C Options History — April 2010

In April 2010, C traded between $41.80 and $49.70. ATM implied volatility averaged 45.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.9% (HV 20d: 46.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2010-04-15: Highest Volume — 341,418 contracts
2010-04-09: Largest IV spike — 35.3% change
2010-04-13: Highest IV Rank — 19.6%
2010-04-16: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.96	$41.80	$49.70	$41.80	$43.70
Max Pain	$44.76	$40.00	$50.00	$40.00	$50.00
ATM IV	45.5%	31.9%	61.8%	31.9%	46.5%
Expected Move	12.3%	9.2%	16.5%	9.2%	13.3%
HV 20d	46.4%	33.2%	56.7%	49.9%	56.7%
HV 60d	42.9%	40.5%	47.6%	41.2%	47.6%
IV Rank	11.4%	3.4%	19.6%	3.4%	12.6%
IV Percentile	26.2%	1.2%	50.4%	1.2%	36.5%
Term Structure	-0.6%	-7.4%	4.1%	4.1%	0.9%
VWIV	43.7%	31.9%	58.6%	31.9%	46.7%
Skew 25d	-1.6%	-16.6%	4.2%	-16.6%	-2.0%
Skew 10d	2.8%	-21.0%	59.1%	59.1%	-12.5%
Call IV 25d	47.1%	39.3%	61.7%	48.5%	49.2%
Put IV 25d	45.5%	31.9%	58.3%	31.9%	47.3%
Bid-Ask Spread %	2.01	1.41	2.80	1.69	1.44
Gamma HHI	0.49	0.42	0.65	0.42	0.46
Net GEX	33.8M	20.3M	51.2M	20.3M	29.6M
Net DEX	-1.94B	-2.64B	-1.14B	-1.14B	-1.53B
Net VEX	-17.5M	-21.1M	-13.8M	-13.8M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.17	0.64	0.28	0.41
Total Volume	134,652.524	31,055	341,418	55,736	74,406
Total OI	1,829,673.81	1,613,619	2,115,288	1,613,619	2,115,288

Daily Data (21 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
2010-04-01	$41.80	$40.00	31.9%	9.2%	49.9%	3.4%	31.9%	-16.6%	4.1%	20.3M	-1.14B	-13.8M	0.28	1.69	43,639	12,097	1,099,633	513,986
2010-04-05	$42.60	$40.00	37.0%	10.5%	49.8%	6.2%	39.7%	-1.7%	0.2%	22.8M	-1.32B	-14.0M	0.19	2.77	26,001	5,054	1,114,029	517,663
2010-04-06	$42.90	$40.00	37.5%	10.8%	49.8%	6.4%	39.8%	-1.7%	-0.4%	23.3M	-1.34B	-13.9M	0.26	2.59	33,834	8,957	1,117,616	517,889
2010-04-07	$43.60	$40.00	41.6%	11.2%	44.4%	8.7%	39.3%	-0.6%	-1.9%	24.5M	-1.46B	-14.3M	0.31	1.41	87,795	27,523	1,123,414	521,979
2010-04-08	$44.70	$40.00	38.4%	11.1%	43.6%	6.9%	40.5%	-2.6%	-1.5%	29.0M	-1.66B	-14.3M	0.20	1.48	69,378	14,185	1,123,414	521,979
2010-04-09	$45.50	$40.00	51.9%	12.0%	40.0%	14.2%	41.1%	-2.0%	-1.9%	32.1M	-1.88B	-15.5M	0.64	2.55	76,594	49,014	1,159,523	532,405
2010-04-12	$46.40	$40.00	55.5%	12.6%	34.4%	16.2%	44.4%	-1.5%	-2.8%	34.9M	-2.05B	-15.7M	0.19	2.67	81,276	15,076	1,166,023	540,573
2010-04-13	$46.20	$40.00	61.8%	12.5%	33.2%	19.6%	44.1%	-1.0%	-2.3%	34.7M	-2.03B	-15.7M	0.22	2.10	76,940	17,117	1,183,745	538,454
2010-04-14	$49.30	$40.00	53.3%	13.0%	37.2%	15.0%	45.8%	-1.0%	-2.7%	51.2M	-2.62B	-16.7M	0.17	1.70	201,765	34,631	1,187,232	543,686
2010-04-15	$48.10	$40.00	49.9%	14.3%	39.0%	13.7%	51.2%	-2.1%	-2.4%	42.8M	-2.42B	-17.3M	0.34	2.11	255,467	85,951	1,215,157	555,987
2010-04-16	$45.60	$50.00	57.6%	16.5%	44.6%	19.2%	58.6%	-3.4%	-7.4%	28.1M	-1.96B	-17.6M	0.35	2.80	229,273	80,963	1,286,314	594,528
2010-04-19	$48.80	$40.00	46.6%	13.4%	47.4%	12.7%	47.5%	0.1%	-1.7%	37.8M	-2.42B	-19.1M	0.33	1.84	199,382	66,302	1,260,966	541,603
2010-04-20	$49.70	$50.00	39.8%	11.4%	46.6%	8.6%	40.0%	-0.3%	1.8%	43.5M	-2.64B	-19.5M	0.31	1.85	135,631	41,545	1,300,098	564,186
2010-04-21	$49.30	$50.00	39.5%	11.3%	46.8%	8.4%	39.8%	0.7%	1.7%	43.1M	-2.56B	-19.8M	0.34	2.01	118,452	39,879	1,329,407	576,788
2010-04-22	$48.70	$50.00	39.9%	11.4%	47.4%	8.6%	40.8%	2.0%	1.0%	43.2M	-2.46B	-20.1M	0.35	1.89	57,359	20,128	1,356,443	588,599
2010-04-23	$48.60	$50.00	38.5%	11.0%	46.9%	7.8%	38.7%	2.0%	3.1%	43.6M	-2.44B	-20.6M	0.64	2.12	39,071	25,095	1,370,187	593,778
2010-04-26	$46.10	$50.00	44.1%	12.6%	51.4%	11.2%	44.6%	4.2%	2.0%	35.4M	-1.95B	-20.0M	0.34	1.52	100,813	33,848	1,379,217	601,842
2010-04-27	$43.40	$50.00	50.3%	14.4%	54.9%	14.8%	51.5%	-1.5%	-0.6%	26.5M	-1.42B	-18.9M	0.41	1.88	116,096	47,593	1,395,900	616,038
2010-04-28	$44.50	$50.00	47.1%	13.5%	54.8%	13.0%	48.0%	-0.7%	-0.1%	29.6M	-1.56B	-20.0M	0.41	1.82	79,785	32,836	1,421,673	631,617
2010-04-29	$45.60	$50.00	45.5%	13.1%	55.0%	12.0%	43.1%	-3.3%	-0.8%	34.7M	-1.90B	-21.1M	0.26	2.01	53,026	13,926	1,457,504	646,787
2010-04-30	$43.70	$50.00	46.5%	13.3%	56.7%	12.6%	46.7%	-2.0%	0.9%	29.6M	-1.53B	-20.1M	0.41	1.44	52,797	21,609	1,466,430	648,858