C Options History — October 2011

In October 2011, C traded between $23.11 and $34.17. ATM implied volatility averaged 67.7%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 11.3% (HV 20d: 79.0%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2011-10-27: Highest Volume — 310,399 contracts
2011-10-31: Largest IV spike — 39.0% change
2011-10-03: Highest IV Rank — 93.4%
2011-10-03: Largest Expected Move — 28.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.74	$23.11	$34.17	$23.11	$31.59
Max Pain	$27.90	$27.00	$30.00	$30.00	$28.00
ATM IV	67.7%	45.6%	118.4%	118.4%	63.3%
Expected Move	18.2%	12.8%	28.9%	28.9%	16.2%
HV 20d	79.0%	71.2%	86.2%	71.2%	73.2%
HV 60d	80.8%	75.5%	85.0%	75.5%	84.9%
IV Rank	45.4%	24.5%	93.4%	93.4%	41.3%
IV Percentile	86.1%	74.6%	99.2%	99.2%	86.5%
Term Structure	-2.6%	-8.8%	-0.1%	-8.8%	-3.2%
VWIV	64.6%	45.8%	98.2%	98.2%	57.3%
Skew 25d	18.0%	8.2%	31.8%	26.3%	8.2%
Skew 10d	37.1%	16.3%	60.1%	50.3%	16.3%
Call IV 25d	55.1%	40.1%	86.4%	86.4%	53.2%
Put IV 25d	73.1%	49.1%	112.8%	112.8%	61.4%
Bid-Ask Spread %	4.43	3.05	8.05	5.75	5.25
Gamma HHI	0.07	0.06	0.08	0.07	0.06
Net GEX	9.6M	-5.5M	30.1M	-5.5M	17.0M
Net DEX	274.6M	-869.6M	1.12B	1.12B	-192.3M
Net VEX	-9.9M	-11.9M	-7.4M	-7.4M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.48	1.62	1.33	0.64
Total Volume	174,499.381	84,066	310,399	164,630	143,638
Total OI	2,642,964.476	2,383,151	2,900,013	2,464,397	2,507,799

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
2011-10-03	$23.11	$30.00	118.4%	28.9%	71.2%	93.4%	98.2%	26.3%	-8.8%	-5.5M	1.12B	-7.4M	1.33	5.75	70,583	94,047	1,324,819	1,139,578
2011-10-04	$24.39	$30.00	105.4%	26.5%	74.4%	81.1%	93.8%	31.8%	-8.1%	-5.3M	1.06B	-7.9M	1.17	8.05	136,496	159,273	1,351,369	1,173,650
2011-10-05	$24.71	$29.00	107.6%	25.0%	72.3%	83.1%	88.3%	30.9%	-8.0%	-1.7M	929.3M	-7.9M	0.82	5.14	58,061	47,585	1,381,402	1,142,540
2011-10-06	$26.02	$29.00	75.0%	20.8%	74.5%	52.3%	76.9%	25.8%	-4.3%	918.4K	808.8M	-8.8M	0.71	3.12	110,066	78,535	1,418,689	1,207,075
2011-10-07	$24.63	$28.00	75.0%	21.1%	75.3%	52.3%	70.1%	26.0%	-3.4%	-4.8M	1.03B	-8.0M	0.88	4.14	69,700	61,353	1,447,362	1,230,968
2011-10-10	$26.49	$27.00	73.4%	19.6%	80.1%	50.8%	69.5%	26.0%	-2.3%	335.2K	816.7M	-8.7M	0.72	3.78	58,807	42,218	1,437,227	1,224,051
2011-10-11	$27.84	$27.00	72.4%	18.0%	82.0%	49.8%	65.0%	24.8%	-1.2%	6.6M	506.9M	-9.6M	1.07	3.49	97,715	104,690	1,457,133	1,226,544
2011-10-12	$29.20	$27.00	69.7%	17.6%	83.6%	47.3%	61.8%	19.3%	-2.0%	12.4M	196.7M	-10.3M	1.06	3.05	131,880	139,649	1,481,653	1,254,715
2011-10-13	$27.64	$27.00	59.8%	17.1%	84.7%	38.0%	63.2%	17.4%	-0.5%	4.6M	604.1M	-9.5M	1.62	3.12	67,511	109,453	1,499,560	1,283,968
2011-10-14	$28.40	$27.00	57.8%	16.6%	85.1%	36.1%	58.6%	16.0%	-0.8%	6.9M	460.3M	-9.8M	0.84	6.72	89,591	74,849	1,508,036	1,313,770
2011-10-17	$27.93	$27.00	60.6%	17.4%	83.7%	38.7%	61.4%	14.1%	-1.2%	8.2M	470.5M	-9.7M	0.96	3.55	76,300	73,196	1,501,128	1,275,877
2011-10-18	$29.88	$27.00	55.3%	15.8%	86.2%	33.7%	56.5%	12.9%	-0.1%	16.7M	3.3M	-10.5M	0.48	4.97	145,035	69,154	1,516,809	1,294,937
2011-10-19	$29.39	$27.00	59.3%	17.0%	83.8%	37.5%	58.5%	13.3%	-1.3%	15.4M	130.9M	-10.4M	1.02	3.70	107,747	110,070	1,526,553	1,302,926
2011-10-20	$30.08	$28.00	60.3%	17.3%	79.8%	38.4%	59.9%	13.8%	-1.9%	18.5M	-83.6M	-11.0M	0.75	3.16	92,348	68,865	1,528,697	1,330,911
2011-10-21	$30.30	$28.00	58.7%	16.8%	79.0%	36.9%	58.7%	15.2%	-1.6%	16.6M	-151.9M	-10.9M	0.67	3.64	98,971	66,767	1,548,650	1,351,363
2011-10-24	$31.60	$28.00	50.6%	14.5%	77.0%	29.3%	53.1%	12.7%	-1.8%	14.5M	-151.8M	-10.8M	0.64	4.15	101,829	65,311	1,279,470	1,103,681
2011-10-25	$30.90	$28.00	55.1%	15.8%	77.8%	33.5%	57.5%	13.5%	-1.5%	13.3M	-35.3M	-10.9M	1.50	6.06	33,634	50,432	1,311,770	1,124,232
2011-10-26	$31.15	$28.00	51.4%	14.7%	75.7%	30.0%	53.3%	12.5%	-0.2%	13.9M	-57.2M	-10.8M	0.95	4.48	60,056	57,058	1,311,276	1,140,672
2011-10-27	$34.17	$28.00	47.0%	13.5%	80.8%	25.8%	49.0%	9.1%	-1.1%	23.3M	-819.7M	-11.9M	0.54	4.08	200,951	109,448	1,325,177	1,156,413
2011-10-28	$34.16	$28.00	45.6%	12.8%	77.7%	24.5%	45.8%	8.9%	-0.7%	30.1M	-869.6M	-11.9M	0.97	3.59	66,668	64,947	1,383,338	1,176,466
2011-10-31	$31.59	$28.00	63.3%	16.2%	73.2%	41.3%	57.3%	8.2%	-3.2%	17.0M	-192.3M	-11.2M	0.64	5.25	87,531	56,107	1,364,482	1,143,317