C Options History — August 2009 In August 2009, C traded between $31.80 and $52.30. ATM implied volatility averaged 72.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 2.9% (HV 20d: 75.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2009-08-07 : Highest Volume — 223,195 contracts2009-08-05 : Largest IV spike — 18.1% change2009-08-11 : Highest IV Rank — 12.9%2009-08-05 : Largest Expected Move — 22.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.05 $31.80 $52.30 $31.80 $50.00 Max Pain $40.48 $40.00 $50.00 $40.00 $50.00 ATM IV 72.1% 63.9% 81.7% 66.8% 68.2% Expected Move 20.5% 18.3% 22.7% 19.1% 19.5% HV 20d 75.0% 63.5% 85.1% 80.7% 69.8% HV 60d 64.3% 60.4% 67.3% 61.3% 67.3% IV Rank 9.5% 6.6% 12.9% 7.6% 8.0% IV Percentile 15.6% 7.1% 26.6% 13.9% 9.9% Term Structure 1.2% -6.9% 9.5% 3.5% 8.3% VWIV 74.8% 65.1% 84.3% 67.2% 71.5% Skew 25d -2.9% -9.3% 4.6% 4.6% -1.3% Skew 10d 1.0% -14.7% 30.8% 29.2% -4.5% Call IV 25d 80.3% 71.4% 87.4% 77.9% 77.1% Put IV 25d 77.4% 67.5% 85.9% 82.5% 75.8% Bid-Ask Spread % 2.34 1.81 2.82 2.50 2.01 Gamma HHI 0.41 0.28 0.49 0.28 0.37 Net GEX 10.6M 4.1M 15.6M 4.1M 15.0M Net DEX -528.3M -1.62B 630.2M 630.2M -1.33B Net VEX -6.9M -8.7M -4.8M -4.8M -8.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.24 1.03 1.03 0.37 Total Volume 124,356.714 52,041 223,195 69,135 94,631 Total OI 1,643,214.81 1,380,383 1,823,731 1,688,032 1,491,672
Daily Data (21 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 2009-08-03 $31.80 $40.00 66.8% 19.1% 80.7% 7.6% 67.2% 4.6% 3.5% 4.1M 630.2M -4.8M 1.03 2.50 34,100 35,035 911,946 776,086 2009-08-04 $32.50 $40.00 67.0% 19.2% 79.2% 7.7% 67.0% -2.6% 1.6% 4.1M 533.7M -4.8M 0.47 1.90 35,326 16,715 901,660 757,532 2009-08-05 $35.80 $40.00 79.1% 22.7% 83.7% 11.9% 79.1% 2.8% -2.4% 5.8M 125.2M -5.6M 0.55 2.48 128,307 70,248 911,649 745,512 2009-08-06 $38.00 $40.00 75.5% 21.6% 85.1% 10.7% 76.9% 1.4% -2.5% 7.0M -75.0M -6.2M 0.52 2.05 103,210 53,872 917,738 756,945 2009-08-07 $38.50 $40.00 81.6% 22.6% 82.6% 12.8% 84.3% -6.5% -4.5% 7.1M -202.5M -6.4M 0.37 2.06 162,717 60,478 907,781 743,842 2009-08-10 $39.40 $40.00 77.1% 21.5% 80.4% 11.2% 79.3% -1.2% -2.4% 8.5M -239.1M -6.5M 0.29 2.82 67,324 19,782 941,979 750,981 2009-08-11 $36.90 $40.00 81.7% 21.8% 84.6% 12.9% 80.5% -2.2% -2.4% 6.9M 10.9M -6.2M 0.49 2.61 107,777 52,545 951,152 751,760 2009-08-12 $39.80 $40.00 68.8% 20.3% 84.0% 8.3% 74.5% 1.0% -0.7% 9.8M -254.0M -6.3M 0.47 2.68 59,146 27,849 955,420 760,013 2009-08-13 $40.60 $40.00 72.3% 20.7% 81.3% 9.6% 75.3% 3.8% -4.6% 10.0M -294.3M -6.5M 0.48 2.64 62,086 29,624 960,331 768,980 2009-08-14 $40.40 $40.00 71.4% 20.5% 81.3% 9.2% 78.0% -7.7% -1.1% 10.9M -370.1M -6.6M 0.42 2.46 87,980 36,658 970,607 774,262 2009-08-17 $40.00 $40.00 71.0% 20.4% 74.1% 9.1% 74.5% -5.6% 1.5% 13.0M -336.8M -6.6M 0.40 2.67 48,308 19,207 998,417 776,349 2009-08-18 $41.40 $40.00 69.9% 20.0% 69.6% 8.7% 77.2% -9.3% 3.0% 15.4M -544.3M -6.8M 0.39 2.41 50,247 19,521 1,005,032 768,266 2009-08-19 $41.30 $40.00 68.5% 19.6% 69.0% 8.2% 78.3% -9.0% 2.2% 15.2M -530.7M -6.7M 0.40 2.26 55,964 22,298 1,016,501 773,541 2009-08-20 $44.80 $40.00 74.7% 21.4% 71.3% 10.4% 77.8% -5.9% -0.2% 10.2M -935.0M -7.3M 0.24 2.04 147,526 35,671 1,027,530 779,726 2009-08-21 $47.00 $40.00 79.0% 22.6% 70.3% 11.9% 80.3% -3.6% -6.9% 11.2M -1.14B -7.8M 0.37 2.73 118,875 44,188 1,035,805 787,926 2009-08-24 $48.20 $40.00 75.3% 21.6% 68.6% 10.6% 76.9% -6.9% 3.3% 12.1M -1.14B -7.9M 0.29 2.43 116,799 34,367 829,131 551,252 2009-08-25 $47.50 $40.00 69.9% 20.0% 65.0% 8.7% 71.8% -2.4% 4.9% 12.9M -1.05B -8.1M 0.59 1.81 65,481 38,831 851,212 564,066 2009-08-26 $46.30 $40.00 65.8% 18.9% 63.5% 7.3% 67.2% -5.9% 5.6% 12.7M -899.1M -7.9M 0.55 1.99 50,938 28,125 854,664 569,626 2009-08-27 $50.50 $40.00 63.9% 18.3% 65.7% 6.6% 65.1% -1.5% 9.4% 15.4M -1.42B -8.4M 0.26 2.20 137,826 36,480 863,283 579,716 2009-08-28 $52.30 $40.00 66.4% 19.0% 65.6% 7.5% 68.6% -3.5% 9.5% 15.6M -1.62B -8.7M 0.48 2.32 131,743 63,686 882,483 585,137 2009-08-31 $50.00 $50.00 68.2% 19.5% 69.8% 8.0% 71.5% -1.3% 8.3% 15.0M -1.33B -8.7M 0.37 2.01 68,855 25,776 898,182 593,490
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