C Options History — January 2009

In January 2009, C traded between $28.00 and $74.60. ATM implied volatility averaged 150.4%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 40.8%. IV traded above realized volatility by 8.0% (HV 20d: 142.4%). Max pain ranged from $50.00 to $125.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2009-01-15: Highest Volume — 94,755 contracts
2009-01-14: Largest IV spike — 74.4% change
2009-01-14: Highest IV Rank — 77.9%
2009-01-20: Largest Expected Move — 63.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.84	$28.00	$74.60	$71.40	$35.50
Max Pain	$61.25	$50.00	$125.00	$125.00	$50.00
ATM IV	150.4%	80.5%	245.1%	81.2%	164.3%
Expected Move	40.8%	23.3%	63.6%	23.3%	47.1%
HV 20d	142.4%	76.5%	214.6%	84.8%	214.6%
HV 60d	191.0%	175.4%	206.8%	182.8%	206.8%
IV Rank	45.0%	20.6%	77.9%	20.9%	49.8%
IV Percentile	87.6%	68.3%	99.2%	69.8%	91.7%
Term Structure	-6.4%	-45.8%	36.2%	-3.1%	-8.0%
VWIV	140.2%	83.2%	196.2%	83.2%	173.1%
Skew 25d	23.1%	2.6%	49.6%	5.2%	20.1%
Skew 10d	32.9%	-1.0%	58.3%	12.5%	19.9%
Call IV 25d	131.2%	73.8%	192.6%	85.3%	166.9%
Put IV 25d	154.3%	90.6%	229.7%	90.6%	187.0%
Bid-Ask Spread %	3.31	1.28	5.48	1.28	2.66
Gamma HHI	0.12	0.08	0.20	0.10	0.12
Net GEX	224.9K	-1.3M	2.0M	634.6K	329.7K
Net DEX	402.5M	114.3M	616.3M	586.8M	245.0M
Net VEX	-2.3M	-4.0M	-1.2M	-2.9M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.22	2.28	0.86	0.64
Total Volume	30,478.35	9,584	94,755	9,584	16,993
Total OI	480,277.2	362,334	616,843	513,996	425,722

Daily Data (20 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
2009-01-02	$71.40	$125.00	81.2%	23.3%	84.8%	20.9%	83.2%	5.2%	-3.1%	634.6K	586.8M	-2.9M	0.86	1.28	5,159	4,425	326,848	187,148
2009-01-05	$70.80	$70.00	89.5%	26.0%	82.7%	23.8%	91.2%	19.4%	1.3%	645.9K	560.9M	-3.1M	0.36	4.30	15,536	5,542	327,855	186,970
2009-01-06	$74.60	$70.00	80.5%	26.2%	83.6%	20.6%	88.3%	15.8%	-6.6%	2.0M	455.6M	-4.0M	0.70	2.69	6,088	4,265	335,181	186,730
2009-01-07	$71.50	$70.00	82.7%	26.4%	76.6%	21.4%	93.9%	18.3%	-1.6%	1.2M	536.1M	-3.0M	2.28	3.30	3,727	8,512	334,422	185,254
2009-01-08	$71.60	$70.00	80.6%	24.3%	76.5%	20.7%	88.6%	19.7%	-2.3%	1.3M	532.7M	-3.4M	0.54	5.42	15,403	8,299	335,434	189,617
2009-01-09	$67.50	$70.00	104.2%	26.5%	78.3%	28.9%	93.1%	22.2%	4.8%	137.5K	587.8M	-2.9M	2.07	5.48	6,007	12,407	338,975	194,763
2009-01-12	$56.00	$70.00	147.3%	32.2%	96.5%	43.9%	120.8%	29.6%	-8.1%	-1.3M	614.7M	-2.2M	1.43	3.31	19,690	28,206	340,154	200,100
2009-01-13	$59.00	$60.00	140.6%	30.8%	98.8%	41.5%	110.2%	29.9%	0.9%	-1.2M	616.3M	-2.5M	0.92	4.75	18,378	16,929	348,117	209,750
2009-01-14	$45.30	$60.00	245.1%	40.0%	133.0%	77.9%	144.5%	35.9%	-7.8%	-638.0K	486.1M	-2.4M	1.09	4.73	32,457	35,463	355,366	214,191
2009-01-15	$38.30	$60.00	191.2%	54.8%	132.8%	59.1%	187.2%	49.6%	-17.6%	-355.8K	443.0M	-2.2M	1.00	3.66	47,427	47,328	370,515	222,094
2009-01-16	$35.00	$50.00	199.9%	57.3%	134.0%	62.2%	167.8%	42.4%	-45.8%	-77.0K	470.0M	-1.6M	0.77	3.31	23,752	18,206	388,602	228,241
2009-01-20	$28.00	$50.00	221.9%	63.6%	149.0%	69.8%	180.0%	37.1%	36.2%	260.9K	114.3M	-1.7M	0.82	3.18	17,465	14,359	210,884	151,450
2009-01-21	$36.70	$50.00	167.1%	47.9%	187.1%	50.8%	170.7%	17.4%	-5.4%	-102.8K	285.2M	-1.4M	0.35	2.91	15,879	5,561	218,229	155,062
2009-01-22	$31.10	$50.00	179.5%	51.5%	193.0%	55.1%	178.3%	2.6%	8.6%	-15.2K	245.7M	-1.2M	0.42	2.64	27,979	11,831	223,307	152,277
2009-01-23	$34.70	$50.00	204.2%	58.6%	200.0%	63.7%	196.2%	21.0%	-36.1%	129.7K	262.4M	-1.2M	0.38	2.60	19,488	7,357	233,761	156,928
2009-01-26	$33.30	$50.00	188.0%	53.9%	198.3%	58.0%	182.4%	13.1%	-31.5%	229.8K	240.6M	-1.6M	0.96	1.94	17,290	16,610	241,307	159,295
2009-01-27	$35.50	$50.00	151.9%	43.5%	201.2%	45.5%	155.9%	19.4%	-7.2%	131.6K	274.3M	-1.7M	0.22	2.45	12,078	2,674	249,119	171,188
2009-01-28	$42.10	$50.00	142.7%	40.9%	213.7%	42.3%	144.5%	17.9%	0.4%	555.9K	253.4M	-1.9M	0.42	2.86	19,699	8,202	252,867	170,972
2009-01-29	$39.00	$50.00	145.2%	41.6%	213.5%	43.2%	154.7%	25.0%	0.2%	560.4K	239.8M	-2.3M	0.54	2.83	8,352	4,544	255,594	171,255
2009-01-30	$35.50	$50.00	164.3%	47.1%	214.6%	49.8%	173.1%	20.1%	-8.0%	329.7K	245.0M	-2.0M	0.64	2.66	10,334	6,659	256,152	169,570