C Options History — September 2009

In September 2009, C traded between $41.20 and $48.50. ATM implied volatility averaged 68.1%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 5.1% (HV 20d: 73.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2009-09-01: Highest Volume — 153,414 contracts
  • 2009-09-08: Largest IV spike — 11.1% change
  • 2009-09-01: Highest IV Rank — 10.8%
  • 2009-09-01: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.46$41.20$48.50$45.40$48.40
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV68.1%60.9%77.8%77.8%65.2%
Expected Move19.8%18.3%22.3%22.3%18.7%
HV 20d73.2%59.5%81.7%81.7%59.5%
HV 60d72.2%69.9%74.3%70.5%73.4%
IV Rank5.7%3.5%10.8%10.8%4.5%
IV Percentile9.2%3.2%19.4%19.4%6.3%
Term Structure-0.7%-5.1%5.2%-2.0%0.5%
VWIV70.2%64.2%76.9%76.9%64.7%
Skew 25d-1.7%-7.9%5.8%-7.9%-0.6%
Skew 10d3.2%-7.3%25.2%-0.3%-6.1%
Call IV 25d73.1%67.4%82.4%82.4%70.2%
Put IV 25d71.4%64.0%81.9%74.5%69.7%
Bid-Ask Spread %2.642.163.442.202.76
Gamma HHI0.380.270.520.400.35
Net GEX11.2M4.9M17.0M12.2M12.8M
Net DEX-663.1M-1.11B-140.2M-753.4M-848.0M
Net VEX-8.3M-9.1M-7.1M-8.2M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.310.630.480.46
Total Volume76,625.66735,576153,414153,41440,738
Total OI1,450,4231,116,7811,760,3781,518,4511,221,054

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$45.40$50.0077.8%22.3%81.7%10.8%76.9%-7.9%-2.0%12.2M-753.4M-8.2M0.482.20103,89149,523912,825605,626
2009-09-02$45.60$50.0072.9%20.9%76.0%9.1%74.2%-1.5%3.5%13.4M-794.5M-8.4M0.582.5975,16543,920933,382614,307
2009-09-03$47.70$50.0068.3%19.6%75.0%6.2%69.4%2.4%5.2%15.4M-1.00B-8.7M0.512.2842,59121,717940,360625,988
2009-09-04$48.50$50.0060.9%20.2%75.0%3.5%72.7%2.9%-0.7%16.8M-1.11B-8.8M0.552.9130,10116,641944,104635,228
2009-09-08$46.80$50.0067.7%21.2%76.7%5.4%75.0%0.2%-2.0%14.5M-875.5M-8.3M0.533.1956,42530,046943,869636,556
2009-09-09$46.60$50.0067.4%20.8%71.8%5.3%73.0%-3.8%-3.1%14.5M-799.2M-8.1M0.383.4450,25418,918950,654643,851
2009-09-10$47.50$50.0067.9%19.5%67.8%5.4%69.3%1.0%-0.9%17.0M-895.0M-8.2M0.432.7339,36216,756959,918649,404
2009-09-11$46.10$50.0064.3%18.4%69.0%4.1%66.7%-1.3%2.3%14.1M-704.2M-7.9M0.632.7624,89115,672957,883655,485
2009-09-14$45.20$50.0071.1%20.4%69.5%6.6%71.3%-3.1%-1.9%12.4M-568.8M-7.6M0.392.3458,91322,800964,794656,382
2009-09-15$41.20$50.0073.2%21.0%77.7%7.4%74.8%5.8%-2.1%5.8M-140.2M-7.1M0.632.3792,97758,549979,346662,479
2009-09-16$42.00$50.0072.3%20.7%77.0%7.0%74.9%-2.1%-1.8%4.9M-229.1M-7.3M0.552.7566,30336,4311,001,951680,803
2009-09-17$44.20$50.0072.5%20.8%79.1%7.1%75.4%-3.2%-2.4%6.7M-473.7M-8.0M0.382.3496,49136,7791,026,226692,116
2009-09-18$42.60$50.0069.3%19.9%74.6%5.9%70.8%-1.0%1.5%8.3M-370.8M-8.1M0.632.9748,95930,8341,058,284702,094
2009-09-21$44.30$50.0068.1%19.5%73.9%5.5%69.0%-2.5%-1.2%7.6M-555.3M-8.4M0.512.1639,25020,126709,493407,288
2009-09-22$46.50$50.0065.3%18.7%75.5%4.5%66.2%-1.8%-0.8%10.3M-712.5M-8.9M0.612.3441,76925,669725,610416,188
2009-09-23$45.20$50.0066.3%19.0%76.0%4.9%65.5%-4.6%-1.4%9.5M-619.7M-8.7M0.312.9545,43114,000736,311421,652
2009-09-24$44.30$50.0066.2%19.0%75.8%4.8%68.7%-6.6%-0.6%8.7M-564.9M-8.7M0.492.8139,27819,443750,504425,667
2009-09-25$43.80$50.0064.3%18.4%68.1%4.1%66.3%-2.4%-1.2%8.0M-491.5M-8.7M0.482.4233,94116,322755,517434,632
2009-09-28$45.70$50.0064.8%18.6%68.7%4.3%64.9%-3.5%-5.1%10.5M-634.9M-8.9M0.442.4924,78510,791764,246443,384
2009-09-29$47.00$50.0063.8%18.3%68.2%4.0%64.2%-2.6%-1.4%12.3M-775.1M-9.1M0.472.6835,73516,952767,242446,180
2009-09-30$48.40$50.0065.2%18.7%59.5%4.5%64.7%-0.6%0.5%12.8M-848.0M-8.9M0.462.7627,97312,765769,769451,285