C Options History — November 2011

In November 2011, C traded between $23.51 and $31.42. ATM implied volatility averaged 64.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 5.4% (HV 20d: 70.2%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2011-11-23: Highest Volume — 304,124 contracts
2011-11-09: Largest IV spike — 22.9% change
2011-11-01: Highest IV Rank — 65.2%
2011-11-23: Largest Expected Move — 21.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.56	$23.51	$31.42	$29.17	$27.48
Max Pain	$30.71	$28.00	$33.00	$28.00	$29.00
ATM IV	64.8%	54.8%	88.6%	88.6%	64.6%
Expected Move	17.8%	15.2%	21.1%	19.9%	17.0%
HV 20d	70.2%	57.5%	79.2%	79.0%	62.8%
HV 60d	71.2%	69.4%	79.0%	79.0%	72.0%
IV Rank	42.7%	33.2%	65.2%	65.2%	42.4%
IV Percentile	84.5%	75.4%	97.6%	97.6%	83.7%
Term Structure	0.2%	-3.7%	2.4%	-3.0%	-0.5%
VWIV	62.3%	52.4%	74.6%	69.5%	60.0%
Skew 25d	11.3%	6.2%	15.6%	11.5%	7.8%
Skew 10d	23.5%	9.8%	33.7%	25.3%	15.3%
Call IV 25d	57.2%	47.3%	72.1%	63.8%	56.1%
Put IV 25d	68.4%	58.9%	79.8%	75.2%	63.8%
Bid-Ask Spread %	4.46	3.26	5.42	4.64	5.42
Gamma HHI	0.07	0.06	0.08	0.06	0.08
Net GEX	5.8M	-5.8M	20.3M	7.8M	16.2M
Net DEX	538.9M	-195.1M	1.05B	300.3M	358.0M
Net VEX	-9.5M	-11.7M	-7.5M	-10.5M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.41	1.15	0.94	0.43
Total Volume	148,372.667	65,899	304,124	281,156	179,353
Total OI	2,742,662.095	2,556,420	2,999,254	2,556,420	2,840,594

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
2011-11-01	$29.17	$28.00	88.6%	19.9%	79.0%	65.2%	69.5%	11.5%	-3.0%	7.8M	300.3M	-10.5M	0.94	4.64	144,701	136,455	1,380,282	1,176,138
2011-11-02	$29.83	$28.00	74.9%	17.9%	79.2%	52.2%	62.6%	11.4%	-1.3%	10.9M	149.0M	-11.1M	0.82	5.32	74,065	60,428	1,425,268	1,205,017
2011-11-03	$30.78	$28.00	59.5%	16.4%	78.1%	37.7%	58.4%	11.3%	0.7%	16.0M	-105.6M	-11.7M	0.74	4.19	76,430	56,655	1,445,350	1,228,772
2011-11-04	$30.34	$33.00	56.9%	16.6%	75.0%	35.2%	59.7%	13.6%	1.1%	14.0M	33.9M	-11.3M	1.15	4.48	38,272	43,836	1,454,709	1,239,848
2011-11-07	$30.55	$33.00	56.0%	15.4%	71.3%	34.4%	56.4%	11.9%	1.0%	15.4M	-2.5M	-11.1M	1.05	4.23	32,197	33,702	1,436,477	1,226,520
2011-11-08	$31.42	$33.00	54.8%	15.2%	69.9%	33.2%	52.4%	11.6%	1.2%	20.3M	-195.1M	-11.2M	0.75	4.32	53,438	39,992	1,443,910	1,237,817
2011-11-09	$28.85	$33.00	67.4%	18.3%	75.2%	45.1%	63.5%	15.6%	-0.9%	6.2M	403.8M	-10.2M	0.69	4.62	105,310	72,541	1,453,391	1,246,748
2011-11-10	$28.63	$33.00	62.3%	17.9%	72.5%	40.3%	62.5%	12.2%	0.5%	5.9M	415.5M	-10.3M	0.68	4.14	95,016	64,598	1,497,060	1,265,912
2011-11-11	$29.33	$32.00	56.6%	16.2%	72.3%	34.9%	56.2%	12.9%	2.1%	13.5M	255.5M	-10.5M	0.78	4.64	64,797	50,339	1,527,820	1,278,496
2011-11-14	$28.38	$32.00	59.4%	17.0%	73.1%	37.6%	57.5%	13.4%	1.2%	7.3M	513.8M	-9.8M	0.50	4.19	96,330	48,549	1,521,952	1,274,381
2011-11-15	$28.02	$32.00	56.5%	16.2%	68.8%	34.8%	56.9%	12.6%	2.1%	5.4M	623.2M	-9.5M	0.87	4.45	83,112	71,984	1,563,228	1,283,116
2011-11-16	$26.86	$31.00	59.8%	17.1%	70.1%	38.0%	59.0%	11.6%	2.1%	-2.2M	894.3M	-8.7M	1.01	5.21	61,320	62,002	1,561,353	1,300,900
2011-11-17	$26.00	$31.00	65.8%	18.9%	70.0%	43.6%	64.6%	13.4%	1.0%	-5.8M	1.05B	-8.4M	0.71	3.99	163,833	116,107	1,578,863	1,303,618
2011-11-18	$26.28	$31.00	60.3%	17.3%	70.1%	38.4%	59.7%	13.6%	2.4%	-1.8M	1.01B	-8.7M	0.97	4.21	62,927	61,223	1,663,419	1,335,835
2011-11-21	$25.00	$31.00	63.6%	18.2%	69.1%	41.6%	64.2%	12.5%	1.0%	-4.0M	984.9M	-7.9M	0.70	4.53	85,741	59,938	1,410,170	1,146,489
2011-11-22	$24.46	$30.00	62.3%	17.9%	69.1%	40.3%	61.0%	8.4%	1.6%	-4.6M	1.03B	-7.6M	0.53	3.86	68,611	36,598	1,445,547	1,160,235
2011-11-23	$23.51	$30.00	73.7%	21.1%	69.4%	51.1%	73.7%	7.7%	-3.7%	-5.1M	1.05B	-7.5M	0.41	4.32	215,495	88,629	1,476,548	1,167,186
2011-11-25	$23.63	$29.00	71.0%	20.6%	57.5%	48.5%	74.6%	6.2%	-1.5%	-1.2M	971.9M	-7.9M	0.69	3.26	44,115	30,519	1,597,749	1,199,549
2011-11-28	$25.05	$29.00	75.3%	19.7%	63.4%	52.6%	69.2%	8.5%	-3.0%	3.0M	805.8M	-8.3M	0.44	4.40	95,511	41,985	1,583,807	1,187,704
2011-11-29	$25.24	$29.00	71.7%	18.7%	59.3%	49.2%	65.7%	8.9%	-0.5%	4.8M	779.9M	-8.5M	0.56	5.24	63,744	35,428	1,616,613	1,207,513
2011-11-30	$27.48	$29.00	64.6%	17.0%	62.8%	42.4%	60.0%	7.8%	-0.5%	16.2M	358.0M	-9.4M	0.43	5.42	125,100	54,253	1,621,878	1,218,716