C Options History — December 2011

In December 2011, C traded between $24.82 and $29.83. ATM implied volatility averaged 57.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 8.0% (HV 20d: 65.0%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2011-12-08: Highest Volume — 253,042 contracts
2011-12-09: Largest IV drop — 23.8% change
2011-12-08: Highest IV Rank — 56.7%
2011-12-08: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.20	$24.82	$29.83	$26.99	$26.31
Max Pain	$30.62	$28.00	$32.00	$29.00	$30.00
ATM IV	57.0%	41.0%	79.6%	62.2%	41.0%
Expected Move	15.8%	13.7%	19.1%	17.5%	14.3%
HV 20d	65.0%	58.4%	67.4%	62.3%	58.4%
HV 60d	71.4%	66.7%	74.1%	71.4%	66.8%
IV Rank	35.2%	20.1%	56.7%	40.2%	20.1%
IV Percentile	71.1%	56.0%	95.2%	80.6%	56.0%
Term Structure	0.4%	-2.7%	2.5%	-1.7%	2.2%
VWIV	55.6%	47.4%	66.9%	61.9%	49.8%
Skew 25d	8.7%	5.8%	11.1%	10.1%	6.0%
Skew 10d	18.7%	11.9%	25.6%	21.3%	11.9%
Call IV 25d	51.9%	44.5%	62.4%	56.7%	47.2%
Put IV 25d	60.6%	51.0%	72.2%	66.8%	53.2%
Bid-Ask Spread %	4.57	2.92	6.12	4.19	2.92
Gamma HHI	0.09	0.06	0.25	0.08	0.06
Net GEX	7.9M	-15.8M	28.4M	14.8M	296.1K
Net DEX	430.8M	-284.6M	926.5M	480.1M	570.5M
Net VEX	-8.5M	-10.4M	-6.8M	-9.2M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.23	1.28	0.49	0.94
Total Volume	138,157.095	44,720	253,042	107,085	44,720
Total OI	2,729,040.429	2,328,565	3,007,344	2,866,518	2,529,226

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
2011-12-01	$26.99	$29.00	62.2%	17.5%	62.3%	40.2%	61.9%	10.1%	-1.7%	14.8M	480.1M	-9.2M	0.49	4.19	71,934	35,151	1,638,908	1,227,610
2011-12-02	$28.17	$28.00	63.1%	17.4%	63.3%	41.0%	60.6%	9.2%	-1.7%	23.0M	113.2M	-9.7M	0.41	4.71	118,568	48,960	1,657,695	1,228,637
2011-12-05	$29.83	$31.00	69.7%	16.1%	66.8%	47.3%	58.0%	10.6%	-0.4%	28.4M	-284.6M	-10.4M	0.72	4.01	105,280	75,754	1,639,178	1,214,000
2011-12-06	$29.75	$32.00	67.5%	16.7%	66.7%	45.2%	59.8%	11.1%	-1.8%	24.8M	-195.4M	-10.4M	0.66	3.19	55,045	36,117	1,632,479	1,239,647
2011-12-07	$29.83	$32.00	66.4%	17.2%	65.9%	44.2%	62.6%	10.9%	-2.6%	25.2M	-228.8M	-10.3M	0.65	3.54	102,743	67,231	1,634,761	1,239,846
2011-12-08	$27.75	$32.00	79.6%	19.1%	63.8%	56.7%	66.9%	9.8%	-2.7%	15.7M	323.3M	-9.6M	0.38	4.57	183,592	69,450	1,680,034	1,263,022
2011-12-09	$28.77	$32.00	60.7%	17.2%	65.2%	38.7%	60.8%	10.3%	-1.0%	28.1M	20.4M	-9.9M	0.58	3.97	105,007	60,428	1,740,065	1,267,279
2011-12-12	$27.22	$32.00	60.5%	17.2%	67.4%	38.6%	58.4%	10.6%	0.3%	16.2M	550.2M	-8.6M	0.53	6.12	99,247	52,245	1,679,582	1,248,556
2011-12-13	$26.90	$31.00	56.6%	16.8%	66.6%	34.8%	57.9%	10.0%	0.7%	10.6M	679.3M	-8.4M	0.90	5.60	63,373	57,309	1,696,094	1,259,623
2011-12-14	$26.05	$31.00	59.1%	17.0%	67.3%	37.2%	59.5%	9.9%	0.7%	-1.4M	888.5M	-7.8M	1.28	4.34	61,801	78,925	1,676,933	1,267,056
2011-12-15	$25.91	$31.00	55.1%	15.8%	65.8%	33.5%	53.9%	8.9%	1.5%	-4.4M	920.1M	-7.6M	0.56	4.72	80,090	45,198	1,685,389	1,276,494
2011-12-16	$26.03	$31.00	52.9%	15.2%	64.8%	31.4%	52.0%	9.5%	2.0%	-15.8M	926.5M	-7.4M	0.96	4.45	87,080	83,276	1,718,650	1,279,420
2011-12-19	$24.82	$31.00	54.8%	15.7%	66.8%	33.2%	55.4%	8.6%	1.9%	-6.2M	825.2M	-6.8M	0.52	5.97	137,042	71,499	1,297,912	1,030,653
2011-12-20	$25.95	$30.00	52.2%	15.0%	66.4%	30.7%	52.1%	8.7%	1.2%	-2.3M	657.2M	-7.5M	0.64	4.71	63,140	40,210	1,375,303	1,053,197
2011-12-21	$26.10	$30.00	49.3%	14.1%	65.8%	28.0%	50.4%	6.5%	2.0%	-1.7M	629.6M	-7.4M	0.23	5.16	147,048	34,103	1,374,919	1,060,426
2011-12-22	$27.65	$30.00	48.0%	13.8%	66.4%	26.8%	49.9%	6.7%	1.5%	6.9M	277.0M	-8.4M	0.83	5.20	118,983	98,812	1,444,229	1,060,394
2011-12-23	$27.46	$30.00	47.8%	13.7%	66.6%	26.5%	47.4%	6.5%	2.5%	3.3M	332.3M	-8.2M	0.86	3.89	41,427	35,590	1,413,799	1,088,530
2011-12-27	$26.90	$30.00	49.2%	14.1%	64.5%	27.9%	49.9%	6.8%	1.1%	937.1K	480.2M	-7.9M	0.61	5.92	40,640	24,612	1,402,947	1,076,006
2011-12-28	$26.13	$30.00	51.9%	14.9%	65.5%	30.4%	51.8%	5.8%	1.2%	-1.8M	600.6M	-7.6M	0.63	5.09	47,920	30,158	1,414,323	1,080,682
2011-12-29	$26.76	$30.00	49.3%	14.1%	58.4%	27.9%	49.6%	6.5%	1.1%	2.4M	482.2M	-7.7M	0.48	3.70	55,136	26,455	1,432,415	1,083,930
2011-12-30	$26.31	$30.00	41.0%	14.3%	58.4%	20.1%	49.8%	6.0%	2.2%	296.1K	570.5M	-7.5M	0.94	2.92	23,033	21,687	1,441,366	1,087,860