C Options History — September 2010

In September 2010, C traded between $38.00 and $39.90. ATM implied volatility averaged 28.9%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.3% (HV 20d: 25.6%). 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 21 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2010-09-29: Highest Volume — 69,553 contracts
2010-09-29: Largest IV spike — 92.5% change
2010-09-29: Highest IV Rank — 25.9%
2010-09-07: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.04	$38.00	$39.90	$38.50	$39.10
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	28.9%	19.3%	37.2%	36.8%	30.4%
Expected Move	8.2%	6.7%	10.0%	8.1%	7.7%
HV 20d	25.6%	21.3%	27.9%	26.6%	21.3%
HV 60d	33.3%	30.0%	35.5%	35.5%	30.0%
IV Rank	10.9%	0.0%	25.9%	22.3%	16.0%
IV Percentile	7.0%	0.0%	29.0%	20.2%	9.1%
Term Structure	3.7%	0.2%	6.1%	4.9%	4.4%
VWIV	28.7%	23.5%	34.8%	28.1%	26.9%
Skew 25d	11.0%	-11.3%	83.7%	83.7%	4.5%
Skew 10d	13.5%	-18.7%	108.4%	105.3%	4.5%
Call IV 25d	31.6%	24.0%	39.9%	28.4%	29.0%
Put IV 25d	42.6%	27.9%	112.6%	112.0%	33.4%
Bid-Ask Spread %	2.54	1.60	3.92	2.54	2.26
Gamma HHI	0.39	0.36	0.44	0.37	0.38
Net GEX	27.4M	19.2M	46.9M	21.2M	28.8M
Net DEX	-493.0M	-679.6M	-322.1M	-382.9M	-531.2M
Net VEX	-14.5M	-15.5M	-13.5M	-15.1M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.16	0.65	0.36	0.32
Total Volume	40,791.333	23,540	69,553	34,125	35,113
Total OI	2,204,539.048	2,009,018	2,379,754	2,268,518	2,089,523

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
2010-09-01	$38.50	$40.00	36.8%	8.1%	26.6%	22.3%	28.1%	83.7%	4.9%	21.2M	-382.9M	-15.1M	0.36	2.54	25,089	9,036	1,570,117	698,401
2010-09-02	$38.80	$40.00	29.3%	8.2%	26.8%	11.0%	28.7%	82.7%	5.1%	22.8M	-437.2M	-15.0M	0.39	2.38	25,108	9,713	1,575,287	700,991
2010-09-03	$39.10	$40.00	26.2%	9.3%	26.9%	6.3%	32.8%	7.9%	1.9%	25.7M	-563.9M	-15.5M	0.23	2.45	27,455	6,398	1,582,714	701,731
2010-09-07	$38.30	$40.00	24.3%	10.0%	27.6%	3.4%	34.8%	7.7%	0.2%	23.1M	-370.8M	-14.6M	0.64	2.71	16,682	10,610	1,587,665	700,747
2010-09-08	$38.40	$40.00	31.2%	9.8%	26.9%	13.9%	34.4%	4.1%	0.2%	23.0M	-365.8M	-14.5M	0.65	2.79	35,789	23,200	1,591,850	705,385
2010-09-09	$39.10	$40.00	33.1%	9.5%	24.2%	16.7%	33.1%	5.0%	1.5%	27.5M	-507.4M	-15.5M	0.45	2.88	28,712	12,829	1,611,097	719,586
2010-09-10	$39.10	$40.00	33.5%	9.6%	24.1%	17.4%	33.6%	-11.3%	0.9%	28.3M	-478.0M	-15.0M	0.24	2.40	24,060	5,766	1,613,166	720,803
2010-09-13	$39.90	$40.00	29.2%	8.4%	25.1%	10.8%	29.2%	-9.8%	4.2%	35.3M	-679.6M	-15.2M	0.38	2.87	47,364	17,862	1,617,085	721,592
2010-09-14	$39.40	$40.00	29.5%	8.5%	25.6%	11.3%	29.5%	-10.3%	2.6%	35.6M	-542.7M	-14.9M	0.16	3.11	29,086	4,580	1,628,541	721,305
2010-09-15	$39.20	$40.00	28.7%	8.2%	25.6%	10.0%	28.7%	-10.3%	3.6%	33.9M	-450.1M	-14.5M	0.23	2.67	45,920	10,483	1,635,911	721,401
2010-09-16	$39.70	$40.00	29.0%	8.3%	25.9%	10.5%	29.0%	2.7%	3.4%	46.9M	-619.4M	-15.0M	0.47	3.92	23,150	10,958	1,650,953	722,872
2010-09-17	$39.50	$40.00	26.5%	7.6%	25.0%	6.8%	26.5%	2.7%	4.8%	30.2M	-413.0M	-14.4M	0.56	3.03	34,914	19,674	1,656,925	722,829
2010-09-20	$39.90	$40.00	23.5%	6.7%	24.7%	2.2%	23.5%	51.9%	6.1%	26.6M	-677.3M	-14.8M	0.25	2.51	45,874	11,472	1,408,055	600,963
2010-09-21	$39.40	$40.00	26.0%	7.5%	25.3%	6.0%	26.0%	2.8%	4.6%	27.3M	-611.9M	-14.2M	0.57	2.41	35,551	20,197	1,421,174	604,921
2010-09-22	$38.80	$40.00	27.5%	7.9%	25.6%	8.3%	27.5%	1.5%	4.6%	20.3M	-432.9M	-13.9M	0.37	1.60	17,197	6,343	1,423,271	615,618
2010-09-23	$38.00	$40.00	28.4%	8.2%	26.7%	9.7%	28.4%	0.3%	4.1%	19.2M	-322.1M	-13.5M	0.23	1.80	19,481	4,557	1,423,200	614,695
2010-09-24	$39.00	$40.00	24.9%	6.9%	27.9%	4.3%	23.9%	3.4%	6.0%	24.2M	-475.6M	-13.8M	0.25	1.87	29,257	7,217	1,427,293	616,003
2010-09-27	$38.70	$40.00	32.8%	7.4%	26.7%	16.2%	25.8%	3.8%	6.0%	24.0M	-455.2M	-13.6M	0.26	1.85	19,173	4,977	1,436,026	612,379
2010-09-28	$38.80	$40.00	19.3%	7.6%	24.9%	0.0%	26.6%	3.9%	4.2%	24.6M	-481.7M	-13.6M	0.46	1.82	17,908	8,310	1,441,936	614,697
2010-09-29	$39.20	$40.00	37.2%	7.3%	24.9%	25.9%	25.6%	4.5%	4.2%	27.3M	-553.9M	-13.9M	0.25	3.36	55,651	13,902	1,447,510	619,102
2010-09-30	$39.10	$40.00	30.4%	7.7%	21.3%	16.0%	26.9%	4.5%	4.4%	28.8M	-531.2M	-14.2M	0.32	2.26	26,592	8,521	1,462,629	626,894