C Options History — December 2010

In December 2010, C traded between $43.00 and $48.10. ATM implied volatility averaged 33.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.5% (HV 20d: 28.0%). 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 16 of 22 days. Put/call ratio averaged 0.32.

Notable Days

2010-12-07: Highest Volume — 302,390 contracts
2010-12-31: Largest IV spike — 47.6% change
2010-12-13: Highest IV Rank — 39.6%
2010-12-07: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.54	$43.00	$48.10	$43.00	$47.30
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	33.5%	23.3%	45.1%	37.0%	34.4%
Expected Move	9.5%	8.9%	10.3%	10.3%	9.4%
HV 20d	28.0%	22.9%	34.3%	33.0%	22.9%
HV 60d	31.2%	29.9%	32.2%	30.6%	29.9%
IV Rank	24.1%	8.1%	39.6%	27.2%	30.5%
IV Percentile	32.1%	4.0%	72.2%	44.0%	41.7%
Term Structure	0.7%	-2.1%	2.0%	-2.1%	1.4%
VWIV	33.8%	31.7%	36.7%	35.6%	33.8%
Skew 25d	-1.3%	-3.5%	2.3%	-2.8%	-2.9%
Skew 10d	-1.6%	-12.2%	6.5%	-12.2%	2.0%
Call IV 25d	35.4%	32.6%	38.3%	37.5%	35.7%
Put IV 25d	34.1%	32.0%	37.2%	34.7%	32.7%
Bid-Ask Spread %	1.39	0.97	1.88	1.83	0.97
Gamma HHI	0.46	0.38	0.52	0.40	0.50
Net GEX	70.5M	42.1M	83.6M	42.1M	75.9M
Net DEX	-2.53B	-3.24B	-1.48B	-1.48B	-2.64B
Net VEX	-18.0M	-19.5M	-15.5M	-15.5M	-19.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.17	0.81	0.23	0.81
Total Volume	77,055.682	23,788	302,390	46,368	47,616
Total OI	2,465,862.864	2,311,000	2,650,300	2,396,123	2,444,124

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
2010-12-01	$43.00	$40.00	37.0%	10.3%	33.0%	27.2%	35.6%	-2.8%	-2.1%	42.1M	-1.48B	-15.5M	0.23	1.83	37,691	8,677	1,677,453	718,670
2010-12-02	$44.20	$40.00	34.6%	9.9%	34.3%	23.4%	34.2%	-2.1%	-0.7%	53.0M	-1.86B	-15.8M	0.17	1.83	60,450	10,303	1,690,645	720,376
2010-12-03	$44.50	$40.00	31.3%	9.2%	32.4%	18.4%	32.2%	-0.1%	0.4%	57.0M	-1.90B	-15.8M	0.33	1.82	33,087	10,835	1,696,955	723,182
2010-12-06	$44.50	$40.00	36.8%	9.6%	29.7%	26.9%	35.6%	-2.4%	2.0%	60.0M	-2.00B	-16.1M	0.26	1.82	29,493	7,591	1,702,759	721,397
2010-12-07	$46.20	$40.00	37.5%	10.3%	32.3%	28.0%	36.7%	-1.8%	0.8%	68.5M	-2.50B	-16.1M	0.19	1.88	253,152	49,238	1,708,456	724,823
2010-12-08	$46.40	$40.00	33.4%	9.3%	29.6%	21.7%	33.6%	-1.4%	1.1%	77.6M	-2.70B	-17.6M	0.26	1.59	72,211	19,002	1,776,712	744,288
2010-12-09	$46.90	$40.00	33.0%	9.6%	28.4%	21.0%	34.0%	-1.7%	0.9%	77.4M	-2.81B	-17.8M	0.29	1.84	89,730	26,333	1,776,675	749,364
2010-12-10	$47.70	$40.00	37.3%	10.0%	28.1%	27.6%	35.3%	0.9%	-0.7%	79.1M	-3.07B	-18.3M	0.24	1.79	61,411	14,628	1,783,772	752,869
2010-12-13	$48.10	$40.00	45.1%	9.9%	27.1%	39.6%	34.3%	-1.2%	1.4%	82.4M	-3.24B	-18.4M	0.23	1.30	99,977	22,587	1,789,528	754,736
2010-12-14	$46.90	$40.00	32.0%	9.5%	29.2%	19.5%	34.4%	-3.2%	1.8%	73.5M	-2.81B	-17.6M	0.39	1.33	75,905	29,669	1,782,030	748,816
2010-12-15	$45.90	$40.00	33.8%	9.7%	29.0%	22.2%	35.9%	-3.5%	1.5%	71.0M	-2.55B	-18.1M	0.50	1.47	60,714	30,436	1,819,250	772,330
2010-12-16	$45.90	$40.00	32.8%	9.4%	28.7%	20.7%	33.5%	-0.9%	1.1%	83.6M	-2.52B	-17.9M	0.29	1.30	88,796	26,044	1,837,554	783,329
2010-12-17	$47.00	$40.00	31.7%	9.1%	28.5%	19.0%	32.2%	-1.4%	1.9%	62.3M	-2.85B	-18.2M	0.33	1.35	63,958	20,987	1,861,032	789,268
2010-12-20	$47.10	$40.00	31.2%	8.9%	28.2%	24.0%	33.6%	-3.3%	1.7%	64.3M	-2.45B	-18.5M	0.26	1.08	37,351	9,848	1,671,036	639,964
2010-12-21	$47.40	$40.00	31.4%	9.0%	26.5%	24.3%	32.6%	-2.4%	0.5%	71.2M	-2.58B	-18.9M	0.30	1.07	65,066	19,543	1,726,070	660,804
2010-12-22	$47.30	$40.00	31.4%	9.0%	24.9%	24.5%	31.7%	-0.5%	1.0%	72.7M	-2.55B	-19.2M	0.22	1.24	40,712	9,006	1,742,732	663,723
2010-12-23	$46.80	$40.00	31.5%	9.0%	25.4%	24.5%	32.4%	0.1%	-0.5%	68.6M	-2.43B	-19.4M	0.23	1.05	19,261	4,527	1,752,441	666,707
2010-12-27	$47.70	$40.00	31.6%	9.1%	24.6%	24.8%	33.0%	2.3%	1.9%	76.0M	-2.67B	-18.8M	0.23	0.99	26,715	6,266	1,733,677	659,797
2010-12-28	$47.80	$40.00	32.3%	9.3%	24.7%	26.2%	32.5%	-0.3%	0.1%	78.3M	-2.73B	-19.5M	0.42	1.02	19,704	8,314	1,755,779	666,264
2010-12-29	$47.70	$40.00	33.0%	9.4%	24.8%	27.5%	33.2%	-0.3%	-0.2%	78.1M	-2.77B	-19.4M	0.34	1.05	29,226	9,874	1,758,988	668,560
2010-12-30	$47.60	$40.00	23.3%	9.5%	24.1%	8.1%	33.2%	0.2%	-0.2%	77.7M	-2.66B	-19.1M	0.42	1.05	27,678	11,613	1,761,385	670,663
2010-12-31	$47.30	$40.00	34.4%	9.4%	22.9%	30.5%	33.8%	-2.9%	1.4%	75.9M	-2.64B	-19.5M	0.81	0.97	26,357	21,259	1,768,116	676,008