C Options History — March 2011

In March 2011, C traded between $43.90 and $46.80. ATM implied volatility averaged 26.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.6% (HV 20d: 25.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.52.

Notable Days

2011-03-21: Highest Volume — 146,335 contracts
2011-03-28: Largest IV spike — 26.6% change
2011-03-01: Highest IV Rank — 29.8%
2011-03-16: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.01	$43.90	$46.80	$45.70	$44.20
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	26.8%	21.4%	34.1%	34.1%	23.0%
Expected Move	7.5%	6.2%	8.9%	8.6%	7.0%
HV 20d	25.2%	21.7%	28.2%	23.4%	21.7%
HV 60d	26.9%	25.8%	27.5%	27.0%	25.8%
IV Rank	15.1%	4.1%	29.8%	29.8%	7.4%
IV Percentile	16.9%	1.2%	52.0%	52.0%	4.0%
Term Structure	1.3%	0.0%	3.2%	0.2%	0.0%
VWIV	26.2%	21.7%	34.4%	30.0%	24.3%
Skew 25d	3.9%	-4.4%	11.2%	-4.4%	10.6%
Skew 10d	7.2%	-8.8%	17.1%	-8.8%	16.4%
Call IV 25d	26.0%	19.6%	30.9%	30.4%	22.0%
Put IV 25d	29.9%	26.0%	38.1%	26.0%	32.6%
Bid-Ask Spread %	1.91	1.40	2.60	1.40	1.58
Gamma HHI	0.30	0.25	0.37	0.37	0.25
Net GEX	36.6M	23.4M	48.2M	47.0M	41.7M
Net DEX	-1.14B	-1.69B	-715.4M	-1.52B	-915.4M
Net VEX	-21.1M	-22.1M	-20.1M	-21.9M	-20.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.23	0.94	0.68	0.46
Total Volume	70,373.478	29,438	146,335	88,073	47,297
Total OI	2,350,546.739	2,221,903	2,499,135	2,251,068	2,406,716

Daily Data (23 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
2011-03-01	$45.70	$45.00	34.1%	8.6%	23.4%	29.8%	30.0%	-4.4%	0.2%	47.0M	-1.52B	-21.9M	0.68	1.40	52,438	35,635	1,609,165	641,903
2011-03-02	$46.00	$45.00	32.9%	7.6%	22.5%	27.3%	25.0%	-3.0%	2.4%	41.6M	-1.51B	-21.8M	0.59	1.70	22,386	13,216	1,614,020	659,518
2011-03-03	$46.80	$45.00	26.2%	7.8%	23.5%	13.9%	24.9%	-0.6%	0.4%	48.2M	-1.69B	-21.8M	0.23	1.63	41,010	9,639	1,617,324	664,229
2011-03-04	$45.40	$45.00	26.7%	8.1%	25.5%	14.9%	28.5%	1.5%	1.3%	38.3M	-1.36B	-21.4M	0.66	2.53	49,508	32,518	1,629,022	667,595
2011-03-07	$45.20	$45.00	31.2%	8.1%	25.5%	23.9%	28.4%	1.6%	0.7%	34.4M	-1.23B	-21.2M	0.57	1.86	34,096	19,293	1,647,187	685,549
2011-03-08	$46.40	$45.00	26.4%	8.0%	26.7%	14.2%	27.8%	4.2%	0.4%	43.5M	-1.55B	-21.7M	0.39	2.34	45,824	17,743	1,653,964	694,449
2011-03-09	$46.50	$45.00	28.8%	7.7%	26.7%	19.1%	26.9%	2.5%	1.4%	45.9M	-1.62B	-22.1M	0.58	1.83	18,633	10,805	1,671,318	699,249
2011-03-10	$45.40	$45.00	27.2%	7.8%	27.7%	15.9%	27.4%	-0.3%	1.2%	34.2M	-1.33B	-21.5M	0.46	2.60	32,445	14,981	1,657,443	703,086
2011-03-11	$45.70	$45.00	25.9%	7.4%	27.6%	13.3%	26.1%	2.5%	2.7%	30.7M	-1.37B	-21.5M	0.47	2.11	20,592	9,717	1,663,967	708,818
2011-03-14	$45.40	$45.00	25.7%	7.4%	26.3%	12.8%	25.7%	2.4%	3.2%	26.3M	-1.28B	-21.2M	0.59	1.99	25,920	15,225	1,672,152	708,781
2011-03-15	$44.40	$45.00	29.1%	8.3%	26.8%	19.6%	29.2%	0.1%	0.7%	23.8M	-1.00B	-20.8M	0.62	1.95	60,248	37,497	1,675,990	715,311
2011-03-16	$43.90	$45.00	30.9%	8.9%	26.9%	23.4%	34.4%	7.2%	1.0%	23.4M	-885.7M	-20.8M	0.94	2.15	72,927	68,628	1,698,091	726,762
2011-03-17	$44.50	$45.00	29.0%	8.3%	27.7%	19.6%	29.5%	5.1%	0.3%	28.8M	-963.6M	-21.2M	0.62	2.15	49,697	30,717	1,726,949	753,928
2011-03-18	$45.00	$45.00	26.7%	7.6%	27.9%	14.8%	26.8%	1.8%	0.5%	36.5M	-1.22B	-21.9M	0.61	1.89	77,494	47,013	1,738,741	760,394
2011-03-21	$44.30	$45.00	25.7%	7.4%	28.2%	12.9%	25.8%	-0.4%	1.4%	32.7M	-857.2M	-20.2M	0.46	1.44	100,178	46,157	1,551,335	670,568
2011-03-22	$44.20	$45.00	23.7%	6.8%	23.7%	8.8%	23.8%	2.8%	1.5%	31.1M	-763.7M	-20.1M	0.50	1.69	56,810	28,164	1,569,613	688,804
2011-03-23	$44.00	$45.00	22.7%	6.5%	23.6%	6.8%	22.4%	6.9%	1.9%	30.1M	-715.4M	-20.2M	0.41	1.83	57,170	23,514	1,586,626	703,224
2011-03-24	$44.30	$45.00	23.9%	6.9%	23.9%	9.2%	23.9%	8.5%	1.6%	33.8M	-814.1M	-20.5M	0.55	2.01	70,174	38,542	1,602,024	708,708
2011-03-25	$44.60	$45.00	21.4%	6.8%	24.1%	4.1%	23.8%	9.8%	1.7%	40.2M	-940.4M	-20.8M	0.37	1.85	43,488	15,932	1,631,363	729,030
2011-03-28	$44.30	$45.00	27.0%	6.4%	24.1%	15.6%	22.6%	9.7%	1.2%	41.3M	-871.1M	-20.7M	0.35	1.76	26,229	9,309	1,646,090	723,800
2011-03-29	$44.50	$45.00	23.1%	7.1%	22.9%	7.6%	24.6%	10.2%	0.6%	42.1M	-917.8M	-20.8M	0.45	1.78	31,304	14,141	1,656,203	726,891
2011-03-30	$44.50	$45.00	25.8%	6.2%	22.7%	13.1%	21.7%	11.2%	2.7%	45.3M	-967.9M	-21.0M	0.49	1.78	29,657	14,679	1,663,468	733,207
2011-03-31	$44.20	$45.00	23.0%	7.0%	21.7%	7.4%	24.3%	10.6%	0.0%	41.7M	-915.4M	-20.9M	0.46	1.58	32,357	14,940	1,670,174	736,542