C Options History — June 2008

In June 2008, C traded between $167.60 and $214.60. ATM implied volatility averaged 53.5%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 10.3% (HV 20d: 43.2%). Max pain ranged from $200.00 to $250.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2008-06-17: Highest Volume — 46,871 contracts
  • 2008-06-26: Largest IV spike — 27.6% change
  • 2008-06-30: Highest IV Rank — 69.4%
  • 2008-06-30: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.03$167.60$214.60$214.60$167.60
Max Pain$222.62$200.00$250.00$250.00$200.00
ATM IV53.5%41.0%70.5%41.0%70.5%
Expected Move15.3%11.7%20.2%11.7%20.2%
HV 20d43.2%34.8%47.5%38.9%47.5%
HV 60d51.6%41.8%60.9%60.9%43.7%
IV Rank48.0%33.6%69.4%33.6%69.4%
IV Percentile79.0%49.6%98.4%49.6%98.4%
Term Structure-4.1%-9.1%2.8%2.8%-9.1%
VWIV54.9%42.6%73.5%42.8%73.5%
Skew 25d9.5%2.0%14.7%2.0%10.1%
Skew 10d20.8%7.7%31.3%7.7%24.8%
Call IV 25d50.9%40.6%70.2%42.5%70.2%
Put IV 25d60.4%44.5%80.3%44.5%80.3%
Bid-Ask Spread %3.141.904.701.902.83
Gamma HHI0.240.160.450.190.18
Net GEX-13.7M-25.5M-6.7M-12.5M-8.8M
Net DEX2.03B1.80B2.29B1.84B2.10B
Net VEX-16.8M-18.8M-13.3M-18.3M-13.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.586.751.650.73
Total Volume23,474.52412,44446,87113,56723,959
Total OI540,529.333474,392582,091538,204510,672

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$214.60$250.0041.0%11.7%38.9%33.6%42.8%2.0%2.8%-12.5M1.84B-18.3M1.651.905,1218,446282,557255,647
2008-06-03$214.20$250.0042.4%12.2%38.6%34.2%43.6%3.1%1.8%-14.0M1.86B-18.8M2.571.987,36918,957284,265259,432
2008-06-04$210.80$250.0046.9%13.5%38.3%40.1%45.1%5.6%2.0%-13.8M1.95B-18.2M1.152.337,0708,139286,412259,221
2008-06-05$212.20$250.0044.7%12.8%34.8%37.1%42.6%4.3%2.3%-14.9M1.92B-18.3M1.142.357,3718,430287,717260,096
2008-06-06$200.60$225.0048.0%14.0%38.9%41.4%49.7%6.6%-3.2%-18.1M2.29B-16.5M1.343.0111,71115,737289,209264,608
2008-06-09$196.00$225.0051.1%14.7%38.7%45.4%53.0%7.1%-4.5%-16.1M2.17B-17.0M1.603.418,27913,287293,149264,221
2008-06-10$202.60$225.0051.6%14.8%41.4%46.0%51.1%7.7%-4.8%-15.7M2.08B-17.3M3.953.119,04135,746295,181264,852
2008-06-11$192.10$225.0054.0%15.3%44.0%49.1%54.5%8.0%-4.8%-15.6M2.26B-16.5M1.593.677,66612,164297,068263,857
2008-06-12$198.90$225.0054.5%15.6%46.3%49.7%54.6%8.8%-4.9%-13.8M2.04B-17.9M1.413.415,8068,216300,048264,866
2008-06-13$204.80$225.0053.6%15.4%47.1%48.6%62.8%13.8%-5.7%-14.2M2.01B-18.1M1.252.486,4928,090299,432265,700
2008-06-16$208.30$225.0050.6%14.5%47.3%44.7%50.4%10.8%-5.4%-14.6M1.92B-18.3M0.984.316,2916,153301,677268,667
2008-06-17$204.60$225.0050.1%14.4%47.5%44.1%50.3%9.7%-5.3%-18.9M2.09B-17.1M6.754.706,05140,820301,352268,615
2008-06-18$204.00$225.0054.5%15.6%45.9%49.8%55.1%11.9%-6.5%-18.6M2.04B-17.4M1.604.547,29711,692302,519268,811
2008-06-19$201.70$225.0054.5%15.6%42.9%48.3%57.0%11.6%-6.3%-25.5M2.19B-17.4M1.164.4014,71617,130302,874273,209
2008-06-20$193.00$225.0059.0%16.9%43.5%54.0%63.0%12.8%-7.6%-16.3M2.29B-16.8M1.353.7616,20221,858308,987273,104
2008-06-23$185.50$200.0065.6%18.8%44.5%62.8%63.1%14.7%-7.7%-6.9M1.80B-15.6M0.842.8411,8899,953242,326232,066
2008-06-24$188.50$200.0053.5%15.4%43.7%46.7%58.8%12.6%-4.2%-7.3M1.80B-15.7M0.583.3610,0265,799247,289237,160
2008-06-25$188.50$200.0050.0%14.3%43.8%42.0%52.1%11.5%-2.7%-6.7M1.85B-15.5M0.842.439,3637,882250,465237,971
2008-06-26$176.70$200.0063.8%18.3%47.0%60.4%63.7%14.6%-6.0%-7.3M1.97B-14.4M1.522.4211,66717,719253,509239,398
2008-06-27$172.50$200.0063.8%18.3%47.2%60.5%65.8%12.5%-6.0%-8.3M2.10B-13.3M1.062.7511,34312,017253,509239,398
2008-06-30$167.60$200.0070.5%20.2%47.5%69.4%73.5%10.1%-9.1%-8.8M2.10B-13.4M0.732.8313,88010,079260,264250,408