C Options History — July 2011

In July 2011, C traded between $37.74 and $42.88. ATM implied volatility averaged 33.8%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.7% (HV 20d: 32.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-07-15: Highest Volume — 286,472 contracts
  • 2011-07-11: Largest IV spike — 38.1% change
  • 2011-07-29: Highest IV Rank — 71.2%
  • 2011-07-29: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.86$37.74$42.88$42.88$38.34
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.8%24.0%53.4%24.0%43.6%
Expected Move8.9%8.0%10.6%8.6%10.6%
HV 20d32.1%25.9%36.9%32.8%34.5%
HV 60d28.1%25.4%30.3%26.0%30.0%
IV Rank35.3%9.4%71.2%9.4%71.2%
IV Percentile64.2%16.3%99.2%16.3%98.0%
Term Structure0.2%-2.0%2.0%-2.0%-0.2%
VWIV31.2%27.5%40.7%31.6%40.7%
Skew 25d4.1%3.2%5.9%3.7%5.9%
Skew 10d8.5%6.4%13.5%8.4%13.5%
Call IV 25d29.4%26.3%35.1%28.8%35.1%
Put IV 25d33.6%30.3%41.0%32.5%41.0%
Bid-Ask Spread %6.054.1910.2610.266.15
Gamma HHI0.140.110.180.170.12
Net GEX48.2M16.0M86.2M86.2M31.3M
Net DEX-529.2M-1.79B197.1M-1.79B-52.1M
Net VEX-11.7M-12.7M-10.5M-12.6M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.331.300.381.30
Total Volume122,045.6543,072286,472140,205111,268
Total OI1,748,522.351,569,8801,877,9061,695,1231,877,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$42.88$40.0024.0%8.6%32.8%9.4%31.6%3.7%-2.0%86.2M-1.79B-12.6M0.3810.26101,78438,4211,052,858642,265
2011-07-05$42.57$40.0030.1%8.3%27.5%21.8%29.8%4.6%-1.1%80.1M-1.55B-12.3M0.945.4032,91331,1001,021,803639,160
2011-07-06$42.01$40.0033.0%8.5%27.5%27.5%31.1%4.7%-0.7%73.3M-1.30B-12.2M0.625.9165,86340,7641,026,106648,690
2011-07-07$42.63$40.0030.8%8.2%25.9%23.2%29.6%3.6%-1.0%82.7M-1.54B-12.1M0.644.1955,71035,7941,017,771663,540
2011-07-08$42.03$40.0032.1%8.2%26.0%25.8%28.7%3.2%-0.0%80.6M-1.29B-12.0M0.835.2341,06734,2621,027,565666,959
2011-07-11$39.79$40.0044.3%9.3%33.6%50.4%32.2%4.5%-1.0%40.8M-367.7M-11.2M0.797.53111,59887,6811,017,821664,470
2011-07-12$39.07$40.0049.9%10.0%32.4%61.6%33.7%4.5%-0.5%30.9M-125.8M-11.2M0.365.78112,11340,0951,059,265688,858
2011-07-13$39.47$40.0053.4%9.8%32.4%68.8%33.3%4.5%-0.2%39.3M-286.6M-11.5M0.575.1257,41532,4451,086,467692,110
2011-07-14$39.02$40.0034.1%9.8%31.8%31.7%33.8%4.9%-0.1%30.7M-105.6M-11.2M0.785.2272,09955,8751,088,824697,319
2011-07-15$38.38$40.0031.1%8.9%32.2%34.7%30.3%3.6%2.0%18.2M197.1M-10.6M0.576.88183,024103,4481,103,969710,337
2011-07-18$37.74$40.0031.2%8.9%32.1%34.8%31.1%3.5%1.2%16.0M188.4M-10.5M0.335.12192,76663,809973,018596,862
2011-07-19$38.02$40.0028.6%8.2%32.2%27.2%28.1%4.4%1.6%24.4M80.2M-11.0M0.646.5890,54057,8341,088,489622,977
2011-07-20$38.62$40.0028.2%8.1%30.9%25.9%28.2%4.3%1.3%37.8M-113.8M-11.5M0.596.7356,13733,1871,103,052651,238
2011-07-21$40.32$40.0027.9%8.0%34.6%25.1%27.5%4.0%1.5%68.0M-783.2M-12.7M0.555.7084,26345,9201,119,750663,688
2011-07-22$40.26$40.0028.6%8.2%34.6%27.2%28.6%3.9%1.3%62.4M-752.5M-12.7M0.584.2141,25624,0001,133,962679,351
2011-07-25$39.91$40.0028.9%8.3%34.7%28.0%29.7%3.5%1.1%57.4M-546.9M-12.4M1.044.3721,06522,0071,114,013660,483
2011-07-26$39.72$40.0029.2%8.4%34.6%28.9%29.5%3.6%0.6%51.7M-458.9M-12.1M0.388.6355,59420,9001,119,949671,509
2011-07-27$38.27$40.0033.1%9.5%36.9%40.5%33.0%3.8%0.5%26.1M8.5M-11.6M0.495.6279,54638,7671,139,809683,441
2011-07-28$38.18$40.0033.6%9.6%34.4%41.9%33.4%4.3%0.1%26.8M8.3M-11.6M1.256.3330,45638,1271,161,607693,186
2011-07-29$38.34$40.0043.6%10.6%34.5%71.2%40.7%5.9%-0.2%31.3M-52.1M-11.9M1.306.1548,44362,8251,169,839708,067