C Options History — April 2011

In April 2011, C traded between $44.20 and $45.90. ATM implied volatility averaged 23.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.2% (HV 20d: 17.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2011-04-06: Highest Volume — 108,935 contracts
2011-04-04: Largest IV spike — 30.1% change
2011-04-13: Highest IV Rank — 19.6%
2011-04-14: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.15	$44.20	$45.90	$44.50	$45.90
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	23.2%	19.8%	29.0%	19.8%	20.6%
Expected Move	6.8%	5.7%	7.7%	6.1%	6.1%
HV 20d	17.0%	14.3%	19.6%	19.3%	17.5%
HV 60d	23.2%	20.9%	26.4%	25.6%	20.9%
IV Rank	7.8%	0.8%	19.6%	0.9%	2.6%
IV Percentile	8.8%	0.8%	32.1%	0.8%	2.8%
Term Structure	0.2%	-2.3%	2.6%	2.6%	-0.3%
VWIV	23.8%	19.9%	27.4%	21.4%	21.5%
Skew 25d	4.3%	-0.7%	37.0%	11.8%	37.0%
Skew 10d	9.3%	-1.9%	87.0%	17.4%	87.0%
Call IV 25d	25.7%	20.4%	28.9%	20.4%	25.7%
Put IV 25d	29.9%	24.4%	62.7%	32.2%	62.7%
Bid-Ask Spread %	2.10	1.69	2.55	2.10	1.69
Gamma HHI	0.27	0.26	0.31	0.26	0.26
Net GEX	48.7M	34.1M	59.0M	46.2M	50.4M
Net DEX	-1.18B	-1.62B	-593.8M	-921.6M	-1.54B
Net VEX	-19.9M	-21.9M	-16.6M	-21.1M	-16.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.27	0.74	0.56	0.27
Total Volume	50,756.2	20,456	108,935	37,355	41,528
Total OI	2,380,167.8	2,238,694	2,488,029	2,426,500	2,291,292

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
2011-04-01	$44.50	$45.00	19.8%	6.1%	19.3%	0.9%	21.4%	11.8%	2.6%	46.2M	-921.6M	-21.1M	0.56	2.10	23,917	13,438	1,682,193	744,307
2011-04-04	$44.30	$45.00	25.8%	7.4%	19.3%	13.0%	26.2%	1.2%	-0.3%	45.1M	-860.4M	-20.6M	0.27	2.30	16,116	4,340	1,686,422	748,518
2011-04-05	$44.70	$45.00	25.7%	7.2%	16.9%	12.9%	25.4%	2.9%	0.9%	49.3M	-969.3M	-20.7M	0.41	2.10	18,158	7,474	1,691,215	750,150
2011-04-06	$45.90	$45.00	24.8%	7.6%	19.6%	11.1%	27.4%	5.0%	0.2%	57.2M	-1.58B	-21.8M	0.68	2.43	64,792	44,143	1,696,295	750,218
2011-04-07	$45.80	$45.00	23.5%	7.4%	17.6%	8.4%	25.9%	2.8%	-0.9%	59.0M	-1.62B	-21.9M	0.51	2.55	49,619	25,392	1,700,485	761,920
2011-04-08	$45.60	$45.00	20.9%	7.7%	17.6%	3.1%	26.6%	2.3%	1.0%	58.3M	-1.52B	-21.9M	0.49	1.89	36,309	17,781	1,711,578	766,187
2011-04-11	$45.30	$45.00	23.9%	7.7%	17.6%	9.2%	26.8%	1.1%	-0.5%	57.2M	-1.30B	-21.5M	0.62	2.11	24,470	15,101	1,713,743	769,871
2011-04-12	$45.50	$45.00	26.9%	7.4%	15.5%	15.2%	25.7%	2.6%	0.2%	55.8M	-1.34B	-21.2M	0.34	2.05	55,759	18,683	1,710,126	773,335
2011-04-13	$45.00	$45.00	29.0%	7.4%	15.5%	19.6%	25.8%	2.4%	-0.2%	55.8M	-1.16B	-21.3M	0.69	2.29	40,647	27,889	1,719,456	768,573
2011-04-14	$44.30	$45.00	26.9%	7.7%	15.9%	15.2%	27.0%	1.5%	-1.1%	50.3M	-835.0M	-20.3M	0.55	1.96	35,381	19,381	1,694,689	767,842
2011-04-15	$44.20	$45.00	26.0%	7.5%	15.3%	13.5%	26.3%	2.6%	-2.3%	47.5M	-593.8M	-19.5M	0.59	1.99	42,521	24,955	1,706,404	772,889
2011-04-18	$44.20	$45.00	23.6%	6.8%	14.3%	8.5%	23.6%	-0.7%	0.8%	34.1M	-820.0M	-20.0M	0.71	1.72	48,255	34,227	1,531,777	706,917
2011-04-19	$45.30	$45.00	22.3%	6.4%	16.7%	6.0%	22.4%	2.4%	0.1%	42.7M	-1.06B	-20.3M	0.74	2.44	25,412	18,741	1,546,477	727,280
2011-04-20	$45.70	$45.00	19.8%	5.7%	16.8%	0.8%	19.9%	2.0%	2.0%	50.1M	-1.51B	-17.3M	0.33	2.22	27,257	8,981	1,547,261	732,157
2011-04-21	$45.50	$45.00	20.8%	6.0%	16.8%	3.0%	20.9%	2.1%	0.6%	49.2M	-1.48B	-16.6M	0.51	2.33	22,068	11,362	1,556,999	733,521
2011-04-25	$45.20	$45.00	20.8%	6.0%	16.9%	2.9%	20.8%	1.5%	0.4%	40.1M	-1.06B	-18.8M	0.47	2.04	29,337	13,807	1,550,015	731,823
2011-04-26	$45.10	$45.00	20.2%	5.8%	16.7%	1.8%	20.2%	1.6%	-0.5%	42.3M	-1.09B	-18.5M	0.53	1.71	24,822	13,047	1,551,965	735,799
2011-04-27	$45.10	$45.00	20.4%	5.8%	16.7%	2.1%	20.3%	1.6%	0.9%	40.6M	-1.06B	-18.0M	0.52	2.24	19,663	10,235	1,546,695	738,007
2011-04-28	$45.90	$45.00	21.9%	6.3%	17.7%	5.3%	22.0%	1.9%	-0.5%	43.1M	-1.30B	-18.9M	0.71	1.75	23,516	16,600	1,550,853	738,102
2011-04-29	$45.90	$45.00	20.6%	6.1%	17.5%	2.6%	21.5%	37.0%	-0.3%	50.4M	-1.54B	-16.9M	0.27	1.69	32,631	8,897	1,551,896	739,396