C Options History — November 2009

In November 2009, C traded between $39.70 and $42.90. ATM implied volatility averaged 43.1%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.0% (HV 20d: 43.1%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.66.

Notable Days

2009-11-02: Highest Volume — 79,150 contracts
2009-11-03: Largest IV drop — 10.5% change
2009-11-02: Highest IV Rank — 5.6%
2009-11-02: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.38	$39.70	$42.90	$39.90	$41.10
Max Pain	$40.50	$40.00	$50.00	$50.00	$40.00
ATM IV	43.1%	37.6%	56.3%	56.3%	39.3%
Expected Move	12.5%	10.8%	16.1%	16.1%	11.3%
HV 20d	43.1%	29.1%	48.1%	46.1%	29.1%
HV 60d	56.3%	47.5%	62.8%	62.8%	47.5%
IV Rank	1.2%	0.0%	5.6%	5.6%	0.6%
IV Percentile	2.3%	0.0%	6.3%	6.3%	1.2%
Term Structure	2.7%	-1.3%	5.7%	-1.3%	2.3%
VWIV	45.7%	37.9%	56.7%	56.7%	39.6%
Skew 25d	0.4%	-14.1%	35.2%	2.8%	-9.9%
Skew 10d	9.8%	-22.5%	68.1%	5.0%	-13.7%
Call IV 25d	53.2%	46.9%	64.1%	64.1%	49.3%
Put IV 25d	53.6%	37.3%	96.6%	66.9%	39.4%
Bid-Ask Spread %	2.21	1.46	3.37	1.99	2.31
Gamma HHI	0.36	0.34	0.40	0.34	0.36
Net GEX	3.5M	-1.3M	7.0M	4.0M	2.1M
Net DEX	-272.7M	-442.9M	-85.0M	-94.4M	-250.4M
Net VEX	-7.9M	-8.4M	-7.5M	-8.1M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.32	1.07	0.91	0.94
Total Volume	28,795.35	15,711	79,150	79,150	22,627
Total OI	1,386,704.8	1,327,481	1,445,282	1,342,860	1,347,699

Daily Data (20 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
2009-11-02	$39.90	$50.00	56.3%	16.1%	46.1%	5.6%	56.7%	2.8%	-1.3%	4.0M	-94.4M	-8.1M	0.91	1.99	41,520	37,630	871,904	470,956
2009-11-03	$40.40	$40.00	50.4%	14.4%	46.6%	3.5%	50.7%	35.2%	2.1%	3.6M	-142.3M	-8.2M	0.75	2.30	20,888	15,657	879,470	477,552
2009-11-04	$39.70	$40.00	48.7%	14.0%	46.7%	2.9%	48.7%	-14.1%	0.1%	2.4M	-85.0M	-7.8M	0.61	3.37	28,393	17,440	884,202	480,062
2009-11-05	$40.60	$40.00	44.1%	12.6%	47.8%	1.3%	43.9%	33.5%	3.6%	2.9M	-164.3M	-8.0M	0.40	2.86	19,119	7,591	891,378	483,638
2009-11-06	$40.60	$40.00	40.7%	12.4%	47.9%	0.2%	48.5%	-1.2%	3.2%	2.0M	-153.8M	-7.8M	0.48	2.10	15,755	7,535	899,417	486,091
2009-11-09	$41.90	$40.00	42.0%	13.1%	48.1%	0.6%	53.1%	9.4%	0.9%	4.0M	-313.7M	-8.1M	0.52	2.40	20,478	10,590	905,793	489,005
2009-11-10	$41.80	$40.00	42.5%	12.8%	47.6%	0.8%	48.8%	-2.8%	1.7%	3.7M	-298.4M	-8.0M	0.67	2.17	14,484	9,710	913,398	491,198
2009-11-11	$41.60	$40.00	40.0%	12.5%	45.0%	0.0%	47.8%	-4.2%	3.2%	3.0M	-298.7M	-8.1M	0.70	2.49	14,234	10,009	917,684	491,182
2009-11-12	$40.60	$40.00	43.5%	12.5%	42.6%	1.2%	47.5%	-3.5%	2.4%	-80.2K	-195.7M	-7.8M	0.68	2.10	17,542	11,973	920,292	491,295
2009-11-13	$40.50	$40.00	43.5%	12.5%	41.4%	1.2%	43.9%	-1.1%	2.9%	-1.3M	-155.5M	-7.8M	0.57	1.94	14,478	8,218	925,302	493,345
2009-11-16	$41.80	$40.00	44.7%	12.8%	43.5%	1.6%	49.5%	-4.0%	3.1%	3.3M	-368.2M	-8.1M	0.51	2.06	22,647	11,637	928,888	497,104
2009-11-17	$42.40	$40.00	44.6%	12.8%	43.3%	1.6%	50.2%	-4.9%	1.9%	4.8M	-431.8M	-8.3M	0.93	2.14	13,741	12,722	935,678	497,117
2009-11-18	$42.90	$40.00	43.2%	12.4%	43.5%	1.1%	45.1%	-4.7%	4.0%	6.4M	-442.9M	-8.4M	0.66	1.77	14,437	9,536	938,122	501,083
2009-11-19	$42.60	$40.00	43.3%	12.4%	43.4%	1.1%	43.5%	5.5%	1.6%	5.4M	-391.3M	-8.1M	0.67	2.35	10,282	6,877	940,727	501,146
2009-11-20	$42.00	$40.00	39.2%	11.2%	43.6%	0.0%	39.5%	-2.0%	5.7%	5.0M	-349.6M	-7.9M	0.45	1.46	22,043	10,023	942,976	502,306
2009-11-23	$42.80	$40.00	40.4%	11.6%	41.5%	0.4%	40.4%	-5.8%	3.4%	7.0M	-405.5M	-7.9M	1.07	1.84	11,399	12,157	875,064	452,417
2009-11-24	$42.10	$40.00	37.8%	10.8%	41.9%	0.0%	37.9%	-11.5%	4.0%	4.8M	-319.4M	-7.6M	0.62	1.71	11,125	6,907	876,488	455,618
2009-11-25	$41.70	$40.00	37.6%	10.8%	38.6%	0.0%	37.9%	-10.3%	4.8%	4.2M	-345.2M	-7.9M	0.32	1.88	14,253	4,539	881,033	454,364
2009-11-27	$40.60	$40.00	40.6%	11.6%	34.1%	1.0%	40.6%	2.4%	4.6%	2.4M	-248.4M	-7.6M	0.79	2.98	8,756	6,955	887,431	455,671
2009-11-30	$41.10	$40.00	39.3%	11.3%	29.1%	0.6%	39.6%	-9.9%	2.3%	2.1M	-250.4M	-7.5M	0.94	2.31	11,692	10,935	889,531	458,168