C Options History — July 2009 In July 2009, C traded between $25.90 and $32.20. ATM implied volatility averaged 83.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 26.5% (HV 20d: 57.1%). Max pain ranged from $30.00 to $50.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2009-07-17 : Highest Volume — 238,033 contracts2009-07-24 : Largest IV spike — 41.9% change2009-07-13 : Highest IV Rank — 31.0%2009-07-16 : Largest Expected Move — 29.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.67 $25.90 $32.20 $29.70 $31.70 Max Pain $45.91 $30.00 $50.00 $50.00 $40.00 ATM IV 83.6% 52.8% 133.3% 62.0% 62.6% Expected Move 22.2% 15.1% 29.7% 17.8% 18.0% HV 20d 57.1% 34.8% 82.8% 40.3% 81.8% HV 60d 75.1% 61.3% 95.5% 95.2% 61.3% IV Rank 13.5% 2.7% 31.0% 5.9% 6.2% IV Percentile 27.3% 3.2% 59.1% 11.9% 12.3% Term Structure -0.8% -32.9% 9.7% 9.7% 3.8% VWIV 88.8% 58.8% 116.2% 62.1% 62.7% Skew 25d 8.5% -37.0% 35.5% 34.5% 4.7% Skew 10d 12.2% -13.8% 37.2% 23.4% 24.2% Call IV 25d 85.5% 73.8% 103.7% 74.5% 74.8% Put IV 25d 94.0% 62.2% 113.2% 109.0% 79.5% Bid-Ask Spread % 2.27 1.08 4.12 2.44 2.63 Gamma HHI 0.28 0.24 0.52 0.24 0.29 Net GEX 1.3M -321.9K 6.8M -321.9K 4.1M Net DEX 1.22B 768.8M 1.49B 1.28B 768.8M Net VEX -4.2M -4.8M -3.7M -4.1M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.32 1.29 0.69 0.64 Total Volume 119,699.591 55,040 238,033 55,040 80,656 Total OI 1,760,489.455 1,640,493 1,988,081 1,640,493 1,720,122
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 2009-07-01 $29.70 $50.00 62.0% 17.8% 40.3% 5.9% 62.1% 34.5% 9.7% -321.9K 1.28B -4.1M 0.69 2.44 32,654 22,386 870,775 769,718 2009-07-02 $28.80 $50.00 70.4% 20.2% 34.8% 8.9% 110.1% 11.9% 0.7% 953.5K 1.20B -4.3M 0.83 2.37 31,239 26,082 881,101 780,680 2009-07-06 $27.90 $30.00 82.3% 23.6% 34.8% 13.0% 84.0% 7.5% -2.2% 726.2K 1.26B -4.0M 0.71 2.37 39,289 27,991 891,896 787,618 2009-07-07 $26.90 $30.00 97.8% 25.3% 36.0% 18.5% 96.6% 8.3% 2.8% 505.3K 1.26B -3.8M 0.70 2.51 43,634 30,628 901,049 791,549 2009-07-08 $26.20 $30.00 105.9% 25.5% 36.2% 21.4% 87.1% 10.0% 3.1% 263.2K 1.27B -3.7M 0.98 4.12 56,573 55,373 906,649 802,160 2009-07-09 $26.90 $40.00 109.8% 27.2% 37.0% 22.7% 99.7% 9.7% 1.8% 699.7K 1.30B -4.0M 1.17 2.87 44,430 52,036 936,889 826,940 2009-07-10 $25.90 $40.00 116.2% 28.1% 37.6% 25.0% 116.2% 10.2% 1.3% 322.7K 1.34B -3.7M 1.29 3.10 46,627 59,991 949,373 844,143 2009-07-13 $27.80 $50.00 133.3% 28.5% 48.3% 31.0% 111.5% 12.6% -1.7% 1.2M 1.48B -3.9M 0.97 2.70 52,221 50,774 960,935 866,321 2009-07-14 $29.20 $50.00 118.8% 27.0% 52.2% 25.9% 96.7% 5.7% -12.3% 1.5M 1.36B -4.4M 0.98 2.25 84,817 82,859 975,632 871,364 2009-07-15 $31.70 $50.00 111.0% 26.0% 59.9% 23.1% 103.4% 2.6% -3.6% 2.0M 1.43B -4.8M 0.89 1.98 104,160 92,704 1,002,908 912,990 2009-07-16 $30.30 $50.00 103.6% 29.7% 58.9% 20.5% 113.9% 5.8% -12.8% 1.5M 1.37B -4.8M 0.92 2.43 113,659 104,288 1,024,329 939,524 2009-07-17 $30.20 $50.00 72.0% 20.6% 58.6% 9.4% 73.0% 1.0% 0.9% 6.8M 1.49B -4.2M 0.84 1.73 129,703 108,330 1,035,858 952,223 2009-07-20 $27.90 $50.00 67.5% 19.3% 64.4% 7.9% 86.3% 15.8% 1.9% 672.0K 1.24B -3.9M 0.66 1.41 84,798 55,722 868,520 804,162 2009-07-21 $26.50 $50.00 65.7% 18.8% 64.0% 7.2% 79.2% 21.1% 7.1% 300.7K 1.19B -3.9M 0.52 1.08 84,003 43,784 885,068 823,598 2009-07-22 $28.00 $50.00 73.3% 21.0% 67.6% 9.9% 84.1% 10.7% 0.3% 754.6K 1.21B -4.2M 0.60 2.28 64,599 38,454 895,099 835,005 2009-07-23 $27.70 $50.00 52.8% 15.1% 67.4% 2.7% 82.5% 3.9% 6.3% 463.9K 1.16B -4.2M 0.44 2.10 55,718 24,647 892,018 844,533 2009-07-24 $27.30 $50.00 74.9% 21.5% 67.5% 10.5% 114.7% 4.4% -1.0% -159.8K 1.21B -4.0M 0.58 1.72 36,626 21,181 882,159 849,619 2009-07-27 $26.90 $50.00 74.9% 21.5% 67.6% 10.5% 81.1% 4.6% -3.5% -242.5K 1.16B -3.8M 0.47 1.70 55,272 25,796 883,658 855,367 2009-07-28 $29.70 $50.00 56.2% 16.1% 77.2% 3.9% 58.8% 35.5% 9.3% 1.4M 935.6M -4.4M 0.32 2.09 113,599 36,791 882,968 841,468 2009-07-29 $32.20 $50.00 66.8% 19.1% 82.1% 7.6% 67.2% 2.9% 2.5% 2.8M 910.9M -4.5M 0.50 2.04 78,037 38,827 901,066 847,763 2009-07-30 $31.40 $50.00 61.4% 17.6% 82.8% 5.7% 82.0% -37.0% -32.9% 1.5M 1.03B -4.2M 0.50 2.01 135,014 67,419 895,597 840,354 2009-07-31 $31.70 $40.00 62.6% 18.0% 81.8% 6.2% 62.7% 4.7% 3.8% 4.1M 768.8M -4.7M 0.64 2.63 49,311 31,345 911,644 808,478
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