C Options History — January 2011

In January 2011, C traded between $47.20 and $51.30. ATM implied volatility averaged 29.7%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.1% (HV 20d: 27.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.32.

Notable Days

2011-01-18: Highest Volume — 256,011 contracts
2011-01-06: Largest IV drop — 16.5% change
2011-01-04: Highest IV Rank — 34.9%
2011-01-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.94	$47.20	$51.30	$49.00	$48.20
Max Pain	$44.00	$40.00	$45.00	$40.00	$45.00
ATM IV	29.7%	23.1%	36.6%	36.0%	25.1%
Expected Move	8.5%	7.1%	9.8%	9.8%	7.4%
HV 20d	27.6%	20.2%	33.9%	25.5%	33.9%
HV 60d	29.3%	26.0%	30.6%	30.5%	30.3%
IV Rank	21.0%	7.6%	34.9%	33.7%	11.6%
IV Percentile	20.8%	3.6%	50.0%	49.2%	6.7%
Term Structure	1.1%	-1.1%	4.0%	-1.1%	0.4%
VWIV	30.2%	24.9%	34.8%	34.8%	26.3%
Skew 25d	0.2%	-3.5%	4.7%	4.7%	2.9%
Skew 10d	6.0%	-13.0%	46.3%	13.2%	46.3%
Call IV 25d	31.6%	25.4%	35.3%	35.0%	25.4%
Put IV 25d	31.8%	25.7%	39.7%	39.7%	28.3%
Bid-Ask Spread %	1.59	1.00	2.06	1.37	1.59
Gamma HHI	0.55	0.39	0.70	0.56	0.43
Net GEX	89.2M	50.0M	144.7M	84.6M	58.1M
Net DEX	-2.92B	-4.36B	-1.87B	-3.09B	-2.09B
Net VEX	-21.0M	-22.1M	-19.8M	-19.8M	-21.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.18	0.61	0.19	0.26
Total Volume	110,070.25	54,190	256,011	124,026	73,698
Total OI	2,419,370.45	1,875,351	2,820,108	2,456,903	1,995,515

Daily Data (20 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
2011-01-03	$49.00	$40.00	36.0%	9.8%	25.5%	33.7%	34.8%	4.7%	-1.1%	84.6M	-3.09B	-19.8M	0.19	1.37	104,043	19,983	1,770,378	686,525
2011-01-04	$49.00	$40.00	36.6%	9.4%	25.5%	34.9%	33.3%	2.8%	-0.6%	91.2M	-3.12B	-20.0M	0.24	1.00	80,364	19,409	1,787,937	689,928
2011-01-05	$49.70	$40.00	36.5%	9.3%	22.8%	34.7%	33.2%	4.5%	-0.2%	94.7M	-3.38B	-20.2M	0.19	1.38	137,274	25,776	1,776,069	696,548
2011-01-06	$49.50	$40.00	30.5%	8.9%	22.9%	22.6%	31.2%	-0.7%	1.8%	101.7M	-3.46B	-20.5M	0.24	1.68	112,082	26,459	1,827,527	709,951
2011-01-07	$49.40	$45.00	30.3%	9.4%	22.8%	22.2%	34.7%	0.8%	0.8%	98.3M	-3.42B	-20.9M	0.27	1.59	81,804	21,696	1,851,740	718,762
2011-01-10	$49.10	$45.00	34.3%	9.3%	22.4%	30.2%	33.4%	-1.3%	0.4%	103.0M	-3.25B	-20.6M	0.61	1.70	33,677	20,513	1,862,603	728,064
2011-01-11	$49.40	$45.00	29.1%	9.0%	22.3%	19.8%	32.8%	-1.3%	0.9%	113.4M	-3.43B	-20.7M	0.45	1.66	43,398	19,377	1,870,296	734,285
2011-01-12	$50.80	$45.00	30.4%	9.0%	21.9%	22.3%	31.5%	1.6%	1.5%	129.2M	-4.05B	-21.0M	0.18	1.73	115,599	20,626	1,884,237	745,218
2011-01-13	$50.40	$45.00	32.0%	9.2%	20.2%	25.7%	33.2%	-2.9%	1.2%	123.9M	-3.94B	-21.2M	0.23	1.71	112,897	26,328	1,903,594	752,216
2011-01-14	$51.30	$45.00	32.0%	9.2%	20.7%	25.6%	32.5%	0.8%	0.4%	123.2M	-4.36B	-21.7M	0.25	1.68	134,425	33,779	1,928,328	764,987
2011-01-18	$48.00	$45.00	31.1%	8.9%	31.9%	23.7%	31.1%	-1.8%	1.0%	101.1M	-2.63B	-20.1M	0.28	2.06	200,492	55,519	1,933,326	772,505
2011-01-19	$47.60	$45.00	29.7%	8.5%	32.1%	20.9%	29.3%	-3.3%	1.7%	67.9M	-2.34B	-20.2M	0.37	1.58	98,618	36,749	1,962,877	788,173
2011-01-20	$48.00	$45.00	27.6%	7.9%	32.1%	16.8%	28.8%	0.6%	2.1%	77.6M	-2.50B	-21.5M	0.46	1.59	62,289	28,649	1,996,504	800,104
2011-01-21	$48.90	$45.00	26.5%	7.6%	32.7%	14.5%	27.2%	-1.0%	4.0%	144.7M	-2.93B	-22.1M	0.29	1.63	88,788	25,728	2,009,824	810,284
2011-01-24	$48.60	$45.00	26.3%	7.5%	32.5%	14.0%	26.4%	1.2%	3.0%	53.3M	-2.16B	-21.4M	0.32	1.77	50,373	16,020	1,334,615	540,736
2011-01-25	$48.20	$45.00	25.8%	7.4%	32.1%	13.1%	26.3%	0.2%	2.1%	53.9M	-2.08B	-21.4M	0.37	1.48	57,659	21,265	1,356,652	546,696
2011-01-26	$48.10	$45.00	26.6%	7.6%	32.1%	14.6%	27.0%	-0.4%	0.2%	55.4M	-2.09B	-21.3M	0.43	1.78	45,850	19,696	1,376,491	548,656
2011-01-27	$48.30	$45.00	24.7%	7.1%	32.1%	10.8%	24.9%	0.1%	0.9%	58.7M	-2.12B	-21.6M	0.41	1.43	42,138	17,446	1,387,711	561,825
2011-01-28	$47.20	$45.00	23.1%	7.3%	33.2%	7.6%	26.9%	-3.5%	1.7%	50.0M	-1.87B	-21.3M	0.29	1.37	55,084	15,835	1,403,520	572,202
2011-01-31	$48.20	$45.00	25.1%	7.4%	33.9%	11.6%	26.3%	2.9%	0.4%	58.1M	-2.09B	-21.5M	0.26	1.59	58,295	15,403	1,419,784	575,731