C Options History — July 2008

In July 2008, C traded between $145.60 and $211.20. ATM implied volatility averaged 69.2%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 0.3% (HV 20d: 68.9%). Max pain ranged from $175.00 to $200.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2008-07-17: Highest Volume — 65,478 contracts
2008-07-18: Largest IV drop — 26.6% change
2008-07-15: Highest IV Rank — 91.1%
2008-07-15: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$177.30	$145.60	$211.20	$171.30	$186.90
Max Pain	$178.41	$175.00	$200.00	$200.00	$175.00
ATM IV	69.2%	56.2%	87.0%	68.3%	71.1%
Expected Move	19.3%	16.1%	24.9%	19.6%	20.4%
HV 20d	68.9%	46.1%	93.3%	49.0%	93.0%
HV 60d	53.5%	43.4%	64.7%	43.8%	64.6%
IV Rank	66.8%	48.5%	91.1%	66.5%	69.1%
IV Percentile	92.9%	78.2%	99.6%	97.6%	95.2%
Term Structure	-5.9%	-13.9%	-1.4%	-7.8%	-4.8%
VWIV	70.2%	58.5%	87.4%	70.5%	66.7%
Skew 25d	13.3%	9.4%	23.2%	11.5%	12.9%
Skew 10d	27.9%	18.5%	50.7%	29.9%	24.8%
Call IV 25d	64.4%	52.1%	83.3%	66.7%	63.2%
Put IV 25d	77.8%	64.8%	100.4%	78.2%	76.1%
Bid-Ask Spread %	3.81	2.14	6.97	2.46	2.89
Gamma HHI	0.17	0.12	0.26	0.17	0.15
Net GEX	-5.0M	-10.2M	7.0M	-8.6M	-3.1M
Net DEX	1.78B	1.04B	2.28B	2.10B	1.54B
Net VEX	-15.3M	-20.0M	-8.1M	-14.0M	-18.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.36	2.11	0.93	2.11
Total Volume	27,297.273	7,457	65,478	20,844	20,693
Total OI	541,336.682	307,419	582,312	519,403	582,312

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
2008-07-01	$171.30	$200.00	68.3%	19.6%	49.0%	66.5%	70.5%	11.5%	-7.8%	-8.6M	2.10B	-14.0M	0.93	2.46	10,796	10,048	265,558	253,845
2008-07-02	$168.40	$200.00	67.1%	19.2%	49.0%	64.9%	69.0%	9.5%	-7.9%	-8.7M	2.06B	-13.9M	0.74	2.19	7,395	5,474	268,283	256,679
2008-07-03	$168.20	$200.00	63.4%	18.2%	48.7%	59.9%	64.8%	9.7%	-5.6%	-9.2M	2.12B	-13.5M	0.64	2.89	4,549	2,908	268,820	257,429
2008-07-07	$164.00	$175.00	73.0%	17.4%	46.1%	72.6%	65.0%	11.3%	-3.4%	-9.5M	2.18B	-12.7M	0.90	5.51	10,801	9,684	270,766	258,474
2008-07-08	$173.90	$175.00	70.4%	17.1%	51.8%	68.5%	63.3%	9.4%	-4.6%	-8.5M	2.15B	-13.5M	0.51	4.86	14,661	7,423	275,101	261,508
2008-07-09	$164.40	$175.00	79.6%	17.9%	52.5%	80.9%	65.5%	11.8%	-5.1%	-9.0M	2.20B	-13.2M	1.11	5.90	6,440	7,176	279,053	263,242
2008-07-10	$162.80	$175.00	65.7%	18.8%	50.1%	61.7%	70.5%	12.0%	-6.1%	-8.9M	2.14B	-13.4M	0.71	3.24	10,455	7,463	279,249	264,272
2008-07-11	$161.90	$175.00	76.8%	22.0%	47.4%	76.9%	76.8%	12.9%	-8.3%	-8.4M	2.00B	-14.7M	1.57	5.39	8,392	13,155	282,323	265,769
2008-07-14	$152.20	$175.00	84.2%	24.1%	48.4%	87.2%	87.4%	18.8%	-10.1%	-8.0M	1.07B	-8.1M	1.67	3.79	8,844	14,783	153,178	154,241
2008-07-15	$145.60	$175.00	87.0%	24.9%	47.9%	91.1%	87.3%	17.2%	-10.8%	-10.2M	2.28B	-11.4M	1.01	3.74	20,387	20,651	283,782	272,885
2008-07-16	$164.70	$175.00	73.2%	21.0%	69.3%	71.9%	77.5%	23.2%	-7.0%	-8.0M	2.05B	-13.7M	0.79	4.81	14,295	11,358	291,106	277,124
2008-07-17	$179.70	$175.00	76.6%	22.0%	77.6%	76.7%	78.0%	15.3%	-13.9%	-5.2M	1.85B	-15.4M	0.75	6.97	37,516	27,962	295,171	278,819
2008-07-18	$193.50	$175.00	56.3%	16.1%	82.6%	48.6%	61.9%	13.7%	-3.9%	-420.5K	1.52B	-16.9M	0.63	4.94	29,032	18,409	296,051	282,636
2008-07-21	$196.90	$175.00	56.2%	16.1%	81.3%	48.5%	58.5%	10.1%	-1.4%	1.2M	1.47B	-17.2M	0.69	2.32	15,583	10,773	275,371	258,996
2008-07-22	$208.90	$175.00	57.7%	16.5%	82.3%	50.5%	59.4%	14.1%	-2.3%	5.6M	1.14B	-19.2M	0.90	4.09	16,714	15,029	279,277	261,774
2008-07-23	$211.20	$175.00	60.6%	17.4%	82.3%	54.6%	59.5%	13.1%	-4.6%	7.0M	1.04B	-20.0M	0.67	3.78	16,880	11,323	283,605	267,581
2008-07-24	$190.60	$175.00	64.6%	18.5%	90.8%	60.1%	69.0%	18.1%	-4.4%	-491.6K	1.44B	-18.5M	1.45	3.14	14,633	21,213	283,683	271,715
2008-07-25	$188.50	$175.00	63.3%	18.2%	87.7%	58.3%	68.3%	12.9%	-3.4%	-3.1M	1.62B	-18.0M	1.57	2.76	10,618	16,675	286,925	279,309
2008-07-28	$174.30	$175.00	76.3%	21.9%	91.9%	76.3%	77.3%	11.8%	-6.7%	-7.1M	1.89B	-16.4M	0.88	3.05	12,243	10,770	286,067	286,229
2008-07-29	$184.50	$175.00	69.1%	19.8%	93.3%	66.3%	69.1%	11.5%	-4.3%	-4.9M	1.71B	-17.3M	0.91	2.14	13,582	12,292	287,438	285,893
2008-07-30	$188.10	$175.00	63.0%	18.1%	93.3%	57.9%	79.2%	12.1%	-2.9%	-3.3M	1.59B	-17.9M	0.36	2.94	30,573	10,889	290,204	287,664
2008-07-31	$186.90	$175.00	71.1%	20.4%	93.0%	69.1%	66.7%	12.9%	-4.8%	-3.1M	1.54B	-18.6M	2.11	2.89	6,644	14,049	291,406	290,906