C Options History — June 2009

In June 2009, C traded between $29.70 and $36.90. ATM implied volatility averaged 77.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 26.3% (HV 20d: 51.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2009-06-16: Highest Volume — 194,818 contracts
2009-06-02: Largest IV spike — 46.2% change
2009-06-09: Highest IV Rank — 21.8%
2009-06-03: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.72	$29.70	$36.90	$36.90	$29.70
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	77.4%	55.1%	107.2%	58.7%	55.4%
Expected Move	21.3%	15.8%	27.1%	16.8%	15.9%
HV 20d	51.1%	41.2%	79.7%	79.7%	41.5%
HV 60d	116.0%	95.7%	148.4%	147.3%	95.7%
IV Rank	11.5%	3.5%	21.8%	7.1%	3.6%
IV Percentile	24.7%	4.8%	48.4%	15.9%	5.2%
Term Structure	-0.1%	-11.2%	13.0%	10.3%	13.0%
VWIV	85.0%	55.1%	142.8%	77.2%	55.6%
Skew 25d	9.0%	-5.0%	38.1%	0.1%	38.1%
Skew 10d	10.0%	-16.4%	56.2%	-1.5%	27.1%
Call IV 25d	83.1%	65.2%	103.6%	87.7%	69.4%
Put IV 25d	92.1%	77.1%	117.1%	87.8%	107.6%
Bid-Ask Spread %	2.45	0.89	4.18	1.74	2.79
Gamma HHI	0.27	0.23	0.32	0.25	0.23
Net GEX	1.9M	-986.4K	5.3M	5.3M	-682.9K
Net DEX	1.20B	764.1M	1.63B	764.1M	1.26B
Net VEX	-4.6M	-5.7M	-4.0M	-5.7M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.37	1.34	0.57	0.76
Total Volume	107,617.364	40,120	194,818	85,796	63,322
Total OI	1,700,756.591	1,430,399	2,013,929	1,604,123	1,620,380

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
2009-06-01	$36.90	$50.00	58.7%	16.8%	79.7%	7.1%	77.2%	0.1%	10.3%	5.3M	764.1M	-5.7M	0.57	1.74	54,653	31,143	911,012	693,111
2009-06-02	$35.10	$50.00	85.8%	24.6%	78.7%	15.5%	111.3%	3.1%	1.7%	4.5M	899.0M	-5.4M	0.82	1.31	61,350	50,204	921,648	701,338
2009-06-03	$33.90	$50.00	94.5%	27.1%	79.1%	18.1%	142.8%	-5.0%	-11.2%	3.0M	1.05B	-5.1M	0.71	0.89	46,920	33,432	928,075	722,058
2009-06-04	$35.70	$50.00	82.0%	23.5%	58.7%	13.1%	117.2%	14.1%	2.6%	4.5M	936.6M	-5.6M	0.70	1.37	68,026	47,536	945,530	732,676
2009-06-05	$34.60	$50.00	91.9%	24.1%	59.4%	16.5%	98.8%	-1.5%	-4.1%	4.0M	1.03B	-5.4M	0.51	3.43	35,871	18,346	958,261	746,490
2009-06-08	$34.20	$50.00	101.1%	23.8%	55.3%	19.7%	92.6%	5.3%	-9.4%	3.2M	1.16B	-4.8M	0.78	4.18	76,011	59,221	956,143	743,873
2009-06-09	$34.10	$50.00	107.2%	23.5%	53.9%	21.8%	95.0%	2.5%	-9.7%	3.0M	1.21B	-4.8M	0.89	1.80	71,604	63,924	972,101	761,517
2009-06-10	$34.80	$50.00	95.8%	23.5%	51.7%	17.8%	89.9%	5.2%	-5.7%	3.5M	1.20B	-5.0M	1.22	3.70	62,805	76,392	992,249	785,567
2009-06-11	$34.80	$50.00	81.1%	23.2%	45.0%	12.6%	80.6%	1.0%	-10.6%	3.4M	1.23B	-5.1M	0.74	2.67	59,537	44,099	1,006,084	801,746
2009-06-12	$34.70	$50.00	78.5%	22.5%	42.6%	11.7%	76.1%	10.8%	-7.0%	3.3M	1.26B	-5.2M	0.77	2.32	56,859	44,004	1,014,997	811,664
2009-06-15	$33.70	$50.00	75.8%	21.7%	43.2%	10.8%	80.8%	3.6%	-7.7%	1.5M	1.48B	-4.3M	0.37	2.55	84,070	31,248	1,019,753	820,703
2009-06-16	$32.50	$50.00	74.3%	21.3%	41.2%	10.3%	83.7%	2.2%	-4.1%	1.6M	1.47B	-4.3M	0.87	1.83	103,996	90,822	1,038,924	834,997
2009-06-17	$30.80	$50.00	78.5%	22.5%	41.6%	11.7%	85.8%	13.4%	-1.7%	-986.4K	1.56B	-4.1M	1.16	2.53	80,030	92,761	1,064,025	860,799
2009-06-18	$31.30	$50.00	78.7%	22.6%	42.4%	11.8%	90.8%	13.1%	-0.4%	1.0M	1.59B	-4.0M	1.34	3.00	58,216	78,091	1,082,429	885,416
2009-06-19	$31.70	$50.00	77.7%	22.3%	42.6%	11.4%	87.8%	6.3%	1.9%	255.9K	1.63B	-4.3M	0.76	2.28	85,718	65,409	1,096,443	917,486
2009-06-22	$30.00	$50.00	70.9%	20.3%	45.8%	9.1%	72.6%	8.9%	9.0%	179.8K	1.04B	-4.1M	0.43	1.90	63,488	27,478	774,561	655,838
2009-06-23	$30.10	$50.00	69.3%	19.9%	44.0%	8.5%	85.1%	24.5%	5.5%	1.5M	962.9M	-4.5M	0.74	2.21	48,713	35,984	798,931	670,657
2009-06-24	$30.40	$50.00	71.0%	20.3%	44.5%	9.1%	71.6%	13.0%	2.1%	541.7K	1.08B	-4.2M	0.84	2.74	36,706	30,689	806,051	686,007
2009-06-25	$30.30	$50.00	61.1%	17.5%	44.6%	5.6%	61.8%	12.8%	6.3%	-207.8K	1.16B	-4.1M	1.04	3.61	58,714	60,995	813,940	701,971
2009-06-26	$30.30	$50.00	55.1%	15.8%	43.9%	3.5%	55.1%	11.9%	8.8%	-612.6K	1.23B	-4.1M	0.97	3.44	35,139	33,936	836,550	729,209
2009-06-29	$30.20	$50.00	58.0%	16.6%	44.0%	4.5%	58.2%	13.7%	7.3%	-408.7K	1.28B	-4.0M	0.74	1.68	23,056	17,064	851,969	743,466
2009-06-30	$29.70	$50.00	55.4%	15.9%	41.5%	3.6%	55.6%	38.1%	13.0%	-682.9K	1.26B	-4.1M	0.76	2.79	36,056	27,266	862,368	758,012