C Options History — March 2010

In March 2010, C traded between $33.90 and $43.10. ATM implied volatility averaged 39.0%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 2.7% (HV 20d: 41.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.50.

Notable Days

2010-03-12: Highest Volume — 214,028 contracts
2010-03-08: Largest IV spike — 39.1% change
2010-03-25: Highest IV Rank — 9.9%
2010-03-11: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.02	$33.90	$43.10	$33.90	$40.50
Max Pain	$38.70	$30.00	$40.00	$40.00	$40.00
ATM IV	39.0%	25.5%	46.3%	30.5%	35.3%
Expected Move	11.4%	8.7%	13.3%	8.7%	10.1%
HV 20d	41.8%	27.7%	49.2%	35.9%	49.2%
HV 60d	42.1%	39.9%	45.8%	41.5%	41.4%
IV Rank	6.1%	0.0%	9.9%	0.2%	5.3%
IV Percentile	10.2%	0.0%	25.8%	0.4%	2.4%
Term Structure	2.1%	-8.9%	18.9%	18.9%	3.3%
VWIV	39.3%	22.1%	47.4%	22.1%	35.3%
Skew 25d	-4.1%	-15.4%	17.4%	-0.7%	-13.2%
Skew 10d	-1.3%	-24.2%	55.5%	-1.5%	-17.9%
Call IV 25d	48.4%	29.6%	55.9%	43.9%	50.4%
Put IV 25d	44.3%	22.6%	66.3%	43.2%	37.3%
Bid-Ask Spread %	1.91	1.10	2.66	1.10	1.89
Gamma HHI	0.37	0.27	0.46	0.28	0.40
Net GEX	19.8M	7.0M	36.2M	7.0M	17.3M
Net DEX	-783.1M	-1.37B	-53.3M	-53.3M	-888.3M
Net VEX	-11.5M	-13.7M	-7.9M	-7.9M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.18	1.30	0.76	0.22
Total Volume	90,084.783	12,389	214,028	19,368	94,876
Total OI	1,531,970	1,403,563	1,738,750	1,403,563	1,586,212

Daily Data (23 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
2010-03-01	$33.90	$40.00	30.5%	8.7%	35.9%	0.2%	22.1%	-0.7%	18.9%	7.0M	-53.3M	-7.9M	0.76	1.10	11,007	8,361	973,248	430,315
2010-03-02	$34.00	$40.00	33.9%	9.7%	35.9%	1.3%	26.0%	-1.9%	15.4%	7.0M	-73.9M	-7.9M	0.65	2.02	7,523	4,866	974,620	431,596
2010-03-03	$34.00	$40.00	34.9%	10.0%	35.1%	1.7%	27.8%	-0.6%	15.1%	7.3M	-86.8M	-8.0M	0.85	1.41	9,022	7,624	976,500	429,876
2010-03-04	$34.30	$40.00	35.5%	10.2%	34.9%	1.9%	43.7%	-7.0%	-8.9%	7.7M	-127.6M	-8.3M	0.49	1.20	23,757	11,632	980,776	434,726
2010-03-05	$35.00	$30.00	25.5%	10.9%	27.7%	0.0%	38.1%	-1.1%	1.0%	9.1M	-149.5M	-8.3M	0.18	1.18	20,566	3,804	992,445	440,566
2010-03-08	$35.60	$30.00	35.5%	12.3%	28.0%	3.3%	43.3%	-0.2%	-4.2%	12.3M	-250.5M	-8.7M	0.58	1.23	45,870	26,735	1,001,998	442,124
2010-03-09	$38.20	$30.00	46.1%	12.9%	34.6%	7.0%	45.3%	-0.4%	-5.1%	22.0M	-631.7M	-10.3M	0.20	2.12	143,015	28,363	1,025,001	455,307
2010-03-10	$39.60	$40.00	43.3%	12.6%	35.8%	6.7%	43.8%	-0.8%	-0.5%	28.6M	-977.8M	-11.7M	0.34	2.26	147,430	50,159	1,067,325	465,301
2010-03-11	$41.80	$40.00	46.3%	13.3%	38.9%	9.4%	47.4%	0.3%	-1.9%	29.0M	-1.37B	-12.5M	0.34	1.94	150,991	50,843	1,089,579	480,497
2010-03-12	$39.70	$40.00	46.0%	13.2%	45.1%	9.5%	46.3%	-2.9%	-1.4%	24.7M	-952.4M	-12.4M	0.48	2.29	145,050	68,978	1,110,013	506,763
2010-03-15	$38.90	$40.00	45.6%	13.1%	45.9%	9.3%	45.7%	-2.5%	-1.3%	23.8M	-779.4M	-12.1M	0.55	2.10	44,976	24,681	1,156,058	530,172
2010-03-16	$40.50	$40.00	45.1%	12.9%	46.0%	9.0%	45.2%	0.9%	-1.3%	32.0M	-1.12B	-12.8M	0.44	1.98	51,304	22,550	1,165,476	531,433
2010-03-17	$40.50	$40.00	43.7%	12.5%	45.5%	9.8%	43.7%	-14.4%	0.2%	34.0M	-1.13B	-12.7M	0.41	2.35	57,616	23,691	1,169,530	537,472
2010-03-18	$40.20	$40.00	39.1%	11.2%	45.8%	7.3%	39.1%	-15.4%	4.0%	36.2M	-1.06B	-12.7M	1.30	2.36	32,460	42,080	1,170,467	542,205
2010-03-19	$39.00	$40.00	38.6%	11.1%	47.7%	7.1%	38.5%	2.6%	3.4%	18.1M	-604.5M	-12.1M	0.63	2.42	60,029	37,666	1,171,255	567,495
2010-03-22	$40.40	$40.00	37.1%	10.6%	48.7%	6.2%	37.2%	-0.5%	3.1%	19.0M	-930.5M	-12.6M	0.26	2.50	41,095	10,763	974,642	451,012
2010-03-23	$41.30	$40.00	35.6%	10.2%	46.6%	5.4%	35.7%	-11.6%	2.9%	20.4M	-1.05B	-12.9M	0.46	1.66	42,282	19,644	987,563	455,619
2010-03-24	$41.50	$40.00	39.6%	11.4%	46.1%	7.6%	39.7%	17.4%	0.6%	21.1M	-1.10B	-13.2M	0.91	2.66	37,294	33,850	999,738	461,896
2010-03-25	$42.70	$40.00	43.9%	12.6%	45.4%	9.9%	44.1%	-6.2%	-0.5%	20.8M	-1.27B	-13.7M	0.45	1.49	96,838	43,843	1,009,638	478,827
2010-03-26	$43.10	$40.00	39.9%	11.4%	45.3%	7.8%	40.2%	-8.8%	0.4%	20.4M	-1.26B	-13.6M	0.37	2.08	56,167	20,813	1,022,150	489,461
2010-03-29	$41.80	$40.00	40.6%	11.7%	47.5%	8.1%	40.9%	-15.1%	2.3%	18.9M	-1.13B	-13.4M	0.42	1.53	85,669	36,273	1,024,883	492,309
2010-03-30	$40.90	$40.00	35.9%	10.3%	48.8%	5.6%	35.9%	-11.9%	3.0%	17.6M	-1.01B	-13.2M	0.28	2.12	69,984	19,910	1,048,966	502,255
2010-03-31	$40.50	$40.00	35.3%	10.1%	49.2%	5.3%	35.3%	-13.2%	3.3%	17.3M	-888.3M	-13.4M	0.22	1.89	77,680	17,196	1,077,546	508,666