C Options History — August 2010

In August 2010, C traded between $36.60 and $41.90. ATM implied volatility averaged 31.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.3% (HV 20d: 29.8%). 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 22 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2010-08-25: Highest Volume — 72,605 contracts
2010-08-04: Largest IV drop — 38.0% change
2010-08-31: Highest IV Rank — 20.2%
2010-08-11: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.80	$36.60	$41.90	$41.90	$37.10
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	31.1%	22.0%	35.5%	33.6%	35.4%
Expected Move	9.0%	7.5%	10.3%	8.6%	8.6%
HV 20d	29.8%	19.3%	40.7%	40.2%	22.0%
HV 60d	38.7%	34.9%	42.2%	42.1%	34.9%
IV Rank	13.4%	0.0%	20.2%	12.9%	20.2%
IV Percentile	6.6%	0.0%	16.7%	6.3%	16.7%
Term Structure	4.9%	0.8%	8.3%	4.4%	6.1%
VWIV	31.6%	26.0%	36.0%	30.1%	31.4%
Skew 25d	16.6%	-2.4%	73.8%	4.2%	1.3%
Skew 10d	35.3%	-3.8%	94.2%	77.9%	-1.2%
Call IV 25d	30.8%	25.8%	36.7%	25.8%	29.0%
Put IV 25d	47.5%	28.8%	101.7%	30.0%	30.3%
Bid-Ask Spread %	1.92	1.37	3.16	1.64	2.36
Gamma HHI	0.44	0.37	0.56	0.49	0.37
Net GEX	19.5M	13.6M	27.5M	27.5M	16.3M
Net DEX	-494.4M	-1.15B	-102.7M	-1.15B	-117.3M
Net VEX	-15.4M	-17.1M	-14.0M	-17.1M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.21	0.86	0.43	0.60
Total Volume	36,216.727	14,369	72,605	24,524	30,280
Total OI	2,189,934.091	2,136,591	2,264,319	2,136,591	2,264,319

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
2010-08-02	$41.90	$40.00	33.6%	8.6%	40.2%	12.9%	30.1%	4.2%	4.4%	27.5M	-1.15B	-17.1M	0.43	1.64	17,093	7,431	1,493,118	643,473
2010-08-03	$41.30	$40.00	35.5%	8.6%	40.7%	15.9%	29.9%	24.9%	3.6%	25.9M	-1.03B	-16.9M	0.86	1.85	7,727	6,642	1,493,699	643,037
2010-08-04	$41.40	$40.00	22.0%	7.8%	39.7%	0.0%	27.3%	13.2%	4.7%	25.6M	-1.00B	-16.8M	0.21	1.81	16,908	3,583	1,495,403	645,780
2010-08-05	$41.00	$40.00	25.3%	7.5%	39.5%	4.9%	26.0%	31.6%	4.0%	25.4M	-885.8M	-16.4M	0.23	2.13	25,319	5,745	1,499,789	646,468
2010-08-06	$40.60	$40.00	27.0%	8.6%	39.3%	7.6%	30.0%	23.9%	7.3%	25.3M	-851.9M	-16.5M	0.42	3.16	25,550	10,668	1,507,879	647,990
2010-08-09	$40.80	$40.00	22.7%	8.9%	38.8%	1.0%	31.2%	5.0%	6.7%	25.6M	-892.3M	-16.2M	0.45	2.07	13,241	5,984	1,506,788	649,711
2010-08-10	$40.00	$40.00	27.2%	8.7%	35.4%	7.9%	30.4%	5.3%	8.3%	24.1M	-772.5M	-16.3M	0.70	2.35	12,746	8,968	1,503,720	649,123
2010-08-11	$38.50	$40.00	33.5%	10.3%	37.0%	17.4%	36.0%	14.5%	4.5%	19.1M	-492.3M	-15.6M	0.65	2.30	34,984	22,732	1,506,800	650,204
2010-08-12	$38.70	$40.00	34.8%	10.0%	37.0%	19.3%	34.8%	15.5%	4.9%	20.6M	-504.2M	-15.6M	0.68	2.08	24,444	16,718	1,510,504	658,732
2010-08-13	$38.80	$40.00	34.4%	9.9%	29.2%	18.7%	34.3%	16.1%	5.6%	20.7M	-499.2M	-15.9M	0.38	2.72	16,466	6,225	1,516,699	667,593
2010-08-16	$38.70	$40.00	32.0%	9.2%	28.2%	15.1%	32.1%	16.4%	6.4%	21.3M	-437.0M	-15.5M	0.85	1.42	18,660	15,813	1,521,936	667,598
2010-08-17	$38.50	$40.00	31.9%	9.2%	28.2%	15.0%	32.1%	16.2%	5.8%	20.1M	-404.7M	-15.5M	0.27	1.61	19,419	5,324	1,528,850	674,712
2010-08-18	$38.60	$40.00	28.3%	8.1%	27.9%	9.5%	28.3%	18.2%	7.2%	15.7M	-298.0M	-14.2M	0.35	1.66	41,459	14,594	1,534,426	674,747
2010-08-19	$37.90	$40.00	34.7%	9.9%	24.6%	19.1%	34.7%	14.4%	3.3%	14.6M	-287.1M	-15.0M	0.63	1.54	35,950	22,519	1,542,499	677,567
2010-08-20	$37.50	$40.00	33.9%	9.7%	24.2%	17.9%	34.1%	13.2%	3.3%	13.7M	-185.8M	-14.7M	0.58	1.86	26,733	15,398	1,558,200	692,407
2010-08-23	$37.50	$40.00	31.8%	9.1%	20.4%	14.7%	32.6%	16.6%	4.2%	14.5M	-269.0M	-14.7M	0.34	1.38	34,733	11,638	1,506,341	672,817
2010-08-24	$37.10	$40.00	32.9%	9.4%	20.3%	16.4%	33.6%	14.8%	0.8%	13.6M	-171.7M	-14.0M	0.43	1.49	25,406	10,905	1,516,069	670,915
2010-08-25	$36.80	$40.00	33.8%	9.7%	19.9%	17.8%	33.4%	15.6%	2.4%	13.9M	-181.5M	-14.4M	0.44	2.01	50,372	22,233	1,524,968	676,772
2010-08-26	$36.60	$40.00	32.9%	9.4%	19.3%	16.5%	34.8%	13.9%	3.5%	14.0M	-138.8M	-14.2M	0.28	1.37	19,887	5,642	1,545,166	688,115
2010-08-27	$37.60	$40.00	31.0%	8.0%	22.6%	13.6%	27.8%	73.8%	6.1%	17.1M	-202.0M	-14.4M	0.44	1.96	32,575	14,342	1,552,836	690,907
2010-08-30	$36.70	$40.00	30.5%	8.9%	21.4%	12.7%	31.2%	-2.4%	4.8%	15.3M	-102.7M	-14.1M	0.72	1.56	19,554	14,158	1,562,174	697,699
2010-08-31	$37.10	$40.00	35.4%	8.6%	22.0%	20.2%	31.4%	1.3%	6.1%	16.3M	-117.3M	-14.1M	0.60	2.36	18,866	11,414	1,564,989	699,330