.26B-21.7M0.952.9910,61510,126255,617264,129
2008-05-08$243.00$275.0042.8%11.4%45.1%35.9%41.4%6.0%0.6%-5.4M1.26B-21.7M0.543.8716,3728,865258,602263,345
2008-05-09$236.30$275.0044.2%12.6%45.9%37.7%42.3%5.0%-0.6%-10.0M1.49B-21.2M0.473.3311,8095,570258,830263,745
2008-05-12$236.40$275.0049.5%12.0%43.7%44.4%40.5%4.5%0.0%-8.2M1.53B-20.5M0.423.0812,0695,116262,101263,995
2008-05-13$230.30$275.0045.1%11.8%44.7%38.8%42.2%4.9%0.3%-17.8M1.71B-19.6M2.522.638,61721,725265,441262,491
2008-05-14$232.50$275.0041.5%11.4%43.7%34.3%40.2%3.9%0.3%-17.5M1.62B-19.7M0.922.766,9646,381265,913261,268
2008-05-15$237.30$275.0037.8%10.8%43.3%29.6%37.6%3.4%1.1%-9.4M1.47B-20.0M0.663.228,8235,805265,232262,723
2008-05-16$231.20$275.0036.5%10.5%40.8%27.9%36.9%1.9%2.3%-21.1M1.60B-19.9M0.883.098,7307,670268,882263,885
2008-05-19$229.90$250.0035.3%10.1%40.8%26.5%35.6%3.5%2.6%-8.9M1.54B-19.3M0.542.1310,0535,470250,715237,978
2008-05-20$221.10$250.0036.6%10.5%42.5%28.1%38.1%3.0%2.5%-11.2M1.69B-18.6M1.231.9815,02718,410254,261239,064
2008-05-21$210.60$250.0042.4%12.1%44.9%35.4%42.0%2.7%2.1%-13.1M1.96B-17.8M1.302.1012,79616,662260,695241,146
2008-05-22$217.20$250.0039.8%11.4%43.0%32.1%41.1%2.6%2.1%-11.2M1.74B-19.0M0.732.849,7477,104264,380247,472
2008-05-23$211.20$250.0043.4%12.4%40.7%36.6%42.4%2.7%2.8%-12.1M1.84B-18.6M0.922.246,5185,977268,320249,658
2008-05-27$216.60$250.0040.3%11.6%42.2%32.8%42.0%2.7%2.8%-10.1M1.68B-19.0M3.002.086,74220,224271,213249,275
2008-05-28$216.00$250.0040.4%11.6%42.2%32.8%42.1%1.6%2.6%-10.7M1.70B-19.0M0.972.027,2867,052273,489252,240
2008-05-29$220.40$300.0021.2%6.1%41.8%8.5%54.6%6.0%-6.4%-2.2M1.64B-15.2M0.249.784,9311,161203,425202,923
2008-05-30$218.90$250.0037.8%10.8%39.7%29.6%38.8%1.5%2.1%-9.4M1.64B-19.2M0.632.646,8374,312279,987254,170