C Options History — February 2009

In February 2009, C traded between $15.00 and $39.50. ATM implied volatility averaged 205.9%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 57.5%. IV traded above realized volatility by 10.2% (HV 20d: 195.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-02-27: Highest Volume — 90,392 contracts
  • 2009-02-20: Largest IV spike — 41.8% change
  • 2009-02-20: Highest IV Rank — 94.4%
  • 2009-02-20: Largest Expected Move — 83.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.41$15.00$39.50$36.50$15.00
Max Pain$46.84$40.00$50.00$50.00$40.00
ATM IV205.9%132.5%292.4%196.5%264.9%
Expected Move57.5%38.0%83.8%56.3%75.9%
HV 20d195.7%152.8%234.3%213.0%234.3%
HV 60d197.6%170.7%209.3%206.5%190.9%
IV Rank64.3%38.7%94.4%61.0%84.8%
IV Percentile94.5%81.7%99.6%96.4%99.2%
Term Structure-38.8%-100.8%-13.9%-30.5%-47.7%
VWIV197.3%138.3%284.3%189.9%264.2%
Skew 25d23.4%6.6%60.5%26.1%19.8%
Skew 10d29.1%6.7%90.0%37.4%18.4%
Call IV 25d180.7%132.1%269.2%182.8%155.6%
Put IV 25d204.1%150.4%291.6%209.0%175.4%
Bid-Ask Spread %2.001.412.952.951.49
Gamma HHI0.160.080.300.120.08
Net GEX522.2K-865.0K1.5M411.5K178.0K
Net DEX198.2M93.2M285.2M245.5M130.0M
Net VEX-1.8M-2.5M-660.8K-2.0M-660.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.252.020.390.51
Total Volume32,032.73711,38390,39227,00890,392
Total OI463,696.053428,428498,763428,428429,104

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$36.50$50.00196.5%56.3%213.0%61.0%189.9%26.1%-30.5%411.5K245.5M-2.0M0.392.9519,4577,551258,101170,327
2009-02-03$34.60$50.00214.0%61.4%212.9%67.1%199.0%14.8%-36.4%511.7K230.7M-1.9M0.312.1419,6386,049268,886171,779
2009-02-04$34.90$50.00201.6%57.8%211.0%62.8%188.7%14.4%-40.3%788.3K219.4M-2.0M0.882.6414,32512,537280,647171,350
2009-02-05$35.30$40.00217.3%62.3%211.8%68.2%218.6%23.2%-36.6%859.3K189.6M-2.2M0.522.6814,2347,360283,825175,235
2009-02-06$39.10$50.00229.2%55.8%217.0%72.4%195.1%60.5%-47.2%1.4M154.3M-2.4M0.752.5121,52516,062287,373171,672
2009-02-09$39.50$50.00244.5%56.3%217.2%77.7%201.1%55.1%-53.6%1.5M137.9M-2.5M0.931.7421,56819,975295,218180,523
2009-02-10$33.50$50.00207.1%50.2%215.2%64.7%174.4%37.6%-36.8%649.7K202.0M-2.1M1.131.9520,97123,718302,758188,540
2009-02-11$36.90$50.00135.9%43.1%217.9%39.9%151.2%29.0%-24.4%980.9K235.3M-2.2M0.572.018,4154,818303,535181,066
2009-02-12$36.10$50.00146.4%42.0%198.5%43.6%150.4%21.6%-16.2%986.0K219.9M-2.1M0.711.9410,0657,102304,669180,247
2009-02-13$34.90$50.00132.5%38.0%190.0%38.7%138.3%18.3%-13.9%464.9K245.8M-2.0M0.911.676,8736,249308,128182,624
2009-02-17$30.60$50.00180.5%51.8%193.0%55.4%169.3%17.7%-33.7%-344.3K265.9M-1.7M1.911.579,26417,698309,158183,287
2009-02-18$29.10$50.00185.1%53.1%176.3%57.0%181.2%14.2%-28.1%-865.0K277.3M-1.6M2.021.418,56817,338311,163186,940
2009-02-19$25.10$50.00206.2%59.1%152.8%64.4%200.5%13.3%-50.2%49.2K285.2M-1.2M0.821.5117,38914,230311,504185,345
2009-02-20$19.50$50.00292.4%83.8%166.3%94.4%284.3%22.4%-100.8%150.9K189.5M-1.1M0.252.0863,61615,990317,380181,383
2009-02-23$21.40$40.00246.6%70.7%164.7%78.4%242.0%16.8%-47.8%494.0K93.2M-1.6M0.451.5919,3128,772276,198152,975
2009-02-24$26.00$40.00213.1%61.1%181.8%66.8%207.5%20.8%-41.9%570.2K149.6M-1.4M0.282.0312,2123,389279,973151,562
2009-02-25$25.20$40.00207.9%59.6%179.7%65.0%202.8%11.7%-33.4%547.6K140.2M-1.4M0.261.9624,2616,316281,534148,882
2009-02-26$24.60$40.00191.2%54.8%165.4%59.2%190.1%6.6%-17.1%525.8K154.4M-1.3M0.562.057,2884,095288,579148,755
2009-02-27$15.00$40.00264.9%75.9%234.3%84.8%264.2%19.8%-47.7%178.0K130.0M-660.8K0.511.4959,99230,400281,517147,587