C Options History — October 2008

In October 2008, C traded between $117.30 and $230.00. ATM implied volatility averaged 132.0%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 31.8%. IV traded below realized volatility by 35.5% (HV 20d: 167.5%). Max pain ranged from $150.00 to $200.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.95.

Notable Days

2008-10-03: Highest Volume — 49,015 contracts
2008-10-16: Largest IV drop — 48.1% change
2008-10-06: Highest IV Rank — 100.0%
2008-10-09: Largest Expected Move — 42.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.99	$117.30	$230.00	$230.00	$136.50
Max Pain	$173.91	$150.00	$200.00	$200.00	$150.00
ATM IV	132.0%	90.7%	216.8%	99.7%	101.6%
Expected Move	31.8%	26.0%	42.0%	28.6%	29.1%
HV 20d	167.5%	136.2%	191.1%	158.3%	136.2%
HV 60d	123.3%	108.3%	130.4%	108.9%	129.8%
IV Rank	64.9%	35.6%	100.0%	70.7%	41.1%
IV Percentile	96.1%	90.9%	100.0%	98.4%	90.9%
Term Structure	-12.9%	-25.0%	-5.0%	-21.3%	-6.1%
VWIV	110.8%	89.5%	144.0%	104.3%	94.6%
Skew 25d	23.2%	17.0%	31.3%	20.0%	20.5%
Skew 10d	49.2%	36.0%	65.8%	43.1%	38.6%
Call IV 25d	99.7%	83.0%	133.6%	91.6%	87.5%
Put IV 25d	122.9%	102.2%	151.3%	111.6%	108.1%
Bid-Ask Spread %	5.60	3.40	10.72	4.26	3.46
Gamma HHI	0.15	0.10	0.44	0.10	0.15
Net GEX	-3.8M	-21.3M	9.3M	9.3M	-5.0M
Net DEX	1.35B	-301.0M	1.85B	-301.0M	1.51B
Net VEX	-13.0M	-22.3M	-8.1M	-21.8M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.43	1.78	0.61	0.65
Total Volume	28,009.739	10,381	49,015	48,537	14,746
Total OI	563,848.304	520,398	609,151	557,943	543,432

Daily Data (23 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
2008-10-01	$230.00	$200.00	99.7%	28.6%	158.3%	70.7%	104.3%	20.0%	-21.3%	9.3M	-301.0M	-21.8M	0.61	4.26	30,074	18,463	279,990	277,953
2008-10-02	$225.00	$200.00	107.3%	30.8%	156.1%	77.6%	113.1%	24.1%	-23.2%	7.9M	-247.0M	-22.3M	1.08	6.09	15,208	16,373	285,572	282,052
2008-10-03	$183.50	$200.00	127.6%	36.6%	173.0%	95.8%	119.9%	28.6%	-20.4%	-1.4M	1.04B	-18.1M	0.83	5.02	26,737	22,278	286,823	283,115
2008-10-06	$174.10	$200.00	151.9%	32.8%	172.1%	100.0%	114.5%	28.8%	-16.9%	-1.3M	1.08B	-16.9M	1.40	10.72	14,646	20,551	289,735	281,179
2008-10-07	$151.50	$200.00	179.4%	36.5%	176.9%	100.0%	128.3%	23.6%	-17.3%	-4.1M	1.43B	-14.6M	0.85	8.44	18,662	15,808	291,000	282,797
2008-10-08	$144.00	$175.00	191.4%	36.5%	177.5%	100.0%	127.2%	27.7%	-20.3%	-4.3M	1.60B	-13.5M	1.57	8.05	16,518	25,925	299,521	287,535
2008-10-09	$129.30	$175.00	206.3%	42.0%	180.6%	100.0%	144.0%	17.8%	-25.0%	-4.2M	1.54B	-11.8M	1.74	9.49	11,556	20,163	297,964	285,213
2008-10-10	$141.10	$175.00	183.7%	38.3%	184.3%	87.8%	135.9%	31.3%	-19.2%	-3.7M	1.39B	-13.3M	1.08	9.42	16,521	17,910	298,982	285,750
2008-10-13	$157.50	$175.00	172.9%	32.4%	179.9%	81.9%	111.6%	24.2%	-12.0%	-3.1M	1.39B	-14.0M	0.86	6.54	13,521	11,619	302,648	285,881
2008-10-14	$186.20	$175.00	155.8%	27.9%	189.1%	72.7%	96.9%	22.4%	-11.0%	991.6K	903.6M	-16.6M	0.55	8.18	24,855	13,691	303,315	286,874
2008-10-15	$162.30	$175.00	216.8%	32.8%	191.1%	100.0%	119.5%	28.1%	-11.5%	-2.8M	1.41B	-14.4M	1.78	5.40	15,209	27,123	308,331	288,305
2008-10-16	$159.00	$175.00	112.6%	32.3%	181.2%	46.7%	115.6%	26.9%	-13.5%	-6.1M	1.61B	-13.6M	1.36	5.70	13,795	18,761	310,598	298,553
2008-10-17	$148.80	$175.00	102.5%	29.4%	163.0%	41.6%	101.9%	21.5%	-9.0%	-21.3M	1.85B	-12.0M	0.92	3.57	11,456	10,562	311,159	296,785
2008-10-20	$150.90	$175.00	91.9%	26.3%	163.2%	36.2%	89.5%	17.0%	-6.9%	-4.9M	1.55B	-11.6M	0.56	4.03	11,061	6,185	270,414	249,984
2008-10-21	$141.80	$175.00	90.7%	26.0%	164.0%	35.6%	94.4%	18.5%	-6.7%	-5.9M	1.66B	-10.3M	0.88	3.48	13,570	11,946	272,136	251,205
2008-10-22	$133.20	$175.00	106.1%	30.4%	164.3%	43.4%	101.3%	24.0%	-6.5%	-5.5M	1.63B	-10.0M	0.73	4.96	8,981	6,592	277,878	254,314
2008-10-23	$131.10	$175.00	104.3%	29.9%	163.6%	42.5%	101.9%	25.6%	-8.3%	-5.2M	1.60B	-9.9M	1.04	3.53	11,499	11,982	279,008	254,811
2008-10-24	$121.40	$150.00	106.5%	30.5%	163.3%	43.6%	109.0%	20.5%	-5.0%	-5.2M	1.65B	-9.0M	1.05	3.46	9,495	10,012	280,697	257,103
2008-10-27	$117.30	$150.00	110.9%	31.8%	159.0%	45.9%	114.7%	20.6%	-9.1%	-5.2M	1.71B	-8.1M	0.63	4.16	11,709	7,405	283,608	257,346
2008-10-28	$134.10	$150.00	102.5%	29.4%	157.5%	41.6%	99.5%	21.1%	-9.8%	-5.7M	1.70B	-9.6M	0.56	3.48	11,081	6,238	287,453	260,089
2008-10-29	$129.10	$150.00	106.8%	30.6%	149.2%	43.8%	106.8%	19.9%	-9.2%	-5.4M	1.72B	-8.7M	0.72	4.02	7,780	5,576	289,994	261,506
2008-10-30	$131.10	$150.00	107.1%	30.7%	150.0%	43.9%	103.5%	21.1%	-7.3%	-5.2M	1.65B	-9.9M	0.43	3.40	7,284	3,097	287,594	262,309
2008-10-31	$136.50	$150.00	101.6%	29.1%	136.2%	41.1%	94.6%	20.5%	-6.1%	-5.0M	1.51B	-10.2M	0.65	3.46	8,914	5,832	289,414	254,018