C Options History — August 2011

In August 2011, C traded between $26.06 and $38.48. ATM implied volatility averaged 70.9%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 12.9% (HV 20d: 83.8%). Max pain ranged from $33.00 to $40.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.99.

Notable Days

2011-08-05: Highest Volume — 422,369 contracts
2011-08-08: Largest IV spike — 87.2% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.88	$26.06	$38.48	$38.48	$31.05
Max Pain	$36.83	$33.00	$40.00	$40.00	$33.00
ATM IV	70.9%	40.2%	125.4%	44.8%	60.1%
Expected Move	18.1%	9.5%	27.6%	10.2%	14.9%
HV 20d	83.8%	32.3%	106.0%	32.3%	105.4%
HV 60d	55.3%	30.0%	66.2%	30.0%	65.7%
IV Rank	60.3%	34.6%	100.0%	74.6%	38.4%
IV Percentile	97.6%	93.3%	100.0%	98.4%	94.4%
Term Structure	-1.4%	-9.8%	3.7%	-0.2%	3.7%
VWIV	63.8%	33.4%	95.2%	36.3%	54.6%
Skew 25d	23.9%	3.5%	45.1%	6.3%	18.0%
Skew 10d	50.6%	8.0%	85.8%	14.8%	37.7%
Call IV 25d	53.1%	32.1%	76.0%	33.1%	44.7%
Put IV 25d	77.0%	35.6%	121.1%	39.5%	62.7%
Bid-Ask Spread %	5.73	4.02	9.91	7.25	5.26
Gamma HHI	0.07	0.06	0.12	0.12	0.06
Net GEX	2.5M	-6.4M	32.3M	32.3M	10.2M
Net DEX	892.3M	-62.5M	1.47B	-62.5M	465.0M
Net VEX	-9.4M	-11.7M	-7.8M	-11.7M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.28	1.52	0.95	1.00
Total Volume	201,973.478	58,795	422,369	58,795	87,201
Total OI	2,330,537.348	1,899,905	2,795,077	1,899,905	2,480,367

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
2011-08-01	$38.48	$40.00	44.8%	10.2%	32.3%	74.6%	36.3%	6.3%	-0.2%	32.3M	-62.5M	-11.7M	0.95	7.25	30,194	28,601	1,167,332	732,573
2011-08-02	$37.04	$40.00	47.7%	10.5%	34.3%	83.1%	36.2%	4.8%	-0.5%	11.6M	348.8M	-10.8M	0.28	6.70	84,956	23,512	1,174,981	741,245
2011-08-03	$37.26	$40.00	40.2%	9.5%	34.5%	61.3%	33.4%	3.5%	0.1%	10.0M	309.8M	-10.8M	1.34	6.86	41,198	55,377	1,192,687	748,893
2011-08-04	$34.81	$40.00	54.7%	13.3%	40.0%	100.0%	46.2%	12.4%	-3.8%	-4.8M	841.6M	-9.8M	1.11	5.74	122,481	135,948	1,202,598	769,981
2011-08-05	$33.44	$40.00	67.0%	14.0%	41.4%	100.0%	46.7%	14.0%	0.0%	-5.6M	1.04B	-9.4M	1.13	6.62	197,907	224,462	1,267,674	822,028
2011-08-08	$28.20	$39.00	125.4%	27.6%	68.8%	100.0%	95.2%	45.1%	-9.0%	-1.2M	1.14B	-7.9M	1.52	7.91	138,901	210,485	1,310,451	815,591
2011-08-09	$31.82	$39.00	104.3%	18.1%	84.4%	80.1%	66.5%	32.0%	-0.7%	-1.0M	1.02B	-9.2M	0.90	9.91	206,656	185,736	1,346,930	861,791
2011-08-10	$28.49	$38.00	125.3%	26.1%	91.1%	99.8%	87.4%	38.8%	-9.8%	-1.9M	1.26B	-8.2M	1.27	4.51	119,573	151,610	1,428,461	942,641
2011-08-11	$30.29	$38.00	78.0%	22.3%	95.2%	55.2%	86.8%	40.3%	-5.5%	-2.7M	1.23B	-8.6M	1.07	5.96	104,678	112,103	1,458,204	976,762
2011-08-12	$29.85	$37.00	74.6%	21.4%	95.2%	52.1%	76.6%	27.4%	-3.3%	-3.8M	1.23B	-9.1M	1.18	4.02	93,896	110,624	1,519,784	1,019,116
2011-08-15	$31.27	$37.00	59.0%	16.9%	97.5%	37.4%	60.5%	18.0%	-1.3%	-1.2M	1.08B	-9.4M	1.08	6.02	78,376	84,609	1,501,840	1,013,959
2011-08-16	$29.94	$37.00	62.3%	17.9%	98.0%	40.5%	65.5%	20.5%	-1.9%	-3.8M	1.26B	-8.9M	1.15	4.55	54,908	63,204	1,518,300	1,037,279
2011-08-17	$29.85	$37.00	58.4%	16.7%	97.5%	36.8%	59.2%	17.8%	1.1%	-4.2M	1.28B	-8.8M	1.11	4.85	51,827	57,512	1,531,810	1,049,070
2011-08-18	$27.98	$36.00	76.6%	22.0%	96.8%	54.0%	74.7%	31.6%	-2.7%	-6.4M	1.46B	-7.8M	0.39	5.18	287,706	113,281	1,530,265	1,053,945
2011-08-19	$26.77	$35.00	79.3%	22.7%	97.0%	56.5%	72.5%	32.0%	-1.0%	2.9M	1.47B	-7.8M	1.16	4.83	120,646	139,793	1,711,992	1,083,085
2011-08-22	$26.06	$35.00	84.9%	24.3%	96.9%	61.8%	81.9%	35.2%	-1.4%	-2.5M	1.09B	-7.9M	0.97	4.69	66,404	64,490	1,282,645	935,980
2011-08-23	$27.32	$35.00	73.1%	20.9%	99.8%	50.7%	71.7%	27.6%	-0.3%	-1.4M	1.02B	-8.5M	0.56	5.65	151,627	85,629	1,304,644	953,948
2011-08-24	$28.45	$35.00	65.2%	18.7%	101.7%	43.3%	66.7%	25.9%	1.7%	2.8M	863.6M	-9.3M	0.66	6.47	70,544	46,521	1,370,353	992,643
2011-08-25	$29.83	$34.00	69.2%	19.8%	104.0%	47.0%	70.8%	30.6%	-3.9%	7.2M	592.5M	-10.4M	1.03	4.76	127,208	131,013	1,387,873	1,007,172
2011-08-26	$29.84	$35.00	65.1%	18.7%	103.9%	43.2%	67.6%	28.3%	-0.8%	3.4M	654.9M	-10.2M	0.90	4.24	95,238	85,827	1,413,760	1,038,282
2011-08-29	$31.29	$34.00	58.5%	15.2%	106.0%	36.9%	54.8%	19.8%	3.2%	8.5M	443.0M	-10.9M	0.78	4.35	73,990	57,728	1,412,563	1,027,016
2011-08-30	$30.94	$33.00	56.1%	15.3%	105.5%	34.6%	55.1%	19.6%	3.6%	9.4M	476.4M	-10.7M	1.14	5.41	33,289	37,921	1,434,542	1,029,303
2011-08-31	$31.05	$33.00	60.1%	14.9%	105.4%	38.4%	54.6%	18.0%	3.7%	10.2M	465.0M	-10.6M	1.00	5.26	43,508	43,693	1,444,981	1,035,386