C Options History — April 2009

In April 2009, C traded between $26.80 and $40.10. ATM implied volatility averaged 160.6%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 45.7%. IV traded below realized volatility by 2.8% (HV 20d: 163.4%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2009-04-17: Highest Volume — 386,637 contracts
  • 2009-04-13: Largest IV spike — 31.4% change
  • 2009-04-14: Highest IV Rank — 61.4%
  • 2009-04-14: Largest Expected Move — 60.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$26.80$40.10$26.80$30.50
Max Pain$31.43$30.00$40.00$30.00$40.00
ATM IV160.6%141.2%210.8%160.9%142.8%
Expected Move45.7%40.5%60.4%46.1%40.9%
HV 20d163.4%137.9%202.5%202.5%140.0%
HV 60d216.4%206.1%226.5%226.5%206.4%
IV Rank45.2%38.9%61.4%45.2%39.4%
IV Percentile75.5%65.5%91.3%78.2%66.3%
Term Structure-3.1%-21.3%13.8%-11.5%12.5%
VWIV167.7%142.6%213.3%158.1%159.4%
Skew 25d-2.1%-22.8%55.1%-3.5%0.4%
Skew 10d0.3%-38.3%59.9%-24.1%5.1%
Call IV 25d169.4%150.6%220.2%169.6%161.4%
Put IV 25d167.3%146.6%220.4%166.1%161.8%
Bid-Ask Spread %3.492.515.223.123.11
Gamma HHI0.200.150.260.190.19
Net GEX3.3M2.0M7.0M2.1M2.6M
Net DEX210.9M-483.0M556.7M187.6M556.7M
Net VEX-4.7M-6.5M-3.3M-3.3M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.350.840.520.75
Total Volume131,780.33336,572386,63749,98037,956
Total OI1,223,003.762868,6931,509,593868,6931,509,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$26.80$30.00160.9%46.1%202.5%45.2%158.1%-3.5%-11.5%2.1M187.6M-3.3M0.523.1232,78517,195538,882329,811
2009-04-02$27.40$30.00151.3%43.4%195.3%42.1%158.9%55.1%2.0%2.5M168.2M-3.5M0.354.1652,31818,333553,027338,134
2009-04-03$28.50$30.00144.8%42.8%194.8%40.1%158.1%-4.8%-6.5%2.9M208.9M-3.7M0.713.2124,81517,701581,397353,116
2009-04-06$27.20$30.00163.3%42.9%197.6%46.0%155.1%-9.3%-5.5%2.7M230.1M-3.5M0.453.0325,15611,416592,545361,090
2009-04-07$27.60$30.00158.8%43.7%168.8%44.6%161.1%-3.4%-1.1%2.8M241.5M-3.4M0.534.2841,14421,722604,629368,102
2009-04-08$27.00$30.00157.4%42.1%169.6%44.1%157.9%-2.2%3.7%2.7M283.0M-3.4M0.614.3634,91621,297619,619381,444
2009-04-09$30.40$30.00142.6%40.9%171.6%39.3%166.6%-1.8%2.8%3.9M179.5M-4.0M0.513.5357,80829,291629,641392,414
2009-04-13$38.00$30.00187.5%53.7%184.6%53.9%190.3%-5.3%-20.3%5.1M-220.8M-5.1M0.405.22173,77168,669648,943402,896
2009-04-14$40.10$30.00210.8%60.4%163.4%61.4%213.3%-19.0%-21.3%5.8M-483.0M-5.9M0.453.99246,046110,544693,650426,735
2009-04-15$39.70$30.00202.7%58.1%162.9%58.8%209.6%-19.4%-19.5%6.0M-403.9M-6.2M0.504.97160,14079,623751,715476,705
2009-04-16$40.10$30.00181.2%51.9%148.1%51.8%179.8%-22.8%-7.3%7.0M-362.5M-6.5M0.513.15198,545100,264796,074507,561
2009-04-17$36.50$30.00161.2%46.2%137.9%45.4%166.0%-1.3%-5.2%4.4M39.5M-6.0M0.733.51223,657162,980859,000558,213
2009-04-20$29.40$40.00153.7%44.1%160.9%42.9%165.3%1.8%13.8%2.1M445.3M-4.7M0.823.73109,74189,916778,244558,662
2009-04-21$32.40$30.00157.8%45.2%151.7%44.3%166.2%4.3%-16.3%2.3M387.0M-5.3M0.513.06100,83651,465785,527578,209
2009-04-22$32.50$30.00156.0%44.7%150.9%43.7%165.5%-0.9%-6.9%2.5M436.3M-5.3M0.463.7363,65429,120809,604594,410
2009-04-23$32.00$30.00155.0%44.4%150.9%43.3%167.7%5.4%-1.0%2.6M455.9M-5.2M0.812.7734,60628,015820,881601,344
2009-04-24$31.90$30.00152.1%43.6%149.6%42.4%164.3%-1.9%3.1%2.6M491.0M-5.2M0.612.5131,62419,149828,263611,907
2009-04-27$30.70$30.00144.3%41.4%147.9%39.9%155.7%-7.3%4.4%2.7M497.5M-5.0M0.842.6224,34020,379846,292616,638
2009-04-28$28.90$30.00141.2%40.5%141.7%38.9%142.6%-3.5%13.1%2.0M539.5M-4.7M0.842.6077,66265,096850,727623,354
2009-04-29$31.20$40.00148.0%42.4%140.7%41.1%159.7%-5.1%1.1%2.7M551.0M-5.2M0.482.7036,15817,534864,755639,326
2009-04-30$30.50$40.00142.8%40.9%140.0%39.4%159.4%0.4%12.5%2.6M556.7M-4.8M0.753.1121,66416,292869,556640,037