C Options History — May 2009 In May 2009, C traded between $29.70 and $40.20. ATM implied volatility averaged 114.5%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 32.3%. IV traded above realized volatility by 0.7% (HV 20d: 113.8%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2009-05-07 : Highest Volume — 270,426 contracts2009-05-08 : Largest IV drop — 46.7% change2009-05-13 : Highest IV Rank — 55.4%2009-05-05 : Largest Expected Move — 42.8%Monthly Statistics Metric Avg Min Max Open Close Price $36.24 $29.70 $40.20 $29.70 $37.20 Max Pain $49.50 $40.00 $50.00 $40.00 $50.00 ATM IV 114.5% 79.6% 192.1% 129.0% 79.8% Expected Move 32.3% 22.8% 42.8% 37.0% 22.9% HV 20d 113.8% 80.5% 150.0% 140.4% 80.5% HV 60d 191.3% 149.4% 208.6% 206.5% 149.4% IV Rank 30.2% 18.9% 55.4% 34.9% 19.0% IV Percentile 50.6% 30.2% 85.3% 59.9% 30.2% Term Structure -7.2% -34.7% 16.3% 16.3% 8.5% VWIV 123.2% 85.2% 153.5% 136.7% 88.5% Skew 25d 1.3% -9.2% 14.2% 14.2% 7.2% Skew 10d 5.6% -15.0% 28.8% 5.6% 1.7% Call IV 25d 115.4% 84.2% 151.5% 142.5% 84.5% Put IV 25d 116.8% 87.7% 156.7% 156.7% 91.8% Bid-Ask Spread % 1.91 1.30 2.78 2.41 1.63 Gamma HHI 0.23 0.17 0.31 0.17 0.28 Net GEX 4.7M 2.3M 8.4M 2.3M 5.3M Net DEX 639.2M 203.8M 923.6M 585.8M 923.6M Net VEX -5.6M -6.3M -4.9M -4.9M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.39 0.72 0.61 0.59 Total Volume 119,537.9 42,814 270,426 42,814 75,292 Total OI 1,570,878.55 1,436,805 1,704,475 1,517,220 1,598,716
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 2009-05-01 $29.70 $40.00 129.0% 37.0% 140.4% 34.9% 136.7% 14.2% 16.3% 2.3M 585.8M -4.9M 0.61 2.41 26,521 16,293 870,451 646,769 2009-05-04 $32.00 $50.00 144.6% 41.5% 142.1% 40.0% 150.0% -7.0% -34.7% 2.8M 550.1M -5.2M 0.57 2.18 32,273 18,311 881,653 652,336 2009-05-05 $33.10 $50.00 149.5% 42.8% 141.0% 41.6% 148.9% -9.2% -27.1% 3.3M 471.3M -5.3M 0.65 2.41 42,156 27,485 883,970 654,373 2009-05-06 $38.60 $50.00 161.0% 41.1% 150.0% 45.3% 150.3% -3.1% -25.6% 5.6M 223.0M -6.1M 0.72 2.78 89,776 64,887 892,266 662,055 2009-05-07 $38.10 $50.00 152.0% 42.8% 149.8% 42.4% 153.5% -4.3% -29.6% 6.2M 203.8M -6.3M 0.65 2.42 163,623 106,803 903,074 662,956 2009-05-08 $40.20 $50.00 81.0% 35.8% 145.6% 19.4% 130.8% -5.2% -21.4% 8.4M 250.4M -6.1M 0.66 2.30 130,070 85,415 915,337 677,395 2009-05-11 $38.60 $50.00 114.5% 37.1% 123.9% 30.2% 139.0% -5.3% -23.1% 6.6M 471.0M -5.9M 0.49 2.00 79,299 39,011 942,355 704,926 2009-05-12 $36.60 $50.00 137.6% 36.1% 123.6% 37.7% 132.8% 12.3% -12.5% 4.8M 645.8M -5.7M 0.52 1.83 124,240 65,122 939,969 715,999 2009-05-13 $34.10 $50.00 192.1% 36.2% 125.8% 55.4% 143.0% -4.7% -7.3% 2.4M 880.9M -5.3M 0.39 2.17 68,443 26,731 962,833 740,547 2009-05-14 $35.50 $50.00 119.2% 34.2% 126.8% 31.8% 143.1% 1.4% -8.9% 3.5M 787.1M -5.2M 0.49 1.94 59,615 29,095 951,049 723,534 2009-05-15 $34.80 $50.00 122.2% 35.0% 122.7% 32.7% 127.4% 2.5% -7.9% 3.8M 726.6M -5.5M 0.66 1.80 63,336 41,842 969,442 735,033 2009-05-18 $36.40 $50.00 99.7% 28.6% 93.9% 25.4% 111.3% -1.5% -0.3% 4.0M 715.7M -5.4M 0.52 1.42 74,812 38,737 829,609 607,196 2009-05-19 $37.70 $50.00 90.4% 25.9% 88.8% 22.4% 94.4% 2.7% -1.1% 5.2M 710.0M -5.5M 0.59 1.30 85,870 50,627 849,655 622,499 2009-05-20 $36.90 $50.00 89.0% 25.5% 89.4% 22.0% 100.4% -1.6% 4.7% 4.6M 759.1M -5.4M 0.52 1.37 114,754 59,891 862,870 630,954 2009-05-21 $37.20 $50.00 91.3% 26.2% 89.0% 22.7% 105.8% -0.7% 3.0% 5.1M 727.0M -5.8M 0.66 1.46 71,666 47,346 882,418 648,495 2009-05-22 $36.70 $50.00 84.6% 24.2% 89.3% 20.5% 102.8% -0.9% 6.1% 4.8M 795.3M -5.7M 0.59 1.64 39,858 23,467 870,760 650,580 2009-05-26 $37.70 $50.00 89.4% 25.6% 87.9% 22.1% 125.9% 9.7% 2.0% 5.1M 573.8M -6.0M 0.70 1.48 55,695 39,081 875,828 646,833 2009-05-27 $37.00 $50.00 79.6% 22.8% 84.6% 18.9% 85.2% 10.8% 7.1% 5.4M 905.4M -5.2M 0.52 1.84 78,144 40,810 893,435 668,055 2009-05-28 $36.70 $50.00 84.0% 24.1% 81.3% 20.4% 94.0% 9.2% 8.3% 5.7M 879.2M -5.5M 0.46 1.74 64,743 29,618 911,082 680,264 2009-05-29 $37.20 $50.00 79.8% 22.9% 80.5% 19.0% 88.5% 7.2% 8.5% 5.3M 923.6M -5.5M 0.59 1.63 47,347 27,945 911,668 687,048
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