C Options History — January 2010

In January 2010, C traded between $31.50 and $36.50. ATM implied volatility averaged 48.4%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 3.6% (HV 20d: 44.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2010-01-07: Highest Volume — 90,796 contracts
2010-01-12: Largest IV drop — 19.5% change
2010-01-11: Highest IV Rank — 9.9%
2010-01-13: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.24	$31.50	$36.50	$34.00	$33.20
Max Pain	$34.74	$30.00	$40.00	$30.00	$30.00
ATM IV	48.4%	39.7%	65.9%	62.9%	39.8%
Expected Move	12.4%	11.4%	14.0%	12.6%	11.4%
HV 20d	44.7%	33.4%	53.6%	49.4%	39.5%
HV 60d	41.8%	39.2%	43.6%	42.1%	39.4%
IV Rank	3.9%	0.9%	9.9%	8.9%	1.0%
IV Percentile	13.4%	2.8%	31.7%	25.8%	3.2%
Term Structure	1.2%	-8.4%	9.8%	1.2%	9.8%
VWIV	42.4%	35.4%	46.7%	43.7%	35.4%
Skew 25d	-2.6%	-10.0%	1.8%	0.5%	-0.3%
Skew 10d	-0.7%	-15.6%	33.6%	13.5%	14.6%
Call IV 25d	46.2%	38.5%	53.5%	43.9%	47.1%
Put IV 25d	43.6%	39.0%	50.0%	44.5%	46.8%
Bid-Ask Spread %	2.01	1.33	2.82	1.79	1.95
Gamma HHI	0.28	0.25	0.31	0.29	0.26
Net GEX	8.0M	4.5M	11.6M	5.5M	6.7M
Net DEX	-43.5M	-265.9M	158.8M	158.8M	-89.9M
Net VEX	-8.1M	-8.7M	-7.0M	-7.0M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.21	0.65	0.21	0.58
Total Volume	53,260.579	21,996	90,796	44,435	28,749
Total OI	1,434,789.368	1,196,335	1,657,434	1,445,662	1,344,270

Daily Data (19 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
2010-01-04	$34.00	$30.00	62.9%	12.6%	49.4%	8.9%	43.7%	0.5%	1.2%	5.5M	158.8M	-7.0M	0.21	1.79	36,846	7,589	995,467	450,195
2010-01-05	$35.30	$30.00	58.0%	12.0%	51.9%	7.2%	43.1%	0.6%	5.5%	7.8M	18.5M	-7.8M	0.31	1.33	66,506	20,749	1,016,456	455,187
2010-01-06	$36.40	$30.00	53.5%	13.4%	53.6%	5.6%	46.7%	-3.5%	3.5%	10.0M	-147.4M	-8.5M	0.23	2.71	64,373	15,131	1,046,721	456,068
2010-01-07	$36.50	$30.00	55.6%	12.8%	52.9%	6.3%	44.4%	-1.6%	2.5%	11.4M	-166.4M	-8.7M	0.35	2.49	67,174	23,622	1,072,330	461,098
2010-01-08	$35.90	$40.00	58.6%	13.0%	53.0%	7.4%	45.6%	0.3%	0.8%	11.6M	-112.9M	-8.6M	0.42	1.56	48,946	20,634	1,102,731	467,440
2010-01-11	$36.30	$40.00	65.9%	12.7%	53.2%	9.9%	44.6%	-0.2%	2.3%	10.3M	-76.6M	-8.6M	0.46	1.62	27,511	12,603	1,116,454	475,364
2010-01-12	$35.20	$40.00	53.1%	12.6%	53.3%	5.5%	44.2%	1.1%	1.7%	9.2M	2.9M	-8.3M	0.26	1.65	46,727	12,295	1,128,857	480,864
2010-01-13	$35.00	$40.00	49.4%	14.0%	48.4%	4.2%	44.4%	-2.0%	-8.4%	9.3M	15.0M	-8.3M	0.45	1.80	22,113	9,995	1,143,614	484,288
2010-01-14	$35.10	$40.00	45.0%	12.9%	46.5%	2.7%	44.0%	-2.3%	0.1%	9.6M	-2.0M	-8.6M	0.32	1.98	30,502	9,610	1,151,991	489,168
2010-01-15	$34.20	$40.00	42.6%	12.2%	46.1%	1.9%	43.7%	-2.5%	-2.7%	7.9M	124.7M	-7.8M	0.30	2.63	42,595	12,850	1,164,943	492,491
2010-01-19	$35.40	$40.00	40.0%	11.5%	38.3%	1.0%	35.6%	1.8%	1.5%	10.5M	-265.9M	-8.4M	0.32	1.83	64,688	20,680	836,392	359,943
2010-01-20	$34.60	$40.00	42.6%	12.2%	33.4%	1.9%	40.9%	-0.1%	-3.9%	9.5M	-194.9M	-8.1M	0.56	1.51	30,709	17,234	866,173	369,040
2010-01-21	$32.70	$40.00	40.1%	11.5%	39.0%	1.0%	37.5%	-5.8%	-0.5%	6.4M	-38.4M	-7.7M	0.45	1.76	52,624	23,875	876,741	378,616
2010-01-22	$32.50	$30.00	42.9%	12.3%	38.2%	2.0%	42.9%	-3.9%	0.6%	6.3M	-35.1M	-7.8M	0.65	2.21	28,477	18,397	895,515	389,407
2010-01-25	$32.30	$30.00	39.7%	11.4%	37.9%	0.9%	39.8%	-8.7%	2.7%	5.6M	-30.0M	-8.0M	0.48	2.06	14,902	7,094	909,907	400,018
2010-01-26	$31.50	$30.00	41.4%	11.9%	38.1%	1.5%	41.4%	-10.0%	3.0%	4.5M	31.4M	-7.8M	0.52	2.33	33,036	17,329	912,146	401,380
2010-01-27	$32.00	$30.00	44.6%	12.8%	38.4%	2.6%	44.4%	-3.5%	2.3%	5.1M	6.9M	-8.0M	0.47	2.82	21,575	10,165	919,513	408,472
2010-01-28	$32.40	$30.00	43.1%	12.4%	38.7%	2.1%	42.4%	-9.3%	0.1%	5.6M	-25.4M	-8.1M	0.54	2.06	15,641	8,405	930,372	411,366
2010-01-29	$33.20	$30.00	39.8%	11.4%	39.5%	1.0%	35.4%	-0.3%	9.8%	6.7M	-89.9M	-8.4M	0.58	1.95	18,197	10,552	931,501	412,769