C Options History — September 2011

In September 2011, C traded between $23.96 and $30.00. ATM implied volatility averaged 68.3%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 2.2% (HV 20d: 66.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2011-09-22: Highest Volume — 265,305 contracts
2011-09-06: Largest IV spike — 34.4% change
2011-09-22: Highest IV Rank — 60.5%
2011-09-22: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.14	$23.96	$30.00	$30.00	$25.61
Max Pain	$31.57	$30.00	$33.00	$33.00	$30.00
ATM IV	68.3%	54.9%	83.6%	54.9%	76.1%
Expected Move	19.9%	16.0%	24.0%	16.5%	22.4%
HV 20d	66.1%	55.9%	104.4%	103.6%	64.6%
HV 60d	68.9%	65.9%	72.9%	65.9%	72.9%
IV Rank	46.2%	33.5%	60.5%	33.5%	53.4%
IV Percentile	94.3%	89.3%	98.4%	92.5%	95.6%
Term Structure	-1.1%	-4.3%	3.6%	3.6%	-2.7%
VWIV	70.2%	57.1%	81.7%	57.3%	77.6%
Skew 25d	21.3%	17.5%	25.0%	19.3%	25.0%
Skew 10d	40.7%	33.2%	47.6%	37.1%	44.9%
Call IV 25d	59.0%	47.0%	73.4%	49.3%	66.9%
Put IV 25d	80.4%	65.5%	93.8%	68.6%	91.9%
Bid-Ask Spread %	5.39	4.41	7.04	5.32	7.04
Gamma HHI	0.07	0.05	0.26	0.06	0.06
Net GEX	1.1M	-6.5M	24.8M	6.6M	-2.6M
Net DEX	904.4M	652.3M	1.09B	652.3M	900.2M
Net VEX	-8.9M	-10.3M	-7.3M	-10.3M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.47	1.94	0.77	1.93
Total Volume	117,702.619	67,556	265,305	102,412	71,272
Total OI	2,481,015.476	2,162,983	2,756,312	2,509,834	2,489,767

Daily Data (21 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
2011-09-01	$30.00	$33.00	54.9%	16.5%	103.6%	33.5%	57.3%	19.3%	3.6%	6.6M	652.3M	-10.3M	0.77	5.32	57,804	44,608	1,455,166	1,054,668
2011-09-02	$28.40	$33.00	59.5%	19.1%	104.4%	37.8%	64.5%	19.6%	2.7%	2.0M	906.4M	-9.7M	1.48	5.94	41,804	61,809	1,482,885	1,065,016
2011-09-06	$27.70	$33.00	79.9%	20.7%	85.4%	57.1%	75.4%	24.2%	-2.7%	439.0K	975.8M	-9.1M	0.87	4.84	72,369	63,137	1,464,754	1,062,485
2011-09-07	$28.98	$33.00	61.9%	18.6%	74.7%	40.1%	73.3%	21.5%	-2.1%	5.4M	794.0M	-9.7M	0.87	4.65	63,740	55,581	1,491,197	1,073,135
2011-09-08	$27.98	$33.00	66.7%	19.2%	64.6%	44.6%	64.3%	21.1%	-2.5%	2.2M	947.4M	-9.2M	0.99	5.33	34,474	34,129	1,515,197	1,087,976
2011-09-09	$26.74	$33.00	80.4%	22.0%	62.0%	57.5%	78.3%	24.8%	-3.7%	-1.3M	1.09B	-8.8M	1.12	4.78	55,600	62,499	1,525,343	1,099,554
2011-09-12	$26.96	$33.00	75.3%	21.5%	62.1%	52.8%	81.7%	23.7%	-1.4%	-1.1M	1.06B	-8.8M	1.36	5.97	45,986	62,772	1,518,310	1,099,567
2011-09-13	$27.05	$33.00	62.5%	20.3%	59.2%	40.7%	72.7%	21.5%	-1.1%	-1.9M	1.09B	-8.7M	1.21	5.36	36,939	44,547	1,532,791	1,132,364
2011-09-14	$27.39	$32.00	55.0%	18.5%	58.0%	33.6%	61.8%	19.7%	0.7%	-302.7K	1.05B	-8.7M	0.80	5.12	37,543	30,013	1,545,537	1,131,313
2011-09-15	$28.59	$32.00	57.0%	16.3%	60.4%	35.5%	57.1%	19.1%	0.5%	6.9M	877.9M	-9.2M	0.47	5.23	111,504	52,935	1,553,641	1,138,578
2011-09-16	$28.99	$31.00	56.0%	16.0%	55.9%	34.5%	62.0%	18.5%	1.0%	24.8M	781.0M	-9.5M	1.01	4.41	79,282	79,700	1,602,628	1,153,684
2011-09-19	$27.71	$31.00	61.9%	17.8%	56.0%	40.2%	64.8%	18.4%	0.3%	-1.5M	759.8M	-9.0M	1.36	5.06	30,880	42,132	1,171,026	991,957
2011-09-20	$26.93	$31.00	63.8%	18.3%	56.1%	41.9%	60.8%	17.5%	0.3%	-4.0M	875.9M	-8.4M	0.82	4.95	46,603	38,411	1,180,776	1,005,671
2011-09-21	$25.52	$31.00	72.1%	20.7%	56.6%	49.8%	71.6%	19.0%	-2.3%	-5.7M	991.8M	-7.9M	1.04	6.35	61,905	64,354	1,201,757	1,025,309
2011-09-22	$23.96	$31.00	83.6%	24.0%	57.9%	60.5%	80.6%	20.4%	-3.2%	-6.5M	1.09B	-7.3M	1.94	5.43	90,189	175,116	1,216,507	1,041,359
2011-09-23	$24.98	$30.00	81.8%	23.5%	57.2%	58.9%	79.0%	23.3%	-4.3%	-2.6M	1.02B	-7.9M	0.74	4.95	116,514	86,256	1,246,737	1,080,178
2011-09-26	$26.72	$30.00	67.7%	19.4%	63.3%	45.6%	68.5%	20.3%	-0.6%	-100.6K	785.0M	-8.9M	0.73	4.70	56,092	40,962	1,278,443	1,088,510
2011-09-27	$26.99	$30.00	71.8%	20.6%	60.4%	49.4%	74.9%	24.0%	-2.5%	1.1M	747.7M	-9.0M	0.88	6.51	79,610	70,310	1,288,799	1,105,011
2011-09-28	$25.92	$30.00	75.9%	21.8%	61.6%	53.4%	78.3%	24.1%	-2.7%	-1.4M	876.1M	-8.7M	1.07	5.32	39,416	42,023	1,329,827	1,114,984
2011-09-29	$26.90	$30.00	70.8%	20.3%	63.6%	48.3%	69.3%	22.9%	-0.9%	1.7M	733.7M	-9.2M	1.14	5.94	42,583	48,352	1,337,208	1,121,710
2011-09-30	$25.61	$30.00	76.1%	22.4%	64.6%	53.4%	77.6%	25.0%	-2.7%	-2.6M	900.2M	-8.7M	1.93	7.04	24,338	46,934	1,348,856	1,140,911