C Options History — February 2010

In February 2010, C traded between $31.50 and $34.60. ATM implied volatility averaged 44.4%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.9% (HV 20d: 38.5%). 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 7 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2010-02-17: Highest Volume — 52,960 contracts
2010-02-25: Largest IV spike — 53.1% change
2010-02-05: Highest IV Rank — 5.6%
2010-02-08: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.19	$31.50	$34.60	$33.40	$34.00
Max Pain	$37.89	$30.00	$40.00	$30.00	$40.00
ATM IV	44.4%	29.9%	53.4%	41.6%	42.9%
Expected Move	12.6%	8.6%	14.0%	11.9%	12.3%
HV 20d	38.5%	34.5%	41.5%	39.5%	36.8%
HV 60d	40.6%	39.2%	41.7%	39.3%	41.5%
IV Rank	3.0%	0.0%	5.6%	1.6%	4.3%
IV Percentile	15.0%	0.0%	25.0%	7.9%	12.7%
Term Structure	1.2%	-8.1%	22.8%	5.7%	-0.3%
VWIV	42.8%	22.7%	48.5%	38.3%	39.8%
Skew 25d	2.3%	-5.4%	21.4%	15.9%	1.5%
Skew 10d	6.7%	-9.8%	30.2%	29.5%	0.2%
Call IV 25d	42.8%	28.1%	51.2%	28.4%	44.9%
Put IV 25d	45.0%	39.8%	54.7%	44.4%	46.3%
Bid-Ask Spread %	1.68	1.03	2.18	1.67	1.03
Gamma HHI	0.27	0.25	0.29	0.26	0.27
Net GEX	5.9M	3.0M	8.4M	6.7M	7.1M
Net DEX	-71.5M	-185.8M	46.7M	-113.7M	-115.4M
Net VEX	-8.3M	-8.8M	-7.8M	-8.5M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.17	1.70	0.36	0.42
Total Volume	23,591.842	12,603	52,960	16,707	14,095
Total OI	1,385,207.737	1,351,570	1,435,477	1,351,570	1,401,194

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
2010-02-01	$33.40	$30.00	41.6%	11.9%	39.5%	1.6%	38.3%	15.9%	5.7%	6.7M	-113.7M	-8.5M	0.36	1.67	12,268	4,439	935,642	415,928
2010-02-02	$34.10	$30.00	48.3%	13.8%	39.0%	3.8%	44.1%	21.4%	0.9%	7.9M	-132.4M	-8.4M	0.39	1.42	17,633	6,804	937,408	415,397
2010-02-03	$33.70	$30.00	44.5%	12.7%	36.6%	2.6%	44.5%	9.3%	-3.5%	7.5M	-148.4M	-8.6M	0.18	1.91	11,356	2,046	939,169	415,455
2010-02-04	$31.80	$30.00	46.2%	13.3%	39.4%	3.2%	45.9%	8.5%	2.7%	4.8M	-21.3M	-8.2M	1.17	1.99	14,242	16,661	940,750	415,610
2010-02-05	$32.20	$40.00	53.4%	13.9%	39.9%	5.6%	48.5%	-0.9%	-0.3%	5.0M	-14.0M	-8.2M	1.37	1.90	16,117	22,114	943,604	421,791
2010-02-08	$31.50	$40.00	53.1%	14.0%	40.1%	5.5%	47.7%	-4.8%	-2.2%	4.3M	-4.9M	-8.2M	1.06	1.82	6,124	6,479	950,122	420,683
2010-02-09	$31.80	$40.00	48.9%	13.6%	40.0%	4.1%	48.1%	-4.9%	-1.3%	3.7M	19.0M	-8.1M	1.22	1.93	11,613	14,205	951,985	423,182
2010-02-10	$32.00	$40.00	41.0%	13.0%	39.2%	1.4%	39.2%	4.1%	0.7%	3.0M	13.7M	-8.1M	1.59	2.11	12,349	19,682	954,340	427,309
2010-02-11	$32.10	$40.00	45.9%	13.2%	39.3%	3.0%	45.9%	-0.4%	-1.0%	3.3M	39.9M	-7.9M	0.89	1.34	7,133	6,317	961,118	436,844
2010-02-12	$31.80	$40.00	43.5%	12.5%	39.3%	2.2%	43.3%	-2.8%	1.6%	3.0M	46.7M	-7.8M	1.70	1.74	5,997	10,207	963,019	438,112
2010-02-16	$33.10	$40.00	44.1%	12.6%	41.5%	2.4%	44.0%	0.1%	-0.4%	4.6M	-40.0M	-8.2M	0.58	2.18	10,465	6,050	964,167	442,463
2010-02-17	$34.10	$40.00	46.4%	13.3%	41.0%	3.2%	48.0%	-4.5%	-5.6%	6.8M	-124.6M	-8.2M	0.21	1.30	43,912	9,048	966,200	444,854
2010-02-18	$34.30	$40.00	48.5%	13.9%	40.3%	3.9%	47.1%	-2.8%	-8.1%	8.2M	-185.8M	-8.8M	0.37	1.18	15,439	5,721	989,703	445,747
2010-02-19	$34.20	$40.00	44.0%	12.6%	34.5%	2.4%	45.9%	-3.2%	-5.2%	7.4M	-132.2M	-8.5M	0.17	1.13	23,848	4,147	987,520	447,957
2010-02-22	$34.60	$40.00	32.4%	9.3%	34.5%	0.0%	30.2%	11.2%	22.0%	8.3M	-135.6M	-8.3M	0.54	1.93	19,546	10,580	947,410	419,629
2010-02-23	$33.50	$40.00	42.4%	12.2%	36.6%	3.4%	45.1%	-5.4%	-2.3%	5.9M	-61.7M	-8.1M	0.56	1.81	16,180	9,093	954,710	421,039
2010-02-24	$34.50	$40.00	29.9%	8.6%	36.4%	0.0%	22.7%	4.7%	22.8%	8.4M	-148.5M	-8.5M	0.54	1.73	11,861	6,416	963,690	422,504
2010-02-25	$33.90	$40.00	45.8%	13.1%	37.0%	5.3%	45.4%	-3.7%	-3.6%	7.0M	-99.9M	-8.3M	0.42	1.82	12,687	5,371	966,912	425,780
2010-02-26	$34.00	$40.00	42.9%	12.3%	36.8%	4.3%	39.8%	1.5%	-0.3%	7.1M	-115.4M	-8.4M	0.42	1.03	9,914	4,181	972,564	428,630