C Options History — September 2008

In September 2008, C traded between $140.30 and $206.50. ATM implied volatility averaged 84.0%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 12.5% (HV 20d: 96.5%). Max pain ranged from $175.00 to $200.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2008-09-17: Highest Volume — 69,144 contracts
  • 2008-09-15: Largest IV spike — 53.7% change
  • 2008-09-15: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 37.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.54$140.30$206.50$191.10$205.10
Max Pain$192.86$175.00$200.00$200.00$200.00
ATM IV84.0%47.2%132.2%48.8%96.5%
Expected Move24.1%13.5%37.9%14.0%27.7%
HV 20d96.5%56.1%153.4%59.0%153.4%
HV 60d84.1%68.4%107.1%68.4%107.1%
IV Rank65.9%36.0%100.0%38.3%67.9%
IV Percentile88.7%47.6%100.0%51.6%98.4%
Term Structure-13.9%-41.2%8.1%7.9%-17.3%
VWIV86.3%51.9%145.6%51.9%95.2%
Skew 25d24.6%8.4%47.6%8.6%27.0%
Skew 10d52.4%18.1%97.5%23.3%59.5%
Call IV 25d74.1%48.1%114.2%48.9%85.7%
Put IV 25d98.6%56.5%161.8%57.5%112.6%
Bid-Ask Spread %7.331.7521.211.759.07
Gamma HHI0.150.100.260.150.11
Net GEX-3.2M-13.5M6.6M-3.0M4.1M
Net DEX1.24B432.7M2.11B1.27B432.7M
Net VEX-16.6M-19.5M-11.8M-17.1M-19.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.483.310.940.75
Total Volume32,269.4299,03269,14417,31828,369
Total OI578,820.905519,658634,444577,542553,713

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$191.10$200.0048.8%14.0%59.0%38.3%51.9%8.6%7.9%-3.0M1.27B-17.1M0.941.758,9238,395294,760282,782
2008-09-03$196.10$200.0047.2%13.5%56.1%36.0%53.2%8.4%8.1%-1.1M1.17B-17.5M1.382.624,3706,044295,397285,369
2008-09-04$183.00$200.0058.9%16.9%61.1%52.3%56.6%12.1%5.2%-6.9M1.58B-16.0M0.791.785,0373,995296,386286,541
2008-09-05$190.70$175.0051.1%16.2%58.6%41.5%57.9%14.9%-2.8%-2.8M1.28B-17.1M0.527.669,1874,762296,534286,226
2008-09-08$203.20$175.0055.8%16.4%60.4%47.9%57.8%13.8%-6.1%4.1M933.6M-17.4M1.174.2418,39821,594298,571286,074
2008-09-09$188.80$200.0066.8%18.6%65.6%63.1%68.0%17.7%-8.1%-4.3M1.37B-17.0M2.496.447,17817,842300,902288,829
2008-09-10$186.80$200.0073.2%20.3%61.1%72.0%68.5%18.6%-10.3%-7.3M1.56B-16.2M1.065.169,0699,655298,872289,883
2008-09-11$186.10$200.0074.6%21.4%59.3%73.9%77.4%18.2%-11.6%-6.1M1.51B-16.4M1.294.6712,93216,628300,036292,462
2008-09-12$179.60$200.0081.0%23.2%60.5%82.8%88.1%24.2%-14.0%-7.5M1.65B-15.8M3.313.557,51824,887304,233291,014
2008-09-15$152.40$200.00124.4%35.7%83.0%100.0%121.5%42.6%-32.1%-11.4M1.88B-13.2M1.715.8725,47743,644304,477297,030
2008-09-16$157.50$200.00121.8%34.9%82.8%97.4%124.1%42.4%-36.0%-13.5M2.06B-13.1M1.257.3225,75932,075311,302299,012
2008-09-17$140.30$175.00131.2%37.6%91.5%100.0%145.6%47.6%-41.2%-12.1M2.11B-11.8M2.0010.4823,06646,078313,229300,574
2008-09-18$166.50$175.0089.1%25.5%111.7%61.7%102.9%36.0%-20.3%-11.1M1.78B-14.5M1.0121.2127,31027,661318,810311,206
2008-09-19$206.50$175.0079.0%22.6%135.8%52.5%79.2%27.5%-8.8%6.6M555.3M-18.1M0.4818.7842,34820,376322,722311,722
2008-09-22$200.10$175.0078.9%22.6%136.1%52.5%80.7%27.5%-12.4%1.5M743.2M-17.9M0.8311.3015,38312,742261,831257,827
2008-09-23$199.90$200.0085.3%24.5%135.5%58.3%89.5%24.3%-10.8%-926.1K1.00B-17.8M1.087.1910,14210,957269,009266,760
2008-09-24$189.60$200.0092.5%26.5%137.1%64.9%99.3%21.6%-17.8%-887.0K1.00B-17.4M0.915.787,9137,199271,147269,323
2008-09-25$194.10$200.0084.5%24.2%137.2%57.5%87.0%22.0%-14.4%573.4K878.5M-18.0M1.176.6910,15811,890274,497268,411
2008-09-26$201.50$200.0090.9%26.1%136.6%63.4%92.0%19.2%-14.2%3.9M566.9M-19.1M0.765.028,8916,733277,064270,883
2008-09-29$177.50$200.00132.2%37.9%144.2%100.0%116.1%41.6%-35.5%1.8M626.9M-16.9M0.917.3319,36117,712278,155271,664
2008-09-30$205.10$200.0096.5%27.7%153.4%67.9%95.2%27.0%-17.3%4.1M432.7M-19.5M0.759.0716,21412,155278,707275,006