C Options History — November 2010

In November 2010, C traded between $41.00 and $44.90. ATM implied volatility averaged 31.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 1.1% (HV 20d: 32.8%). 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 0.42.

Notable Days

2010-11-05: Highest Volume — 179,332 contracts
2010-11-23: Largest IV spike — 62.7% change
2010-11-09: Highest IV Rank — 49.5%
2010-11-08: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.55	$41.00	$44.90	$41.50	$42.00
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	31.7%	19.7%	51.5%	37.2%	22.8%
Expected Move	9.2%	5.6%	10.4%	9.1%	8.6%
HV 20d	32.8%	28.9%	39.5%	34.0%	32.0%
HV 60d	30.3%	28.4%	31.3%	29.1%	30.6%
IV Rank	19.0%	0.5%	49.5%	27.5%	5.4%
IV Percentile	24.6%	0.4%	86.1%	37.7%	2.8%
Term Structure	1.6%	-1.2%	9.0%	0.3%	1.9%
VWIV	32.4%	21.3%	37.6%	31.7%	30.8%
Skew 25d	-2.2%	-8.3%	2.0%	-1.6%	-5.1%
Skew 10d	-4.0%	-21.1%	5.2%	-3.3%	-17.2%
Call IV 25d	34.3%	18.7%	38.3%	32.6%	35.5%
Put IV 25d	32.1%	20.7%	38.6%	31.0%	30.5%
Bid-Ask Spread %	2.19	0.18	3.36	2.06	1.75
Gamma HHI	0.45	0.35	0.63	0.55	0.38
Net GEX	35.7M	26.3M	45.6M	26.3M	34.5M
Net DEX	-1.33B	-1.98B	-863.9M	-928.6M	-1.20B
Net VEX	-15.4M	-16.9M	-14.2M	-14.2M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.12	2.00	2.00	0.41
Total Volume	60,848.857	21,478	179,332	58,215	44,479
Total OI	2,329,231.714	2,201,245	2,419,109	2,201,245	2,383,825

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
2010-11-01	$41.50	$40.00	37.2%	9.1%	34.0%	27.5%	31.7%	-1.6%	0.3%	26.3M	-928.6M	-14.2M	2.00	2.06	19,391	38,824	1,535,087	666,158
2010-11-02	$41.70	$40.00	23.2%	8.7%	32.9%	6.0%	30.2%	-2.5%	0.7%	26.7M	-1.02B	-14.6M	0.27	2.16	17,777	4,743	1,537,278	674,181
2010-11-03	$41.90	$40.00	27.0%	8.1%	32.8%	11.8%	28.1%	-0.8%	1.1%	27.8M	-1.03B	-14.3M	0.30	2.42	25,701	7,782	1,547,451	676,310
2010-11-04	$43.30	$40.00	19.8%	10.3%	34.1%	0.8%	31.6%	-1.4%	-1.2%	33.9M	-1.41B	-15.5M	0.12	3.16	113,119	13,290	1,553,377	683,872
2010-11-05	$44.90	$40.00	30.8%	10.1%	36.3%	17.6%	36.2%	0.8%	0.5%	45.6M	-1.98B	-16.8M	0.36	3.36	132,234	47,098	1,586,764	683,105
2010-11-08	$44.40	$40.00	34.4%	10.4%	36.6%	23.2%	37.6%	1.0%	1.3%	44.3M	-1.89B	-16.9M	0.39	2.47	43,251	16,973	1,604,374	688,882
2010-11-09	$43.00	$40.00	51.5%	10.1%	38.3%	49.5%	35.3%	-0.7%	0.9%	39.5M	-1.52B	-16.1M	0.41	3.00	57,618	23,812	1,612,098	694,402
2010-11-10	$44.20	$40.00	35.1%	10.1%	39.5%	24.3%	35.5%	-0.3%	1.0%	44.9M	-1.85B	-16.7M	0.12	2.76	65,679	7,862	1,615,256	700,034
2010-11-11	$43.60	$40.00	35.3%	10.1%	35.9%	24.6%	35.3%	-3.1%	0.6%	45.4M	-1.74B	-16.7M	0.23	2.42	34,285	8,017	1,642,319	700,785
2010-11-12	$42.90	$40.00	35.5%	10.2%	34.8%	24.9%	35.4%	-2.9%	0.9%	40.3M	-1.49B	-16.0M	0.20	2.22	100,277	20,110	1,653,176	703,376
2010-11-15	$43.20	$40.00	34.2%	9.8%	29.4%	22.9%	34.3%	-1.8%	-0.1%	43.4M	-1.62B	-16.1M	0.38	2.27	21,518	8,191	1,672,009	711,125
2010-11-16	$42.20	$40.00	34.1%	9.8%	29.0%	22.8%	34.6%	0.6%	2.9%	36.2M	-1.32B	-15.8M	0.29	2.08	33,384	9,817	1,669,030	714,720
2010-11-17	$41.90	$40.00	31.3%	9.0%	28.9%	18.4%	33.5%	-2.9%	3.5%	34.1M	-1.18B	-15.3M	0.41	1.92	35,613	14,429	1,669,524	717,079
2010-11-18	$43.00	$40.00	32.1%	9.2%	29.9%	19.6%	32.8%	-0.5%	1.0%	39.1M	-1.52B	-15.9M	0.24	2.02	50,654	12,314	1,675,903	722,956
2010-11-19	$42.70	$40.00	33.5%	9.6%	29.9%	21.8%	33.4%	-2.4%	-0.2%	37.6M	-1.39B	-15.3M	0.58	1.70	20,362	11,881	1,693,816	725,293
2010-11-22	$41.80	$40.00	19.7%	5.6%	29.8%	0.5%	21.3%	2.0%	9.0%	31.1M	-1.04B	-14.5M	0.40	0.18	51,270	20,536	1,636,894	697,670
2010-11-23	$41.00	$40.00	32.0%	9.2%	30.5%	19.5%	32.1%	-7.3%	1.0%	29.0M	-863.9M	-14.5M	0.39	1.98	42,437	16,565	1,653,974	702,595
2010-11-24	$41.70	$40.00	29.8%	8.5%	31.1%	16.1%	30.2%	-4.0%	2.4%	30.5M	-988.0M	-14.6M	0.26	1.98	19,023	4,945	1,655,803	710,182
2010-11-26	$41.10	$40.00	26.6%	8.2%	31.6%	11.1%	28.6%	-4.2%	3.6%	28.1M	-909.4M	-14.3M	0.52	1.85	14,109	7,369	1,664,238	708,665
2010-11-29	$41.50	$40.00	38.9%	8.5%	31.8%	30.1%	31.0%	-8.3%	1.8%	31.2M	-1.03B	-14.5M	0.56	2.20	26,370	14,717	1,662,572	707,708
2010-11-30	$42.00	$40.00	22.8%	8.6%	32.0%	5.4%	30.8%	-5.1%	1.9%	34.5M	-1.20B	-15.1M	0.41	1.75	31,493	12,986	1,670,472	713,353