C Options History — October 2010

In October 2010, C traded between $39.50 and $42.50. ATM implied volatility averaged 29.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.3% (HV 20d: 32.4%). 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 18 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2010-10-15: Highest Volume — 105,158 contracts
2010-10-06: Largest IV drop — 31.3% change
2010-10-05: Highest IV Rank — 29.1%
2010-10-15: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.34	$39.50	$42.50	$40.90	$41.70
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	29.1%	22.0%	39.4%	31.8%	23.7%
Expected Move	8.8%	7.7%	10.0%	8.2%	7.9%
HV 20d	32.4%	26.1%	39.0%	26.4%	34.4%
HV 60d	29.1%	26.5%	31.4%	31.2%	29.2%
IV Rank	14.7%	3.9%	29.1%	18.0%	6.8%
IV Percentile	11.5%	0.4%	36.1%	13.1%	2.8%
Term Structure	1.0%	-0.5%	3.3%	2.8%	2.0%
VWIV	30.8%	26.8%	35.1%	28.5%	27.4%
Skew 25d	3.4%	-10.4%	36.7%	36.7%	-2.3%
Skew 10d	18.0%	-21.3%	99.3%	99.3%	-3.4%
Call IV 25d	33.8%	28.8%	40.6%	29.0%	29.5%
Put IV 25d	37.1%	24.3%	65.7%	65.7%	27.2%
Bid-Ask Spread %	3.64	1.67	15.91	1.81	1.77
Gamma HHI	0.50	0.40	0.63	0.40	0.54
Net GEX	30.8M	22.8M	39.3M	33.5M	27.1M
Net DEX	-1.04B	-1.45B	-597.9M	-1.04B	-981.4M
Net VEX	-14.8M	-15.6M	-13.8M	-15.4M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.26	1.88	0.27	0.66
Total Volume	50,317.762	18,640	105,158	84,211	23,519
Total OI	2,137,957.429	2,096,800	2,205,545	2,098,916	2,205,545

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
2010-10-01	$40.90	$40.00	31.8%	8.2%	26.4%	18.0%	28.5%	36.7%	2.8%	33.5M	-1.04B	-15.4M	0.27	1.81	66,528	17,683	1,470,450	628,466
2010-10-04	$40.30	$40.00	31.2%	8.7%	27.1%	17.2%	30.3%	5.1%	1.2%	36.7M	-890.5M	-14.8M	0.28	2.21	24,226	6,823	1,475,466	627,868
2010-10-05	$41.30	$40.00	39.4%	8.9%	26.9%	29.1%	31.2%	5.2%	0.1%	35.4M	-1.11B	-15.1M	0.26	3.30	50,639	13,294	1,478,401	629,491
2010-10-06	$41.00	$40.00	27.1%	8.6%	27.2%	11.2%	30.0%	4.9%	0.6%	37.4M	-1.04B	-14.9M	0.32	2.95	24,077	7,698	1,487,319	629,116
2010-10-07	$41.80	$40.00	23.0%	9.1%	27.3%	5.4%	31.8%	15.5%	-0.1%	34.5M	-1.26B	-15.5M	0.36	3.64	33,750	12,151	1,492,915	631,993
2010-10-08	$41.90	$40.00	22.0%	9.2%	27.3%	3.9%	32.2%	14.5%	0.3%	34.2M	-1.28B	-15.5M	0.28	2.55	18,638	5,137	1,494,938	634,227
2010-10-11	$41.80	$40.00	27.3%	9.4%	26.6%	11.5%	32.7%	15.3%	0.5%	33.1M	-1.28B	-15.3M	0.36	2.81	13,743	4,897	1,492,266	631,497
2010-10-12	$42.40	$40.00	22.4%	9.7%	26.3%	4.5%	33.8%	9.5%	-0.5%	32.2M	-1.35B	-15.3M	0.33	2.39	26,538	8,756	1,491,561	632,842
2010-10-13	$42.50	$40.00	26.6%	9.3%	26.1%	10.6%	32.3%	-1.8%	1.8%	31.4M	-1.45B	-15.6M	0.27	1.67	58,655	15,860	1,492,507	633,967
2010-10-14	$40.60	$40.00	34.1%	9.8%	31.3%	21.5%	34.1%	-6.7%	-0.5%	39.3M	-949.2M	-14.6M	0.46	3.59	62,348	28,877	1,490,697	636,837
2010-10-15	$39.50	$40.00	34.9%	10.0%	32.8%	24.0%	35.1%	-10.4%	0.4%	38.8M	-597.9M	-14.6M	0.50	2.52	70,064	35,094	1,503,761	647,818
2010-10-18	$41.70	$40.00	30.9%	8.9%	38.0%	17.8%	30.9%	12.1%	1.5%	27.0M	-1.08B	-14.8M	0.39	2.10	59,613	23,191	1,477,103	619,697
2010-10-19	$40.60	$40.00	30.9%	8.9%	39.0%	17.8%	30.9%	-8.4%	2.2%	24.7M	-889.2M	-14.7M	0.53	2.94	26,294	14,034	1,489,635	626,981
2010-10-20	$41.10	$40.00	31.6%	9.1%	38.6%	18.9%	31.7%	-0.3%	1.3%	25.6M	-975.0M	-14.9M	0.50	13.57	20,223	10,123	1,494,503	631,371
2010-10-21	$40.70	$40.00	29.7%	8.5%	37.9%	16.0%	29.7%	-9.1%	1.8%	22.8M	-791.8M	-14.0M	0.44	15.91	27,916	12,167	1,498,908	634,930
2010-10-22	$41.10	$40.00	26.8%	7.7%	37.1%	11.5%	26.8%	-4.5%	0.7%	25.4M	-864.1M	-13.8M	1.88	2.41	19,191	36,082	1,505,385	635,054
2010-10-25	$42.10	$40.00	29.9%	8.6%	37.6%	16.3%	29.7%	0.8%	0.2%	26.7M	-1.03B	-14.4M	0.51	2.04	37,629	19,282	1,509,949	655,738
2010-10-26	$41.80	$40.00	28.1%	8.1%	37.8%	13.5%	27.7%	-2.6%	3.3%	26.4M	-965.3M	-14.3M	0.28	1.73	32,000	8,867	1,520,645	659,209
2010-10-27	$41.70	$40.00	30.6%	8.8%	37.8%	17.4%	30.5%	-2.1%	0.9%	26.5M	-1.00B	-15.0M	0.34	2.12	32,041	11,046	1,537,139	661,946
2010-10-28	$41.70	$40.00	29.1%	8.3%	37.8%	15.0%	29.2%	-0.5%	0.4%	27.5M	-1.00B	-14.4M	0.51	2.38	25,127	12,852	1,535,920	663,045
2010-10-29	$41.70	$40.00	23.7%	7.9%	34.4%	6.8%	27.4%	-2.3%	2.0%	27.1M	-981.4M	-14.5M	0.66	1.77	14,149	9,370	1,540,436	665,109