C Options History — February 2011

In February 2011, C traded between $46.80 and $49.40. ATM implied volatility averaged 28.4%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.0% (HV 20d: 27.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2011-02-23: Highest Volume — 137,898 contracts
2011-02-28: Largest IV spike — 59.6% change
2011-02-28: Highest IV Rank — 36.3%
2011-02-23: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.26	$46.80	$49.40	$49.00	$46.80
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	28.4%	23.4%	37.3%	28.1%	37.3%
Expected Move	7.9%	6.9%	9.4%	7.4%	7.9%
HV 20d	27.4%	18.8%	32.5%	32.0%	23.4%
HV 60d	27.6%	26.1%	29.8%	29.8%	27.1%
IV Rank	18.3%	8.2%	36.3%	17.6%	36.3%
IV Percentile	20.4%	4.8%	67.1%	15.1%	67.1%
Term Structure	1.3%	-0.9%	2.9%	0.9%	1.4%
VWIV	28.1%	24.3%	32.7%	25.6%	27.4%
Skew 25d	2.2%	-1.8%	10.0%	10.0%	0.3%
Skew 10d	6.0%	-3.6%	17.2%	16.5%	-1.6%
Call IV 25d	28.2%	22.4%	30.3%	22.4%	27.5%
Put IV 25d	30.4%	26.7%	35.2%	32.3%	27.8%
Bid-Ask Spread %	1.84	1.31	2.33	2.24	1.32
Gamma HHI	0.45	0.38	0.58	0.43	0.40
Net GEX	74.4M	55.4M	125.6M	64.6M	56.4M
Net DEX	-2.26B	-2.67B	-1.82B	-2.40B	-1.82B
Net VEX	-22.6M	-23.3M	-22.2M	-22.3M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.18	0.85	0.23	0.39
Total Volume	69,841.789	29,086	137,898	82,229	29,086
Total OI	2,173,707.632	2,023,675	2,288,876	2,023,675	2,249,573

Daily Data (19 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
2011-02-01	$49.00	$45.00	28.1%	7.4%	32.0%	17.6%	25.6%	10.0%	0.9%	64.6M	-2.40B	-22.3M	0.23	2.24	67,092	15,137	1,442,656	581,019
2011-02-02	$48.50	$45.00	31.3%	7.8%	32.2%	24.2%	27.1%	6.3%	-0.9%	67.7M	-2.27B	-22.2M	0.18	1.52	70,657	12,721	1,472,494	585,275
2011-02-03	$48.10	$45.00	28.0%	7.2%	31.8%	17.4%	28.8%	5.2%	1.8%	65.7M	-2.18B	-22.2M	0.39	1.34	42,737	16,770	1,512,327	588,910
2011-02-04	$48.20	$45.00	26.4%	7.8%	31.9%	14.3%	28.2%	1.1%	2.6%	66.4M	-2.25B	-22.5M	0.19	2.27	32,698	6,275	1,525,153	594,116
2011-02-07	$49.00	$45.00	30.3%	7.5%	32.5%	22.0%	27.6%	0.5%	1.7%	73.6M	-2.45B	-22.5M	0.29	2.20	36,739	10,478	1,518,915	595,955
2011-02-08	$48.90	$45.00	27.1%	7.6%	32.4%	15.6%	26.9%	-0.4%	2.1%	77.2M	-2.45B	-22.3M	0.42	1.95	27,743	11,582	1,527,480	596,969
2011-02-09	$48.40	$45.00	25.2%	7.9%	32.5%	11.9%	27.4%	-1.8%	1.0%	72.4M	-2.29B	-22.2M	0.31	2.02	48,845	15,024	1,534,877	601,361
2011-02-10	$47.80	$45.00	28.0%	8.0%	30.9%	17.4%	28.6%	-0.5%	1.0%	64.0M	-2.08B	-22.2M	0.47	1.66	42,856	20,139	1,542,915	606,681
2011-02-11	$48.80	$45.00	28.8%	8.3%	31.9%	19.2%	28.9%	-0.4%	1.3%	77.4M	-2.47B	-22.7M	0.30	1.92	85,553	25,866	1,547,754	606,174
2011-02-14	$49.10	$45.00	27.8%	8.0%	31.2%	17.2%	28.6%	1.4%	-0.0%	88.7M	-2.58B	-23.1M	0.19	2.33	51,273	9,605	1,584,928	615,567
2011-02-15	$49.10	$45.00	26.6%	7.6%	20.0%	14.6%	27.8%	2.4%	1.6%	94.5M	-2.50B	-22.5M	0.39	2.15	72,837	28,402	1,597,970	618,897
2011-02-16	$49.00	$45.00	26.0%	7.5%	19.7%	13.5%	26.9%	0.3%	1.9%	97.7M	-2.55B	-23.2M	0.67	2.08	34,144	22,754	1,636,591	618,678
2011-02-17	$49.40	$45.00	24.1%	6.9%	19.7%	9.6%	24.3%	1.3%	2.9%	125.6M	-2.67B	-23.3M	0.53	1.93	41,484	22,141	1,650,615	623,599
2011-02-18	$49.10	$45.00	24.3%	7.0%	18.8%	9.9%	24.7%	-1.2%	1.8%	94.3M	-2.55B	-23.0M	0.31	1.54	37,656	11,509	1,658,158	630,718
2011-02-22	$46.90	$45.00	31.6%	9.0%	24.9%	24.7%	31.1%	3.6%	1.0%	55.4M	-1.83B	-22.4M	0.51	1.63	82,688	41,967	1,561,388	598,987
2011-02-23	$47.00	$45.00	32.9%	9.4%	24.8%	27.4%	32.7%	5.0%	0.5%	57.0M	-1.91B	-22.8M	0.85	1.85	74,661	63,237	1,586,790	617,379
2011-02-24	$46.90	$45.00	32.0%	9.2%	24.8%	25.6%	32.0%	5.4%	-0.4%	57.5M	-1.88B	-22.9M	0.79	1.31	36,161	28,581	1,593,100	623,473
2011-02-25	$47.00	$45.00	23.4%	8.4%	24.7%	8.2%	29.1%	3.3%	1.8%	56.7M	-1.84B	-22.7M	0.48	1.66	33,813	16,083	1,608,426	644,577
2011-02-28	$46.80	$45.00	37.3%	7.9%	23.4%	36.3%	27.4%	0.3%	1.4%	56.4M	-1.82B	-22.2M	0.39	1.32	20,899	8,187	1,607,835	641,738