C Options History — June 2010

In June 2010, C traded between $36.40 and $40.20. ATM implied volatility averaged 42.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 0.2% (HV 20d: 42.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.45.

Notable Days

2010-06-18: Highest Volume — 117,709 contracts
2010-06-29: Largest IV spike — 104.0% change
2010-06-29: Highest IV Rank — 38.6%
2010-06-07: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.83	$36.40	$40.20	$38.50	$37.60
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	42.8%	32.9%	67.1%	44.5%	61.9%
Expected Move	12.1%	9.4%	14.7%	12.8%	13.1%
HV 20d	42.6%	36.5%	47.3%	45.0%	44.6%
HV 60d	47.7%	46.1%	50.9%	50.9%	48.6%
IV Rank	16.0%	6.8%	38.6%	17.6%	33.8%
IV Percentile	25.1%	2.0%	79.8%	32.1%	69.8%
Term Structure	1.8%	-1.3%	4.1%	3.5%	-0.5%
VWIV	42.4%	32.9%	53.0%	44.4%	45.8%
Skew 25d	7.4%	-3.6%	42.9%	-2.4%	11.3%
Skew 10d	9.4%	-7.1%	69.5%	-0.4%	-0.3%
Call IV 25d	47.0%	36.4%	54.5%	40.6%	50.6%
Put IV 25d	54.4%	38.1%	91.8%	38.1%	61.9%
Bid-Ask Spread %	2.33	1.44	3.04	2.12	1.47
Gamma HHI	0.32	0.27	0.46	0.28	0.30
Net GEX	26.2M	17.3M	55.3M	22.3M	19.8M
Net DEX	-760.9M	-1.01B	-375.6M	-742.4M	-634.2M
Net VEX	-17.9M	-18.6M	-16.9M	-18.1M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.22	0.82	0.36	0.29
Total Volume	52,818.409	29,571	117,709	57,452	33,821
Total OI	2,251,527.273	1,954,499	2,424,666	2,311,229	2,072,435

Daily Data (22 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
2010-06-01	$38.50	$40.00	44.5%	12.8%	45.0%	17.6%	44.4%	-2.4%	3.5%	22.3M	-742.4M	-18.1M	0.36	2.12	42,178	15,274	1,604,618	706,611
2010-06-02	$39.20	$40.00	40.1%	11.5%	44.5%	13.5%	40.1%	1.7%	3.3%	24.6M	-838.0M	-18.2M	0.56	2.32	27,340	15,299	1,610,452	711,565
2010-06-03	$39.60	$40.00	40.3%	11.6%	44.5%	13.7%	40.3%	3.1%	1.8%	25.3M	-878.4M	-18.5M	0.50	2.55	32,421	16,250	1,617,704	717,051
2010-06-04	$37.90	$40.00	45.4%	14.1%	45.5%	18.4%	49.5%	-3.6%	-1.1%	21.0M	-599.5M	-18.1M	0.46	2.28	31,699	14,698	1,626,685	718,595
2010-06-07	$36.40	$40.00	47.5%	14.7%	47.3%	20.4%	53.0%	3.8%	-1.3%	17.3M	-375.6M	-17.0M	0.50	2.67	42,252	21,163	1,633,299	722,216
2010-06-08	$37.20	$40.00	42.4%	13.7%	43.3%	15.7%	49.0%	3.0%	1.7%	20.1M	-438.2M	-17.3M	0.54	2.70	29,273	15,668	1,643,883	728,672
2010-06-09	$38.70	$40.00	44.6%	13.3%	46.2%	17.7%	46.2%	1.9%	2.0%	23.7M	-676.9M	-18.3M	0.41	3.04	33,164	13,477	1,669,587	734,760
2010-06-10	$39.00	$40.00	46.2%	13.2%	46.3%	19.1%	46.3%	3.7%	1.8%	25.8M	-753.0M	-18.4M	0.31	2.48	41,697	13,077	1,672,242	735,282
2010-06-11	$38.80	$40.00	44.5%	12.8%	45.8%	17.6%	44.6%	-0.4%	1.7%	26.4M	-696.1M	-18.2M	0.43	2.37	23,779	10,214	1,664,152	734,986
2010-06-14	$38.80	$40.00	43.4%	12.4%	44.9%	16.6%	43.6%	0.4%	1.3%	28.4M	-696.6M	-18.0M	0.43	2.58	23,068	9,866	1,668,660	735,340
2010-06-15	$39.90	$40.00	43.4%	12.4%	44.6%	16.6%	43.5%	2.2%	0.7%	32.6M	-917.8M	-18.2M	0.33	2.37	44,895	14,732	1,673,484	738,757
2010-06-16	$39.90	$40.00	43.0%	12.3%	42.6%	16.2%	43.0%	6.2%	1.9%	37.4M	-923.7M	-18.4M	0.35	2.19	43,491	15,235	1,680,910	739,000
2010-06-17	$39.60	$40.00	41.6%	11.9%	42.2%	14.9%	41.6%	5.7%	2.8%	38.1M	-806.5M	-18.2M	0.45	2.63	57,861	25,973	1,684,302	740,364
2010-06-18	$40.10	$40.00	38.8%	11.1%	37.9%	12.3%	38.8%	33.3%	4.1%	55.3M	-1.01B	-18.2M	0.61	2.36	73,020	44,689	1,684,165	737,956
2010-06-21	$40.20	$40.00	34.9%	10.0%	36.5%	8.7%	35.0%	6.2%	3.6%	23.6M	-965.7M	-17.9M	0.37	2.39	31,785	11,679	1,385,326	569,173
2010-06-22	$39.40	$40.00	35.8%	10.3%	37.4%	9.5%	36.0%	6.6%	0.4%	23.0M	-883.6M	-17.7M	0.22	2.56	32,217	6,974	1,399,370	576,618
2010-06-23	$38.90	$40.00	32.9%	9.4%	37.7%	6.8%	32.9%	9.5%	4.1%	23.5M	-798.3M	-17.5M	0.82	1.72	27,073	22,208	1,417,323	580,196
2010-06-24	$37.80	$40.00	37.5%	10.8%	38.4%	11.1%	37.6%	10.6%	2.2%	20.0M	-611.5M	-16.9M	0.59	1.44	43,017	25,552	1,426,648	593,974
2010-06-25	$39.40	$40.00	33.2%	10.9%	38.6%	7.1%	38.2%	7.5%	2.5%	23.7M	-889.2M	-18.3M	0.32	2.41	40,100	12,928	1,442,775	609,981
2010-06-28	$40.00	$40.00	32.9%	10.2%	38.6%	6.8%	35.6%	42.9%	2.3%	25.7M	-984.7M	-18.6M	0.39	2.93	21,335	8,236	1,445,792	616,160
2010-06-29	$37.30	$40.00	67.1%	13.8%	45.0%	38.6%	48.8%	8.8%	0.1%	18.8M	-624.0M	-17.3M	0.57	1.80	33,879	19,448	1,448,102	614,429
2010-06-30	$37.60	$40.00	61.9%	13.1%	44.6%	33.8%	45.8%	11.3%	-0.5%	19.8M	-634.2M	-17.2M	0.29	1.47	26,167	7,654	1,452,644	619,791