C Options History — March 2009

In March 2009, C traded between $10.20 and $31.30. ATM implied volatility averaged 218.0%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 59.2%. IV traded below realized volatility by 44.8% (HV 20d: 262.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.49.

Notable Days

2009-03-18: Highest Volume — 269,043 contracts
2009-03-05: Largest IV spike — 34.4% change
2009-03-06: Highest IV Rank — 100.0%
2009-03-02: Largest Expected Move — 86.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.72	$10.20	$31.30	$12.00	$25.30
Max Pain	$31.82	$30.00	$40.00	$40.00	$30.00
ATM IV	218.0%	145.7%	329.9%	300.6%	166.8%
Expected Move	59.2%	41.8%	86.2%	86.2%	47.8%
HV 20d	262.8%	205.8%	302.6%	242.0%	206.8%
HV 60d	210.5%	190.3%	226.0%	193.0%	226.0%
IV Rank	64.8%	40.3%	100.0%	97.2%	47.2%
IV Percentile	89.0%	76.2%	100.0%	99.6%	79.4%
Term Structure	-33.0%	-102.0%	7.0%	-63.3%	-14.2%
VWIV	197.1%	139.1%	297.3%	297.3%	157.4%
Skew 25d	11.3%	-90.4%	154.1%	-1.6%	-4.6%
Skew 10d	16.4%	-90.4%	205.4%	-4.0%	16.1%
Call IV 25d	199.0%	137.2%	301.4%	301.4%	172.6%
Put IV 25d	210.4%	158.3%	307.4%	299.8%	168.0%
Bid-Ask Spread %	5.99	0.93	35.73	1.36	3.88
Gamma HHI	0.14	0.07	0.29	0.07	0.17
Net GEX	1.2M	125.0K	2.4M	221.1K	1.8M
Net DEX	126.8M	59.5M	174.3M	103.2M	174.3M
Net VEX	-2.0M	-3.8M	-547.5K	-670.7K	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.04	1.01	0.67	0.51
Total Volume	70,665.273	6,226	269,043	42,392	36,352
Total OI	655,851.227	486,050	866,512	486,050	861,161

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
2009-03-02	$12.00	$40.00	300.6%	86.2%	242.0%	97.2%	297.3%	-1.6%	-63.3%	221.1K	103.2M	-670.7K	0.67	1.36	25,426	16,966	319,421	166,629
2009-03-03	$12.20	$40.00	264.8%	75.9%	241.6%	84.8%	265.1%	-2.3%	-40.4%	221.0K	108.1M	-706.7K	0.51	0.93	9,247	4,686	328,551	174,659
2009-03-04	$11.30	$40.00	219.3%	62.9%	241.7%	68.9%	0.0%	-90.4%	-41.4%	173.1K	104.1M	-682.9K	1.01	1.03	10,492	10,593	331,836	176,825
2009-03-05	$10.20	$40.00	294.6%	84.5%	241.0%	95.1%	0.0%	-3.0%	-33.3%	125.0K	119.8M	-547.5K	0.44	1.19	9,502	4,224	339,403	184,660
2009-03-06	$10.30	$30.00	329.9%	71.2%	240.9%	100.0%	248.5%	154.1%	-102.0%	173.6K	84.2M	-706.9K	0.37	2.44	5,848	2,175	343,445	184,214
2009-03-09	$10.50	$30.00	320.1%	72.4%	235.2%	96.8%	252.4%	51.4%	-79.9%	166.2K	112.0M	-621.3K	0.45	2.29	4,301	1,925	345,408	182,902
2009-03-10	$14.50	$30.00	291.4%	65.0%	271.9%	87.5%	226.1%	0.6%	-39.4%	180.6K	165.8M	-748.9K	0.28	3.11	23,888	6,758	347,373	181,170
2009-03-11	$15.40	$30.00	246.8%	58.2%	271.0%	73.1%	203.1%	-0.1%	-37.7%	241.0K	159.7M	-877.7K	0.20	3.79	16,381	3,328	357,002	182,635
2009-03-12	$16.70	$30.00	197.0%	56.5%	270.0%	56.9%	196.6%	0.4%	-40.5%	297.9K	173.8M	-983.1K	0.04	3.70	12,934	536	362,638	183,796
2009-03-13	$17.80	$30.00	196.8%	56.4%	272.5%	56.9%	195.5%	1.8%	-33.1%	367.3K	166.6M	-1.1M	0.17	3.73	28,296	4,684	367,519	183,284
2009-03-16	$23.30	$30.00	241.9%	69.3%	293.1%	71.5%	193.6%	10.5%	-57.4%	1.2M	137.3M	-1.7M	0.47	7.03	111,584	52,295	380,741	184,614
2009-03-17	$25.10	$30.00	209.0%	59.9%	291.9%	60.8%	178.9%	3.3%	-42.9%	1.6M	153.9M	-2.0M	0.62	6.92	67,107	41,593	422,045	211,867
2009-03-18	$30.80	$30.00	207.2%	59.4%	301.1%	60.3%	200.0%	19.9%	-22.0%	2.3M	77.8M	-2.6M	0.48	4.98	181,650	87,393	455,468	231,473
2009-03-19	$26.00	$30.00	192.0%	55.0%	302.6%	55.3%	197.0%	14.7%	-23.1%	1.8M	132.5M	-2.8M	0.51	35.73	149,095	75,710	515,441	276,898
2009-03-20	$26.20	$30.00	190.9%	54.7%	287.3%	55.0%	193.2%	17.4%	-33.3%	2.0M	127.5M	-3.0M	0.64	4.55	53,371	34,165	566,845	299,667
2009-03-23	$31.30	$30.00	155.1%	44.5%	291.9%	43.4%	152.3%	34.7%	0.8%	2.4M	94.9M	-3.4M	0.83	24.45	71,951	59,671	455,112	253,883
2009-03-24	$30.10	$30.00	149.5%	42.8%	285.0%	41.6%	154.1%	3.7%	-7.0%	2.4M	59.5M	-3.8M	0.60	3.71	61,315	36,829	497,464	293,166
2009-03-25	$29.50	$30.00	145.7%	41.8%	284.8%	40.3%	152.7%	38.7%	-5.3%	2.3M	87.3M	-3.6M	0.64	5.56	44,782	28,490	493,376	290,389
2009-03-26	$28.10	$30.00	148.3%	42.5%	285.3%	41.2%	139.1%	-1.8%	-8.7%	2.1M	139.4M	-3.5M	0.46	4.52	39,081	17,882	505,075	304,945
2009-03-27	$26.20	$30.00	155.4%	44.6%	218.3%	43.5%	161.3%	-0.0%	-8.7%	1.9M	150.4M	-3.4M	0.56	3.66	38,352	21,385	518,612	317,530
2009-03-30	$23.10	$30.00	174.0%	49.9%	205.8%	49.5%	178.1%	1.7%	7.0%	1.5M	157.3M	-3.0M	0.42	3.17	29,775	12,618	524,373	325,212
2009-03-31	$25.30	$30.00	166.8%	47.8%	206.8%	47.2%	157.4%	-4.6%	-14.2%	1.8M	174.3M	-3.2M	0.51	3.88	24,070	12,282	533,105	328,056