C Options History — June 2011

In June 2011, C traded between $36.81 and $41.64. ATM implied volatility averaged 33.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.0% (HV 20d: 29.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-06-06: Highest Volume — 408,078 contracts
  • 2011-06-06: Largest IV spike — 69.2% change
  • 2011-06-06: Highest IV Rank — 48.7%
  • 2011-06-16: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$36.81$41.64$39.65$41.64
Max Pain$39.82$39.00$41.00$41.00$39.00
ATM IV33.4%24.9%43.5%32.2%24.9%
Expected Move9.2%7.3%10.7%7.3%8.8%
HV 20d29.4%22.8%32.9%22.8%31.4%
HV 60d23.0%20.0%25.3%20.7%25.3%
IV Rank28.4%11.2%48.7%26.1%11.2%
IV Percentile69.5%20.6%94.4%65.5%20.6%
Term Structure-0.5%-1.9%1.1%0.9%-1.3%
VWIV32.3%25.2%37.8%25.2%31.5%
Skew 25d4.9%2.7%6.9%4.1%2.7%
Skew 10d10.8%6.3%17.0%8.8%6.7%
Call IV 25d30.3%24.4%35.2%24.4%30.0%
Put IV 25d35.2%28.5%42.1%28.5%32.7%
Bid-Ask Spread %6.224.239.225.288.44
Gamma HHI0.130.090.490.100.16
Net GEX30.6M-4.4M84.6M-674.9K81.4M
Net DEX-88.2M-1.27B601.7M274.0M-1.27B
Net VEX-9.5M-12.5M-5.5M-5.5M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.250.910.630.55
Total Volume159,053.72761,040408,078127,848130,999
Total OI1,380,142.864833,4591,666,629833,4591,666,629

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$39.65$41.0032.2%7.3%22.8%26.1%25.2%4.1%0.9%-674.9K274.0M-5.5M0.635.2878,59149,257438,619394,840
2011-06-02$40.01$41.0027.7%7.4%23.0%16.8%26.3%4.5%0.7%4.2M191.3M-5.9M0.626.5896,94060,160483,103414,265
2011-06-03$39.85$40.0025.7%7.5%23.0%12.8%26.3%4.6%-0.2%5.4M196.6M-6.8M0.915.2031,90629,134538,932445,474
2011-06-06$38.07$40.0043.5%9.2%26.9%48.7%31.5%5.3%-1.6%-4.4M493.3M-6.2M0.415.59289,758118,320531,593443,254
2011-06-07$37.58$40.0041.2%8.9%26.2%44.2%31.1%5.6%-0.5%-9.0K498.5M-7.1M0.416.78150,12761,891645,261480,644
2011-06-08$36.81$40.0033.9%9.4%26.1%29.4%32.2%5.6%-0.9%1.6M601.7M-7.2M0.656.52157,752103,311724,059512,432
2011-06-09$37.77$40.0029.2%8.4%27.7%19.9%29.7%5.8%1.1%19.6M414.9M-8.2M0.454.46105,98447,850781,629548,407
2011-06-10$37.92$40.0030.6%8.8%27.9%22.8%30.7%5.4%0.4%84.6M342.6M-8.4M0.576.27176,06299,967793,678552,695
2011-06-13$39.17$40.0031.1%8.9%30.3%23.7%31.6%4.9%-1.3%27.2M-50.3M-9.4M0.356.51186,32265,994819,523570,704
2011-06-14$38.78$40.0031.3%9.0%30.3%24.2%31.6%5.0%-1.7%29.4M57.7M-9.6M0.754.2364,49348,607877,113593,939
2011-06-15$38.00$40.0034.7%9.9%30.6%31.0%35.1%5.5%-1.9%16.6M287.5M-9.5M0.786.1861,41347,792889,104606,449
2011-06-16$37.63$40.0037.4%10.7%30.6%36.4%37.8%6.9%-1.4%12.4M347.3M-9.7M0.506.93157,60278,522900,626615,420
2011-06-17$38.30$39.0035.3%10.1%31.5%32.2%35.4%6.5%-0.3%27.8M63.8M-10.5M0.644.83103,74666,156997,970644,259
2011-06-20$38.16$39.0034.8%10.0%31.5%31.3%34.2%4.9%-0.2%20.1M-20.5M-10.3M0.275.42101,56627,907841,235564,078
2011-06-21$39.31$39.0035.4%10.2%32.9%32.5%34.9%4.5%-0.7%36.0M-357.8M-11.1M0.254.8394,79023,453894,344578,530
2011-06-22$39.51$39.0032.5%9.3%32.8%26.6%33.0%3.1%-0.2%44.8M-469.3M-11.5M0.655.4063,14841,149946,867584,625
2011-06-23$39.41$40.0035.0%10.0%32.7%31.7%35.1%4.1%-1.3%46.2M-446.2M-11.5M0.718.0471,76550,624965,192588,595
2011-06-24$39.59$40.0034.6%9.8%32.8%30.7%36.6%4.7%-0.3%41.0M-536.2M-11.9M0.425.5347,73019,811998,268618,684
2011-06-27$39.99$39.0035.6%9.7%32.3%32.8%34.2%5.0%0.3%48.4M-637.4M-12.0M0.476.5263,10829,653989,490606,999
2011-06-28$40.15$40.0036.4%10.0%32.3%34.6%34.3%3.9%-1.2%55.7M-706.7M-12.1M0.649.2237,43223,9291,018,524613,432
2011-06-29$41.50$40.0031.8%9.0%31.5%25.1%31.8%4.4%-0.7%75.7M-1.22B-12.4M0.428.0394,61539,8461,024,582619,077
2011-06-30$41.64$39.0024.9%8.8%31.4%11.2%31.5%2.7%-1.3%81.4M-1.27B-12.5M0.558.4484,25546,7441,039,151627,478