C Options History — October 2009 In October 2009, C traded between $40.80 and $50.00. ATM implied volatility averaged 58.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 5.9% (HV 20d: 52.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.49.
Notable Days 2009-10-14 : Highest Volume — 109,830 contracts2009-10-15 : Largest IV drop — 45.3% change2009-10-14 : Highest IV Rank — 12.8%2009-10-01 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.26 $40.80 $50.00 $45.30 $40.90 Max Pain $49.09 $40.00 $50.00 $50.00 $50.00 ATM IV 58.6% 40.2% 88.3% 72.4% 54.8% Expected Move 14.9% 11.5% 20.7% 20.7% 15.7% HV 20d 52.7% 44.1% 64.3% 64.3% 47.8% HV 60d 68.0% 62.6% 74.7% 74.7% 62.6% IV Rank 4.2% 0.0% 12.8% 7.1% 5.0% IV Percentile 9.8% 0.0% 36.9% 19.0% 4.8% Term Structure 0.9% -6.3% 3.3% -6.3% 0.5% VWIV 52.9% 42.5% 71.0% 71.0% 54.9% Skew 25d -3.0% -9.1% 2.6% -6.1% 2.6% Skew 10d -4.7% -23.0% 44.4% -21.5% 8.3% Call IV 25d 55.9% 42.6% 75.7% 75.7% 61.3% Put IV 25d 52.9% 40.7% 69.6% 69.6% 63.8% Bid-Ask Spread % 2.09 1.32 2.78 2.49 2.48 Gamma HHI 0.40 0.32 0.56 0.32 0.35 Net GEX 13.6M 5.7M 30.8M 9.6M 6.0M Net DEX -598.1M -1.22B -191.3M -657.9M -208.4M Net VEX -8.6M -9.3M -7.7M -8.9M -8.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.20 0.98 0.62 0.98 Total Volume 60,065.636 27,874 109,830 46,947 53,144 Total OI 1,292,578.182 1,192,980 1,378,596 1,228,655 1,324,103
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 2009-10-01 $45.30 $50.00 72.4% 20.7% 64.3% 7.1% 71.0% -6.1% -6.3% 9.6M -657.9M -8.9M 0.62 2.49 28,920 18,027 774,459 454,196 2009-10-02 $45.20 $50.00 66.5% 19.1% 62.1% 4.9% 66.4% -1.3% -1.8% 9.7M -606.2M -8.8M 0.44 2.26 48,666 21,394 780,413 461,844 2009-10-05 $46.70 $40.00 65.4% 17.8% 63.0% 4.5% 63.4% -2.4% 3.3% 12.8M -722.7M -8.9M 0.42 2.26 19,632 8,242 790,332 466,904 2009-10-06 $46.70 $40.00 60.0% 17.1% 61.7% 2.6% 60.3% -1.5% 2.0% 14.0M -695.0M -8.7M 0.23 1.99 63,429 14,410 794,159 469,330 2009-10-07 $46.40 $50.00 71.1% 16.8% 61.7% 6.6% 58.4% -2.3% 0.4% 14.0M -732.2M -8.9M 0.44 2.78 38,775 16,930 816,220 472,048 2009-10-08 $46.50 $50.00 71.0% 15.9% 61.3% 6.6% 55.9% -4.4% 0.6% 15.4M -681.6M -8.8M 0.48 1.94 45,431 21,999 824,054 476,545 2009-10-09 $46.30 $50.00 69.3% 15.3% 60.4% 6.0% 53.1% -5.3% 1.9% 16.2M -660.1M -8.9M 0.27 2.21 38,592 10,266 838,897 480,124 2009-10-12 $47.70 $50.00 86.4% 16.2% 60.8% 12.1% 56.8% -3.2% 0.6% 21.2M -917.5M -9.2M 0.20 1.65 49,093 10,026 853,102 482,093 2009-10-13 $48.30 $50.00 86.2% 15.6% 49.3% 12.1% 55.0% -5.0% 0.8% 25.6M -1.01B -9.3M 0.43 1.69 48,414 20,802 865,094 484,566 2009-10-14 $50.00 $50.00 88.3% 15.6% 50.0% 12.8% 55.4% -2.9% -1.0% 30.8M -1.22B -9.3M 0.22 2.65 89,687 20,143 866,929 492,280 2009-10-15 $47.50 $50.00 48.3% 13.8% 51.7% 0.0% 48.3% -3.1% 1.9% 27.6M -765.8M -8.7M 0.29 2.00 82,520 24,080 877,017 497,440 2009-10-16 $45.90 $50.00 46.8% 13.4% 51.4% 0.0% 47.2% -0.2% 1.9% 11.5M -546.6M -8.4M 0.72 2.08 36,328 26,004 876,363 502,233 2009-10-19 $45.40 $50.00 43.2% 12.4% 49.9% 0.0% 43.5% -0.7% 2.3% 11.4M -528.9M -8.2M 0.53 2.03 28,527 15,034 769,427 423,553 2009-10-20 $44.30 $50.00 45.6% 13.1% 47.4% 0.8% 47.2% -1.8% 1.5% 9.0M -385.1M -7.7M 0.33 1.47 60,850 20,302 775,620 430,568 2009-10-21 $44.20 $50.00 41.6% 11.9% 46.4% 0.0% 44.0% -3.4% 1.4% 10.3M -427.6M -7.9M 0.34 1.77 59,919 20,144 808,019 435,021 2009-10-22 $44.60 $50.00 40.2% 11.5% 46.0% 0.0% 42.5% -1.8% 0.6% 11.1M -481.3M -8.4M 0.42 2.27 23,841 10,011 838,897 443,515 2009-10-23 $44.60 $50.00 42.6% 12.2% 45.8% 0.8% 47.9% -5.2% 1.7% 11.5M -558.3M -8.8M 0.92 1.32 19,593 17,936 844,608 447,591 2009-10-26 $42.70 $50.00 45.8% 13.1% 45.6% 1.9% 47.6% -7.4% 3.0% 8.3M -379.4M -8.4M 0.57 1.99 31,961 18,138 847,102 444,811 2009-10-27 $42.70 $50.00 44.1% 12.6% 44.1% 1.3% 45.0% -9.1% 1.9% 8.1M -366.6M -8.2M 0.48 1.86 24,427 11,686 849,834 442,845 2009-10-28 $40.80 $50.00 50.7% 14.5% 44.4% 3.6% 51.0% 1.9% 0.6% 5.7M -191.3M -7.9M 0.90 2.58 29,046 26,183 853,456 446,837 2009-10-29 $43.10 $50.00 48.5% 13.9% 44.4% 2.9% 49.6% -2.2% 2.7% 8.7M -420.8M -8.7M 0.46 2.12 33,506 15,386 859,584 454,687 2009-10-30 $40.90 $50.00 54.8% 15.7% 47.8% 5.0% 54.9% 2.6% 0.5% 6.0M -208.4M -8.2M 0.98 2.48 26,862 26,282 868,042 456,061
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