C Options History — May 2011

In May 2011, C traded between $40.16 and $45.20. ATM implied volatility averaged 24.5%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.5% (HV 20d: 19.9%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-05-24: Highest Volume — 257,175 contracts
  • 2011-05-06: Largest IV spike — 19.0% change
  • 2011-05-06: Highest IV Rank — 19.3%
  • 2011-05-16: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.30$40.16$45.20$44.90$41.15
Max Pain$42.84$41.00$45.00$45.00$41.00
ATM IV24.5%19.9%28.9%23.2%22.5%
Expected Move6.9%5.8%7.9%6.3%5.8%
HV 20d19.9%16.6%21.9%19.3%20.6%
HV 60d21.1%20.2%22.1%21.3%20.2%
IV Rank10.3%1.2%19.3%7.8%6.4%
IV Percentile16.4%2.0%37.3%9.5%7.9%
Term Structure1.0%-1.7%2.9%0.2%2.9%
VWIV24.1%20.6%27.9%22.0%20.6%
Skew 25d5.5%2.5%12.8%11.3%3.7%
Skew 10d10.8%0.2%21.1%18.0%9.1%
Call IV 25d22.2%18.7%25.7%18.7%19.5%
Put IV 25d27.7%23.2%32.8%30.0%23.2%
Bid-Ask Spread %5.051.658.581.897.37
Gamma HHI0.200.100.520.300.10
Net GEX10.7M-55.7M50.0M41.5M12.8M
Net DEX-199.6M-1.35B236.6M-968.9M-320.4K
Net VEX-7.0M-18.9M0-18.2M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.381.630.420.38
Total Volume91,260.626,395257,17526,39578,737
Total OI952,00202,339,6702,309,887813,652

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$44.90$45.0023.2%6.3%19.3%7.8%22.0%11.3%0.2%41.5M-968.9M-18.2M0.421.8918,5247,8711,569,263740,624
2011-05-03$45.20$45.0026.9%7.0%19.3%15.2%24.3%12.6%-1.7%48.3M-1.35B-16.1M0.681.9645,31630,8461,574,016743,480
2011-05-04$45.10$45.0025.3%7.0%19.1%11.9%24.3%12.8%-1.0%46.8M-1.32B-17.4M0.572.2717,98210,3111,571,033752,710
2011-05-05$44.80$45.0024.3%6.8%16.6%10.0%23.9%12.3%0.2%38.5M-919.0M-18.9M1.531.6520,08730,8071,574,077755,563
2011-05-06$45.20$45.0028.9%7.2%16.9%19.3%25.3%2.5%2.0%38.1M-958.4M-17.7M1.022.1225,87926,4501,578,860760,810
2011-05-10$44.20$0.0024.2%6.4%18.6%9.8%22.5%3.3%2.1%0001.638.0351,46283,68800
2011-05-11$42.92$44.0024.2%7.0%21.0%9.8%25.0%3.5%0.9%-2.5M22.5M-1.2M1.055.1065,96768,94149,00284,310
2011-05-12$42.42$43.0025.9%7.4%21.1%13.3%26.4%4.3%0.6%-3.4M74.1M-1.9M1.037.2078,72080,81999,753133,737
2011-05-13$41.53$43.0026.3%7.5%21.8%14.0%27.0%4.2%0.4%63.2K138.3M-2.5M0.958.5844,35342,315154,932190,818
2011-05-16$41.19$43.0027.5%7.9%21.5%16.5%27.9%5.6%0.4%-3.7M129.9M-2.7M0.615.1267,57941,078172,543204,387
2011-05-17$41.54$42.0024.6%7.1%21.9%10.7%26.2%4.5%1.4%-1.9M86.8M-3.1M0.875.3046,96241,024212,203231,069
2011-05-18$41.24$42.0022.9%6.6%21.9%7.2%23.0%3.4%1.6%-4.2M118.6M-3.4M0.806.6948,78939,246243,269258,360
2011-05-19$41.38$42.0022.2%6.4%19.5%5.8%21.5%3.4%1.9%-2.7M90.0M-3.7M1.125.2823,11325,886265,473275,749
2011-05-20$41.02$42.0022.7%6.5%18.9%6.7%22.7%3.6%0.7%-55.7M152.9M-3.8M1.404.7238,29353,436277,003287,419
2011-05-23$40.16$42.0025.1%7.2%19.7%11.6%25.2%4.0%0.2%-4.9M236.6M-3.8M0.757.7258,24843,805252,017287,961
2011-05-24$40.51$42.0025.6%7.3%20.4%12.6%26.4%4.2%0.3%-933.4K183.2M-4.3M0.666.48155,279101,896292,630307,782
2011-05-25$40.33$41.0024.7%7.1%20.3%10.8%24.3%4.2%1.4%9.4M133.3M-5.2M0.475.2643,98720,569388,632365,998
2011-05-26$40.22$41.0022.4%6.4%20.3%6.2%22.4%3.8%2.7%9.2M160.4M-5.2M0.824.4040,73333,542398,270370,412
2011-05-27$40.97$41.0019.9%6.2%20.4%1.2%21.7%3.4%2.8%50.0M-3.4M-5.5M0.433.7950,71021,962415,832386,391
2011-05-31$41.15$41.0022.5%5.8%20.6%6.4%20.6%3.7%2.9%12.8M-320.4K-5.6M0.387.3756,96621,771426,710386,942