C Options History — July 2010

In July 2010, C traded between $37.80 and $43.00. ATM implied volatility averaged 40.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.9% (HV 20d: 42.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.39.

Notable Days

2010-07-16: Highest Volume — 104,938 contracts
2010-07-06: Largest IV spike — 74.6% change
2010-07-14: Highest IV Rank — 43.3%
2010-07-14: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.28	$37.80	$43.00	$37.80	$41.00
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	40.1%	27.0%	68.9%	48.0%	27.0%
Expected Move	10.5%	8.2%	13.0%	12.9%	8.2%
HV 20d	42.9%	37.3%	49.0%	44.4%	39.7%
HV 60d	45.4%	42.5%	48.5%	48.5%	42.5%
IV Rank	16.2%	2.3%	43.3%	20.8%	2.3%
IV Percentile	21.7%	0.4%	85.7%	49.6%	0.4%
Term Structure	2.1%	-2.2%	5.6%	-1.1%	4.9%
VWIV	36.8%	28.8%	45.3%	44.9%	28.8%
Skew 25d	10.5%	-9.9%	36.8%	20.0%	36.8%
Skew 10d	23.2%	-13.4%	84.5%	30.2%	84.5%
Call IV 25d	40.2%	24.6%	46.5%	43.7%	26.0%
Put IV 25d	50.7%	33.3%	65.0%	63.7%	62.8%
Bid-Ask Spread %	2.14	1.51	2.74	1.72	1.91
Gamma HHI	0.38	0.30	0.49	0.30	0.46
Net GEX	25.7M	19.7M	33.8M	19.7M	25.2M
Net DEX	-984.4M	-1.62B	-611.4M	-671.1M	-1.01B
Net VEX	-17.7M	-19.2M	-16.8M	-17.4M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.21	0.75	0.39	0.39
Total Volume	49,211.762	13,787	104,938	53,424	13,787
Total OI	2,114,314.381	2,058,516	2,165,329	2,080,267	2,135,483

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
2010-07-01	$37.80	$40.00	48.0%	12.9%	44.4%	20.8%	44.9%	20.0%	-1.1%	19.7M	-671.1M	-17.4M	0.39	1.72	38,364	15,060	1,456,940	623,327
2010-07-02	$37.90	$40.00	31.7%	12.1%	41.6%	5.7%	42.2%	22.9%	-0.1%	21.1M	-663.7M	-17.2M	0.41	2.16	14,152	5,822	1,468,494	628,494
2010-07-06	$37.90	$40.00	55.4%	12.1%	38.8%	27.7%	42.7%	3.7%	0.1%	21.5M	-611.4M	-16.8M	0.25	2.41	23,551	5,929	1,469,909	630,833
2010-07-07	$39.00	$40.00	42.5%	10.7%	39.4%	15.7%	37.7%	7.0%	0.6%	26.6M	-712.3M	-16.8M	0.23	2.04	28,714	6,680	1,476,658	631,772
2010-07-08	$39.70	$40.00	39.7%	10.9%	37.3%	13.2%	38.1%	5.2%	1.0%	30.6M	-917.3M	-17.6M	0.25	2.01	41,777	10,572	1,481,345	631,794
2010-07-09	$40.40	$40.00	39.4%	10.6%	37.7%	12.9%	37.2%	6.1%	2.7%	32.2M	-1.08B	-18.1M	0.39	1.89	42,489	16,498	1,491,310	632,743
2010-07-12	$41.10	$40.00	48.9%	11.5%	38.0%	21.7%	40.4%	4.8%	-0.0%	33.8M	-1.25B	-18.3M	0.25	1.94	41,251	10,115	1,498,427	632,723
2010-07-13	$43.00	$40.00	68.9%	11.8%	40.8%	40.2%	41.1%	3.6%	1.2%	32.5M	-1.62B	-19.2M	0.21	2.45	76,025	16,208	1,499,671	634,145
2010-07-14	$42.10	$40.00	65.9%	13.0%	40.9%	43.3%	45.3%	4.3%	-2.2%	32.1M	-1.52B	-19.1M	0.37	1.99	40,438	14,986	1,510,320	636,525
2010-07-15	$41.60	$40.00	41.6%	11.9%	41.2%	18.8%	41.8%	5.7%	-0.5%	32.3M	-1.32B	-18.4M	0.75	2.34	48,855	36,762	1,515,404	638,687
2010-07-16	$39.00	$40.00	38.8%	11.1%	47.5%	17.0%	38.8%	4.4%	1.8%	20.0M	-689.2M	-17.2M	0.47	2.25	71,439	33,499	1,519,336	645,993
2010-07-19	$39.80	$40.00	35.4%	10.2%	47.9%	15.8%	35.5%	9.5%	3.7%	21.9M	-861.9M	-17.5M	0.28	2.69	65,883	18,677	1,442,070	616,446
2010-07-20	$39.90	$40.00	33.9%	9.7%	47.9%	13.3%	33.9%	5.9%	5.6%	22.2M	-871.6M	-17.7M	0.57	2.72	24,905	14,085	1,447,236	622,727
2010-07-21	$39.40	$40.00	32.1%	9.2%	47.5%	10.5%	32.1%	6.4%	5.1%	20.7M	-781.2M	-17.2M	0.57	2.74	22,833	13,071	1,456,200	627,297
2010-07-22	$40.90	$40.00	31.7%	9.1%	49.0%	9.8%	31.7%	25.0%	4.5%	24.6M	-994.0M	-17.8M	0.29	2.41	43,279	12,548	1,461,259	630,526
2010-07-23	$40.20	$40.00	30.9%	8.8%	48.2%	8.5%	30.8%	20.0%	3.9%	22.3M	-884.9M	-17.4M	0.28	2.59	28,855	7,980	1,470,195	634,860
2010-07-26	$41.50	$40.00	30.7%	8.8%	47.3%	8.2%	30.7%	27.6%	4.2%	25.6M	-1.10B	-17.5M	0.22	1.68	27,644	6,011	1,480,645	635,786
2010-07-27	$41.60	$40.00	33.9%	9.7%	47.1%	13.3%	33.9%	-7.2%	3.3%	26.5M	-1.17B	-17.8M	0.53	1.51	23,608	12,513	1,486,012	638,157
2010-07-28	$40.90	$40.00	32.7%	9.4%	39.5%	11.4%	32.8%	-9.9%	3.0%	23.9M	-959.9M	-17.5M	0.57	1.87	15,447	8,879	1,489,479	641,737
2010-07-29	$41.20	$40.00	32.6%	9.3%	39.5%	11.2%	32.5%	19.5%	3.2%	25.0M	-989.4M	-17.2M	0.48	1.70	23,094	11,162	1,489,111	640,526
2010-07-30	$41.00	$40.00	27.0%	8.2%	39.7%	2.3%	28.8%	36.8%	4.9%	25.2M	-1.01B	-17.3M	0.39	1.91	9,939	3,848	1,491,586	643,897