C Options History — May 2010

In May 2010, C traded between $36.30 and $44.10. ATM implied volatility averaged 49.7%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.0% (HV 20d: 51.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-05-26: Highest Volume — 138,765 contracts
  • 2010-05-06: Largest IV spike — 24.4% change
  • 2010-05-20: Highest IV Rank — 36.1%
  • 2010-05-20: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.86$36.30$44.10$44.10$39.60
Max Pain$42.00$40.00$50.00$50.00$40.00
ATM IV49.7%36.4%64.5%44.0%39.6%
Expected Move14.5%11.3%18.5%12.6%11.3%
HV 20d51.7%44.3%60.6%56.4%44.6%
HV 60d48.5%45.8%50.7%45.8%50.7%
IV Rank19.2%6.5%36.1%11.1%13.0%
IV Percentile39.7%4.8%64.7%27.0%11.1%
Term Structure1.3%-3.1%6.3%1.6%6.3%
VWIV51.0%39.6%67.4%45.1%39.6%
Skew 25d4.6%-12.3%36.6%-4.5%-12.3%
Skew 10d7.4%-19.8%62.9%14.2%-19.8%
Call IV 25d55.0%46.8%67.4%48.9%49.0%
Put IV 25d59.6%36.6%86.0%44.4%36.6%
Bid-Ask Spread %2.301.544.051.982.43
Gamma HHI0.350.280.460.460.30
Net GEX18.9M13.2M30.0M30.0M25.0M
Net DEX-832.9M-1.54B-279.2M-1.54B-965.4M
Net VEX-18.4M-19.9M-16.9M-19.9M-18.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.271.060.270.64
Total Volume92,929.242,391138,76583,39476,286
Total OI2,215,300.652,107,1452,308,9372,122,4692,279,092

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$44.10$50.0044.0%12.6%56.4%11.1%45.1%-4.5%1.6%30.0M-1.54B-19.9M0.271.9865,49117,9031,470,219652,250
2010-05-04$42.60$50.0047.6%13.7%57.8%13.3%47.5%-5.1%0.2%24.3M-1.25B-19.6M0.401.5460,70824,2251,480,928657,015
2010-05-05$41.80$50.0048.8%14.0%57.8%14.0%48.8%-9.7%2.1%21.6M-1.11B-19.5M0.711.8560,23542,5641,490,398664,525
2010-05-06$40.40$50.0060.7%17.4%57.9%21.1%60.8%17.1%-1.8%18.6M-938.0M-19.4M0.724.0572,35051,7651,509,221669,761
2010-05-07$40.00$40.0055.6%16.8%57.3%18.1%59.4%8.0%-0.8%16.7M-812.4M-18.9M0.552.4163,48035,1421,518,437677,970
2010-05-10$42.20$40.0051.7%14.7%60.5%15.7%51.7%4.3%0.5%21.6M-1.17B-19.8M0.602.0565,95439,2771,516,120685,072
2010-05-11$41.70$40.0043.5%14.0%60.6%10.8%49.7%5.0%2.5%20.7M-1.11B-19.8M0.681.9336,09824,5441,539,844687,407
2010-05-12$41.80$40.0036.4%12.9%54.8%6.5%45.0%2.5%3.3%19.3M-1.09B-19.1M0.382.6930,70811,6831,546,728679,974
2010-05-13$40.90$40.0040.8%11.7%54.7%9.2%40.8%1.4%4.3%15.4M-861.5M-18.4M0.602.5132,48319,4861,542,107678,105
2010-05-14$39.80$40.0048.0%13.8%52.6%20.8%48.4%3.8%1.7%14.0M-715.4M-18.2M0.601.7072,46443,6951,552,195685,016
2010-05-17$38.60$40.0048.7%14.0%45.1%21.5%48.8%6.8%1.6%13.2M-468.3M-17.5M0.431.9367,34829,2891,567,705697,238
2010-05-18$37.30$40.0053.3%15.3%44.3%25.7%53.5%5.2%-0.3%13.5M-291.8M-16.9M0.411.8662,02225,6211,591,534700,738
2010-05-19$38.10$40.0053.9%15.4%46.1%26.3%55.2%7.8%-0.4%14.9M-491.6M-17.5M0.562.1245,40525,3431,596,670700,779
2010-05-20$36.30$40.0064.5%18.5%47.7%36.1%67.4%5.0%-3.1%14.2M-279.2M-17.2M1.062.1155,75659,3291,603,270698,245
2010-05-21$37.50$40.0060.0%17.2%50.5%32.0%60.2%4.2%0.0%15.9M-435.9M-17.7M0.702.1775,67853,0451,607,918701,019
2010-05-24$37.80$40.0053.7%15.4%48.7%26.1%54.6%1.6%0.7%16.9M-674.0M-17.5M0.632.5463,08339,7071,467,018640,127
2010-05-25$37.80$40.0052.1%14.9%45.0%24.7%52.4%5.5%1.9%17.1M-695.3M-17.6M0.482.9736,27117,5261,492,947660,060
2010-05-26$38.60$40.0048.9%14.0%44.6%21.7%49.0%9.1%2.4%19.4M-775.4M-17.7M0.352.50103,14235,6231,504,150665,020
2010-05-27$40.20$40.0042.3%12.1%46.4%15.5%42.2%36.6%3.7%25.2M-983.8M-18.2M0.422.5982,91334,9421,554,764674,427
2010-05-28$39.60$40.0039.6%11.3%44.6%13.0%39.6%-12.3%6.3%25.0M-965.4M-18.5M0.642.4346,53629,7501,587,847691,245