C Options History — December 2008

In December 2008, C traded between $64.50 and $85.40. ATM implied volatility averaged 112.2%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 32.8%. IV traded below realized volatility by 119.9% (HV 20d: 232.1%). Max pain ranged from $100.00 to $175.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2008-12-02: Highest Volume — 48,249 contracts
2008-12-02: Largest IV drop — 19.6% change
2008-12-01: Highest IV Rank — 50.2%
2008-12-01: Largest Expected Move — 47.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.61	$64.50	$85.40	$64.50	$67.10
Max Pain	$144.32	$100.00	$175.00	$100.00	$125.00
ATM IV	112.2%	89.5%	165.6%	165.6%	92.9%
Expected Move	32.8%	25.7%	47.5%	47.5%	26.6%
HV 20d	232.1%	86.9%	280.6%	274.3%	86.9%
HV 60d	195.7%	183.9%	204.4%	201.0%	183.9%
IV Rank	31.7%	23.8%	50.2%	50.2%	24.9%
IV Percentile	84.1%	73.0%	95.2%	95.2%	75.0%
Term Structure	-2.8%	-21.7%	11.3%	-0.1%	-3.1%
VWIV	115.8%	90.6%	173.1%	173.1%	90.6%
Skew 25d	22.3%	-0.2%	40.8%	38.9%	-0.2%
Skew 10d	45.5%	5.3%	97.2%	97.2%	5.3%
Call IV 25d	106.4%	90.6%	161.4%	161.4%	90.6%
Put IV 25d	128.7%	90.3%	200.3%	200.3%	90.3%
Bid-Ask Spread %	2.18	1.24	4.14	1.43	1.25
Gamma HHI	0.15	0.09	0.28	0.10	0.12
Net GEX	1.2M	49.9K	3.0M	141.8K	465.0K
Net DEX	714.6M	583.0M	856.5M	725.9M	583.0M
Net VEX	-3.9M	-5.0M	-2.9M	-4.0M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.38	2.07	0.71	0.84
Total Volume	21,200.864	3,696	48,249	34,747	10,095
Total OI	595,756.182	515,848	649,266	603,608	516,689

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
2008-12-01	$64.50	$100.00	165.6%	47.5%	274.3%	50.2%	173.1%	38.9%	-0.1%	141.8K	725.9M	-4.0M	0.71	1.43	20,308	14,439	355,543	248,065
2008-12-02	$72.20	$100.00	133.1%	38.2%	278.7%	39.0%	140.2%	25.5%	11.2%	1.0M	774.2M	-4.3M	2.07	4.14	15,693	32,556	369,461	249,093
2008-12-03	$78.20	$100.00	126.0%	36.1%	280.2%	36.5%	128.4%	32.0%	11.3%	1.0M	762.2M	-4.5M	0.78	1.92	15,259	11,869	361,684	244,983
2008-12-04	$74.00	$100.00	133.3%	38.2%	276.8%	39.0%	142.3%	27.7%	8.3%	922.7K	751.5M	-4.3M	0.89	2.19	13,457	11,931	365,632	248,973
2008-12-05	$77.10	$175.00	111.3%	37.3%	276.7%	31.4%	131.2%	38.5%	-21.7%	1.2M	773.4M	-4.3M	0.60	3.09	19,930	11,936	368,187	251,125
2008-12-08	$84.70	$175.00	105.0%	30.8%	279.2%	29.2%	116.1%	40.8%	-11.4%	2.6M	724.4M	-4.8M	0.83	2.76	12,275	10,208	380,160	252,687
2008-12-09	$85.40	$175.00	106.0%	33.5%	279.0%	29.5%	120.5%	37.0%	-11.2%	2.6M	655.7M	-5.0M	0.67	2.39	15,806	10,638	381,462	253,427
2008-12-10	$83.00	$175.00	103.1%	34.1%	278.9%	28.5%	122.3%	31.9%	-13.2%	2.2M	689.7M	-4.8M	0.93	2.19	11,661	10,877	382,587	255,113
2008-12-11	$75.70	$175.00	119.1%	34.1%	278.0%	34.1%	114.7%	23.4%	-4.0%	1.4M	742.8M	-4.3M	0.72	2.50	12,932	9,308	385,208	255,622
2008-12-12	$77.00	$150.00	112.1%	32.1%	278.2%	31.6%	113.9%	25.3%	-1.1%	1.5M	767.0M	-4.4M	0.79	2.42	9,805	7,768	387,764	255,316
2008-12-15	$74.00	$150.00	115.7%	33.2%	278.3%	32.9%	116.2%	25.5%	-2.8%	1.8M	741.6M	-4.2M	0.63	3.22	7,463	4,713	388,137	254,734
2008-12-16	$82.30	$150.00	116.0%	33.2%	280.6%	33.0%	112.9%	19.1%	-9.1%	2.9M	695.4M	-4.5M	0.64	2.65	18,308	11,740	389,844	253,940
2008-12-17	$78.30	$150.00	112.3%	32.2%	280.3%	31.7%	109.8%	18.8%	-5.6%	2.3M	717.5M	-4.2M	0.62	2.14	11,878	7,320	393,060	254,048
2008-12-18	$74.30	$150.00	106.7%	30.6%	263.3%	29.7%	105.7%	19.7%	-1.4%	3.0M	769.6M	-3.9M	0.94	2.57	9,807	9,259	393,329	255,015
2008-12-19	$70.20	$150.00	104.6%	30.0%	237.4%	29.0%	109.8%	19.1%	-2.8%	413.0K	856.5M	-3.5M	0.83	2.33	16,186	13,492	393,782	255,484
2008-12-22	$67.50	$150.00	109.2%	31.3%	220.9%	30.6%	101.4%	15.3%	-5.6%	253.5K	661.2M	-3.4M	0.45	1.43	12,303	5,482	321,553	195,161
2008-12-23	$65.20	$150.00	109.5%	31.4%	153.5%	30.7%	106.1%	15.2%	-7.1%	49.9K	669.8M	-3.1M	0.69	1.50	7,247	4,990	323,410	193,590
2008-12-24	$67.80	$150.00	91.4%	26.2%	153.9%	24.4%	99.1%	11.6%	7.2%	161.7K	702.5M	-2.9M	0.50	1.70	2,464	1,232	325,218	194,917
2008-12-26	$67.30	$150.00	103.4%	29.6%	144.3%	28.6%	97.7%	10.9%	-4.9%	290.3K	669.5M	-3.0M	0.63	1.49	2,634	1,653	325,907	191,720
2008-12-29	$65.70	$150.00	102.8%	29.5%	130.7%	28.4%	102.1%	8.6%	-3.8%	190.8K	665.3M	-2.9M	0.78	1.35	5,606	4,373	326,972	192,186
2008-12-30	$68.00	$125.00	89.5%	25.7%	96.1%	23.8%	92.4%	5.3%	9.4%	420.4K	622.5M	-2.9M	0.38	1.24	14,142	5,376	328,521	187,327
2008-12-31	$67.10	$125.00	92.9%	26.6%	86.9%	24.9%	90.6%	-0.2%	-3.1%	465.0K	583.0M	-3.0M	0.84	1.25	5,490	4,605	329,382	187,307