C Options History — December 2009

In December 2009, C traded between $32.00 and $41.00. ATM implied volatility averaged 50.0%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 13.6% (HV 20d: 36.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2009-12-17: Highest Volume — 208,319 contracts
2009-12-29: Largest IV spike — 49.4% change
2009-12-17: Highest IV Rank — 16.0%
2009-12-17: Largest Expected Move — 24.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.38	$32.00	$41.00	$41.00	$33.10
Max Pain	$44.09	$40.00	$50.00	$40.00	$40.00
ATM IV	50.0%	37.0%	84.4%	37.6%	51.3%
Expected Move	14.3%	10.6%	24.2%	10.8%	14.7%
HV 20d	36.5%	24.9%	48.3%	27.6%	47.6%
HV 60d	44.1%	41.3%	47.4%	47.4%	41.5%
IV Rank	4.3%	0.0%	16.0%	0.0%	4.9%
IV Percentile	13.7%	0.0%	52.0%	0.0%	17.5%
Term Structure	-4.1%	-33.2%	5.7%	2.8%	-14.9%
VWIV	49.4%	37.6%	65.3%	37.6%	41.6%
Skew 25d	8.1%	-18.0%	35.5%	27.2%	-17.3%
Skew 10d	14.9%	-19.5%	71.2%	69.0%	-19.5%
Call IV 25d	54.3%	46.2%	71.2%	50.2%	58.0%
Put IV 25d	62.5%	35.3%	94.1%	77.4%	40.8%
Bid-Ask Spread %	1.09	0.56	2.54	2.01	0.56
Gamma HHI	0.34	0.27	0.42	0.37	0.29
Net GEX	2.5M	-2.3M	5.5M	1.2M	4.8M
Net DEX	99.6M	-211.5M	538.2M	-211.5M	204.3M
Net VEX	-6.9M	-7.4M	-5.8M	-7.2M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.16	1.44	1.44	0.22
Total Volume	58,568.909	11,049	208,319	18,589	17,554
Total OI	1,439,573.636	1,353,191	1,688,214	1,353,191	1,441,256

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
2009-12-01	$41.00	$40.00	37.6%	10.8%	27.6%	0.0%	37.6%	27.2%	2.8%	1.2M	-211.5M	-7.2M	1.44	2.01	7,624	10,965	891,452	461,739
2009-12-02	$41.00	$40.00	39.3%	11.3%	27.2%	0.6%	39.4%	27.8%	1.0%	1.6M	-205.1M	-7.4M	0.78	2.43	11,099	8,630	894,752	466,716
2009-12-03	$40.50	$40.00	42.4%	12.2%	26.8%	1.7%	42.4%	-12.6%	-0.1%	1.3M	-156.2M	-7.2M	0.60	2.54	24,583	14,820	900,602	469,944
2009-12-04	$40.60	$50.00	40.7%	11.4%	25.6%	1.0%	39.5%	-7.0%	4.6%	965.3K	-184.8M	-7.1M	0.83	1.25	12,490	10,422	908,389	471,107
2009-12-07	$40.30	$50.00	41.1%	11.7%	25.8%	1.2%	41.2%	-6.7%	5.7%	-850.4K	-116.7M	-7.0M	1.09	1.22	12,982	14,158	909,561	474,753
2009-12-08	$39.10	$50.00	44.4%	12.6%	24.9%	2.3%	44.1%	15.1%	4.3%	-2.3M	37.7M	-6.6M	0.52	1.18	38,192	19,905	910,667	477,614
2009-12-09	$38.60	$50.00	47.1%	13.0%	25.2%	3.2%	45.5%	28.2%	2.0%	-656.2K	104.8M	-6.5M	0.55	0.98	27,532	15,085	928,657	479,661
2009-12-10	$38.70	$50.00	48.9%	14.0%	25.3%	3.9%	49.9%	14.4%	-0.3%	68.4K	13.7M	-6.9M	1.17	0.88	35,357	41,273	938,217	486,811
2009-12-11	$39.50	$50.00	46.9%	13.5%	25.4%	3.2%	47.0%	27.7%	1.2%	-650.4K	13.2M	-7.0M	0.60	0.97	13,510	8,091	949,031	503,214
2009-12-14	$37.00	$50.00	55.0%	15.8%	34.1%	6.0%	55.1%	11.2%	-4.2%	492.3K	220.6M	-6.4M	0.79	1.00	68,050	53,928	951,549	507,555
2009-12-15	$35.60	$50.00	62.5%	17.9%	33.3%	8.5%	62.5%	7.1%	-8.8%	3.3M	344.6M	-6.3M	0.60	1.06	95,127	56,822	978,184	526,593
2009-12-16	$34.50	$50.00	62.3%	17.9%	33.2%	8.4%	62.5%	11.6%	-4.7%	3.8M	423.8M	-6.1M	0.66	0.84	110,275	72,496	1,032,546	550,196
2009-12-17	$32.00	$40.00	84.4%	24.2%	39.3%	16.0%	65.3%	3.6%	-33.2%	3.0M	538.2M	-5.8M	0.59	0.62	130,706	77,613	1,072,585	583,449
2009-12-18	$34.00	$40.00	58.5%	16.8%	47.5%	7.2%	59.2%	35.5%	-3.3%	4.1M	273.9M	-7.0M	0.46	0.92	55,540	25,818	1,127,805	560,409
2009-12-21	$34.20	$40.00	53.9%	15.4%	47.9%	5.6%	53.7%	18.6%	-1.6%	5.5M	112.7M	-7.2M	0.46	0.66	27,181	12,368	935,177	432,008
2009-12-22	$33.40	$40.00	44.4%	12.7%	46.9%	2.3%	43.4%	5.5%	-4.8%	4.7M	141.0M	-6.9M	0.67	0.76	20,974	14,057	950,798	429,360
2009-12-23	$32.90	$40.00	46.3%	13.3%	46.8%	3.0%	48.9%	8.9%	-5.1%	4.6M	141.0M	-7.1M	0.50	0.80	27,252	13,533	955,902	432,537
2009-12-24	$33.50	$40.00	50.2%	14.4%	48.1%	4.3%	63.3%	17.6%	-2.2%	5.4M	109.9M	-7.3M	0.16	0.79	9,561	1,488	967,622	439,877
2009-12-28	$33.90	$40.00	37.0%	10.6%	48.3%	0.0%	44.9%	-18.0%	-5.4%	5.3M	78.0M	-7.2M	0.34	0.84	22,061	7,529	973,540	440,503
2009-12-29	$33.70	$40.00	55.3%	15.8%	47.7%	6.2%	56.5%	-6.5%	-10.1%	5.3M	144.9M	-7.0M	0.44	0.88	11,921	5,208	981,811	443,589
2009-12-30	$33.20	$40.00	51.2%	14.7%	47.7%	4.9%	43.5%	-13.5%	-12.5%	5.1M	163.8M	-6.9M	0.42	0.71	17,384	7,352	986,762	446,120
2009-12-31	$33.10	$40.00	51.3%	14.7%	47.6%	4.9%	41.6%	-17.3%	-14.9%	4.8M	204.3M	-6.6M	0.22	0.56	14,344	3,210	993,037	448,219