C Options History — January 2012

In January 2012, C traded between $28.17 and $31.60. ATM implied volatility averaged 44.2%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 9.6% (HV 20d: 53.8%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2012-01-17: Highest Volume — 259,892 contracts
2012-01-20: Largest IV drop — 13.1% change
2012-01-03: Highest IV Rank — 34.9%
2012-01-03: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.72	$28.17	$31.60	$28.33	$30.72
Max Pain	$28.20	$26.00	$30.00	$30.00	$29.00
ATM IV	44.2%	36.6%	56.6%	56.6%	40.0%
Expected Move	12.4%	10.5%	14.7%	14.7%	10.7%
HV 20d	53.8%	48.7%	62.4%	62.4%	48.7%
HV 60d	62.8%	56.4%	67.7%	67.7%	56.4%
IV Rank	23.1%	15.9%	34.9%	34.9%	19.1%
IV Percentile	54.8%	48.4%	69.4%	69.4%	50.0%
Term Structure	1.2%	-1.5%	3.1%	-1.5%	3.1%
VWIV	43.8%	37.0%	51.7%	51.7%	38.5%
Skew 25d	5.6%	3.9%	8.8%	8.8%	3.9%
Skew 10d	10.9%	7.1%	16.8%	16.8%	7.1%
Call IV 25d	40.7%	34.7%	47.0%	47.0%	36.2%
Put IV 25d	46.3%	39.1%	55.8%	55.8%	40.1%
Bid-Ask Spread %	4.28	2.26	6.64	4.84	6.64
Gamma HHI	0.10	0.06	0.16	0.06	0.09
Net GEX	18.0M	8.0M	31.2M	8.0M	19.6M
Net DEX	-203.7M	-822.5M	290.5M	157.5M	-435.6M
Net VEX	-8.9M	-9.9M	-8.0M	-8.1M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.39	1.36	0.73	0.78
Total Volume	151,321.45	68,255	259,892	143,995	108,178
Total OI	2,423,262.75	1,773,971	2,934,798	2,510,029	1,988,168

Daily Data (20 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
2012-01-03	$28.33	$30.00	56.6%	14.7%	62.4%	34.9%	51.7%	8.8%	-1.5%	8.0M	157.5M	-8.1M	0.73	4.84	83,296	60,699	1,428,833	1,081,196
2012-01-04	$28.17	$30.00	53.0%	14.3%	58.7%	31.5%	49.7%	7.3%	0.2%	8.3M	193.7M	-8.0M	1.05	4.94	45,851	48,002	1,448,031	1,092,903
2012-01-05	$28.51	$30.00	48.8%	13.6%	58.9%	27.5%	49.1%	5.5%	1.2%	11.6M	90.2M	-8.2M	0.39	6.10	143,929	56,335	1,466,857	1,103,021
2012-01-06	$28.55	$26.00	46.7%	13.6%	58.9%	25.5%	49.4%	6.9%	0.8%	12.1M	54.8M	-8.3M	0.81	3.25	74,541	60,652	1,513,738	1,116,830
2012-01-09	$29.08	$26.00	48.5%	13.3%	53.1%	27.2%	47.6%	6.3%	0.6%	15.0M	-22.9M	-8.4M	0.72	3.23	102,114	73,389	1,491,898	1,098,912
2012-01-10	$30.00	$27.00	46.2%	12.8%	52.7%	25.0%	45.1%	5.6%	0.7%	22.2M	-319.8M	-8.9M	0.56	4.12	124,940	69,382	1,542,156	1,138,136
2012-01-11	$31.27	$27.00	49.6%	13.3%	49.8%	28.2%	46.8%	6.3%	-0.3%	28.9M	-742.1M	-9.6M	0.71	3.32	135,383	95,747	1,583,445	1,162,736
2012-01-12	$31.60	$28.00	45.5%	13.0%	49.3%	24.4%	45.6%	6.6%	0.3%	31.2M	-822.5M	-9.9M	0.71	4.37	86,061	61,156	1,600,989	1,194,067
2012-01-13	$30.74	$28.00	47.0%	13.5%	48.9%	25.8%	48.5%	7.3%	1.0%	24.5M	-521.6M	-9.6M	1.31	6.06	76,380	100,360	1,607,498	1,206,952
2012-01-17	$28.22	$28.00	47.0%	13.5%	59.1%	25.7%	46.5%	5.6%	1.6%	8.9M	290.5M	-8.2M	0.92	2.74	135,657	124,235	1,578,327	1,199,781
2012-01-18	$29.03	$28.00	44.8%	12.8%	59.7%	23.7%	45.2%	5.9%	1.5%	16.3M	29.3M	-8.6M	0.70	2.26	107,181	74,681	1,603,478	1,220,282
2012-01-19	$29.33	$28.00	43.6%	12.5%	56.3%	22.6%	43.0%	5.5%	1.1%	23.8M	-59.1M	-8.6M	0.79	3.05	101,838	80,406	1,622,671	1,237,978
2012-01-20	$29.64	$28.00	37.9%	10.9%	54.7%	17.2%	38.9%	4.8%	2.9%	19.7M	-133.8M	-9.0M	0.59	2.89	94,210	55,611	1,666,327	1,268,471
2012-01-23	$29.85	$28.00	37.8%	10.8%	54.7%	17.1%	37.9%	4.6%	2.3%	15.1M	-226.4M	-8.9M	0.53	5.80	62,484	33,414	987,655	786,316
2012-01-24	$29.90	$28.00	37.4%	10.7%	51.2%	16.7%	39.1%	4.9%	1.3%	17.0M	-214.1M	-8.8M	0.75	3.78	57,717	43,218	1,011,177	801,622
2012-01-25	$29.96	$29.00	36.6%	10.5%	51.1%	15.9%	37.0%	4.4%	2.1%	18.6M	-257.5M	-8.9M	1.07	3.42	33,024	35,231	1,033,137	823,138
2012-01-26	$30.38	$28.00	38.3%	11.0%	50.3%	17.5%	38.1%	4.3%	1.5%	22.9M	-368.0M	-9.1M	1.36	6.17	59,085	80,606	1,047,700	837,140
2012-01-27	$30.87	$29.00	37.4%	10.6%	48.7%	16.7%	38.1%	4.3%	2.1%	18.9M	-469.4M	-9.3M	0.75	4.33	78,935	59,407	1,064,213	867,270
2012-01-30	$30.23	$29.00	41.0%	11.1%	49.4%	20.1%	39.9%	3.9%	2.2%	17.0M	-297.6M	-9.2M	1.20	4.30	46,905	56,189	1,067,038	875,168
2012-01-31	$30.72	$29.00	40.0%	10.7%	48.7%	19.1%	38.5%	3.9%	3.1%	19.6M	-435.6M	-9.6M	0.78	6.64	60,759	47,419	1,085,754	902,414