C Options History — August 2008

In August 2008, C traded between $171.90 and $199.20. ATM implied volatility averaged 57.9%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 18.9% (HV 20d: 76.8%). Max pain ranged from $175.00 to $225.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2008-08-12: Highest Volume — 19,946 contracts
  • 2008-08-12: Largest IV spike — 36.1% change
  • 2008-08-12: Highest IV Rank — 79.9%
  • 2008-08-01: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.54$171.90$199.20$188.70$189.90
Max Pain$213.10$175.00$225.00$175.00$200.00
ATM IV57.9%45.1%79.0%65.2%45.3%
Expected Move15.8%12.9%18.7%18.7%13.0%
HV 20d76.8%55.9%94.0%93.0%58.9%
HV 60d67.2%63.9%69.3%63.9%69.3%
IV Rank50.8%33.1%79.9%61.0%33.3%
IV Percentile72.1%43.3%98.4%89.7%43.7%
Term Structure1.7%-6.2%10.4%-6.2%9.0%
VWIV56.0%47.5%68.7%68.7%48.5%
Skew 25d8.7%5.3%11.8%11.8%7.0%
Skew 10d18.1%12.0%23.8%23.8%16.9%
Call IV 25d52.7%45.6%65.2%65.2%46.5%
Put IV 25d61.5%52.3%77.0%77.0%53.5%
Bid-Ask Spread %3.021.315.603.601.76
Gamma HHI0.170.130.210.160.15
Net GEX-5.9M-11.4M2.6M-3.4M-3.5M
Net DEX1.56B1.21B1.83B1.46B1.31B
Net VEX-16.7M-18.9M-14.8M-18.9M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.421.851.851.01
Total Volume14,537.5247,72219,94618,67010,252
Total OI577,849.81547,755596,935585,557575,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$188.70$175.0065.2%18.7%93.0%61.0%68.7%11.8%-6.2%-3.4M1.46B-18.9M1.853.606,55712,113291,010294,547
2008-08-04$188.30$225.0062.0%16.6%92.3%56.6%61.9%11.5%-3.4%-3.6M1.55B-18.1M1.345.606,0708,130292,023297,739
2008-08-05$199.20$225.0058.3%15.6%92.2%51.4%55.2%11.1%-4.2%1.5M1.21B-18.9M0.574.3211,7176,735292,957296,279
2008-08-06$197.00$225.0057.9%15.6%89.4%50.9%56.7%10.3%-4.1%1.2M1.24B-18.3M0.813.0110,2898,330295,363294,368
2008-08-07$184.70$225.0070.3%17.7%93.0%68.0%59.5%11.4%-4.2%-5.2M1.54B-17.3M1.054.059,4189,891294,075293,264
2008-08-08$193.90$225.0053.9%15.2%94.0%45.3%54.6%10.4%-2.9%245.7K1.35B-17.7M0.624.259,8516,112295,651294,582
2008-08-11$198.20$225.0058.0%15.3%90.3%51.0%54.9%10.6%-3.8%2.6M1.26B-18.1M0.603.618,8535,330294,324295,890
2008-08-12$185.40$225.0079.0%17.9%92.5%79.9%60.0%11.6%-4.1%-6.3M1.58B-16.9M0.833.0010,9069,040295,878295,959
2008-08-13$178.10$225.0076.8%17.9%84.3%77.0%61.4%9.5%-3.2%-11.4M1.79B-16.1M0.753.3611,0128,284298,523297,081
2008-08-14$180.80$225.0057.5%16.5%78.5%50.2%56.2%7.7%0.4%-11.3M1.66B-16.2M0.654.088,7445,658300,405296,530
2008-08-15$185.50$225.0054.6%15.7%74.3%46.3%54.6%8.2%2.3%-8.7M1.63B-16.5M0.971.927,2247,021298,551296,364
2008-08-18$176.20$225.0056.8%16.3%75.9%49.3%57.4%9.3%4.5%-10.3M1.80B-15.4M0.962.866,1715,940273,922273,833
2008-08-19$171.90$225.0056.7%16.3%72.2%49.2%59.1%5.3%5.2%-11.0M1.83B-15.1M1.182.517,4438,775275,727273,772
2008-08-20$174.90$200.0056.5%16.2%72.4%48.9%57.4%6.8%3.9%-10.7M1.78B-15.3M0.892.736,6325,900277,775276,102
2008-08-21$174.70$200.0052.8%15.1%63.5%43.8%53.8%5.9%7.7%-10.8M1.83B-14.8M0.891.318,1377,214280,302278,454
2008-08-22$181.40$200.0052.1%14.9%65.2%42.7%51.5%6.0%5.3%-8.1M1.63B-15.9M0.421.996,1712,617285,340279,937
2008-08-25$176.10$200.0053.5%15.3%59.7%44.8%54.4%6.1%6.0%-9.4M1.75B-15.3M0.532.555,0532,669286,650280,050
2008-08-26$178.40$200.0052.4%15.0%56.1%43.3%52.1%7.5%8.1%-7.5M1.69B-15.6M0.911.815,5045,004290,408279,595
2008-08-27$181.20$200.0050.8%14.6%55.9%41.0%50.3%9.2%10.4%-4.8M1.57B-15.9M0.861.944,6804,038295,064279,055
2008-08-28$190.80$200.0045.1%12.9%59.0%33.1%47.5%6.7%8.8%-4.0M1.37B-16.6M0.673.179,4676,336291,196280,697
2008-08-29$189.90$200.0045.3%13.0%58.9%33.3%48.5%7.0%9.0%-3.5M1.31B-17.1M1.011.765,0955,157293,510282,094