C Options History — February 2012

In February 2012, C traded between $31.60 and $34.23. ATM implied volatility averaged 36.8%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.3% (HV 20d: 38.2%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.87.

Notable Days

2012-02-03: Highest Volume — 253,425 contracts
2012-02-09: Largest IV spike — 15.1% change
2012-02-01: Highest IV Rank — 21.4%
2012-02-10: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.86	$31.60	$34.23	$31.60	$33.32
Max Pain	$29.90	$29.00	$30.00	$29.00	$30.00
ATM IV	36.8%	29.9%	42.4%	42.4%	36.1%
Expected Move	10.5%	9.3%	11.7%	10.5%	9.3%
HV 20d	38.2%	30.5%	45.7%	42.8%	33.8%
HV 60d	53.0%	47.6%	57.1%	56.4%	47.6%
IV Rank	16.2%	9.7%	21.4%	21.4%	15.4%
IV Percentile	43.8%	28.2%	51.6%	51.6%	42.1%
Term Structure	0.9%	0.0%	3.1%	2.8%	1.4%
VWIV	37.2%	32.7%	41.5%	38.2%	33.6%
Skew 25d	5.0%	3.3%	6.7%	4.4%	3.5%
Skew 10d	9.7%	6.3%	13.1%	8.1%	6.8%
Call IV 25d	34.7%	30.6%	38.1%	35.6%	31.5%
Put IV 25d	39.8%	34.8%	44.6%	40.0%	35.1%
Bid-Ask Spread %	3.66	1.98	5.88	3.34	5.35
Gamma HHI	0.10	0.08	0.30	0.09	0.11
Net GEX	30.1M	16.7M	68.8M	26.2M	31.7M
Net DEX	-842.1M	-1.47B	-411.7M	-681.8M	-775.5M
Net VEX	-10.8M	-11.5M	-9.9M	-9.9M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.48	1.48	0.73	1.34
Total Volume	134,325.4	81,619	253,425	174,014	91,845
Total OI	2,247,204.4	2,024,367	2,437,501	2,024,367	2,378,249

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
2012-02-01	$31.60	$29.00	42.4%	10.5%	42.8%	21.4%	38.2%	4.4%	2.8%	26.2M	-681.8M	-9.9M	0.73	3.34	100,353	73,661	1,105,060	919,307
2012-02-02	$31.99	$29.00	39.1%	10.4%	42.7%	18.3%	38.1%	4.3%	3.1%	28.1M	-790.4M	-10.1M	0.69	2.94	80,329	55,473	1,126,027	937,856
2012-02-03	$33.54	$30.00	35.1%	10.8%	45.1%	14.6%	38.9%	6.5%	0.0%	31.6M	-1.30B	-10.4M	0.68	5.45	151,001	102,424	1,149,569	953,084
2012-02-06	$33.30	$30.00	38.2%	11.1%	45.3%	17.4%	38.1%	5.7%	0.1%	31.8M	-1.13B	-10.5M	0.58	3.92	67,792	39,438	1,151,540	960,340
2012-02-07	$33.07	$30.00	37.9%	11.1%	45.4%	17.1%	38.5%	4.7%	0.0%	32.0M	-1.09B	-10.4M	0.98	3.16	50,888	49,755	1,170,709	971,565
2012-02-08	$34.23	$30.00	34.1%	10.9%	45.7%	13.6%	37.9%	4.9%	0.3%	39.1M	-1.47B	-10.6M	0.79	3.16	84,342	66,822	1,187,189	983,827
2012-02-09	$33.66	$30.00	39.2%	11.2%	44.4%	18.4%	39.4%	4.6%	0.2%	36.0M	-1.26B	-10.7M	0.71	3.56	113,820	80,515	1,201,165	1,016,817
2012-02-10	$32.92	$30.00	40.8%	11.7%	45.3%	20.0%	41.5%	6.3%	0.4%	16.7M	-960.6M	-11.1M	0.98	4.79	72,336	70,593	1,229,228	1,045,502
2012-02-13	$32.88	$30.00	38.0%	10.9%	43.9%	17.3%	37.6%	5.9%	1.1%	30.3M	-956.7M	-10.7M	1.48	3.48	66,235	98,096	1,211,681	1,036,146
2012-02-14	$32.08	$30.00	40.3%	11.6%	31.0%	19.5%	39.8%	6.6%	0.5%	24.8M	-578.8M	-11.1M	0.48	3.56	118,293	57,167	1,236,549	1,093,078
2012-02-15	$31.72	$30.00	40.5%	11.6%	30.5%	19.7%	40.9%	6.7%	0.4%	23.2M	-463.4M	-11.1M	0.63	4.63	78,941	49,861	1,261,955	1,103,446
2012-02-16	$32.71	$30.00	38.9%	11.1%	31.9%	18.1%	39.7%	6.7%	0.4%	32.6M	-852.9M	-11.5M	0.55	2.66	76,616	41,992	1,297,535	1,113,147
2012-02-17	$32.92	$30.00	35.5%	10.2%	31.8%	14.9%	37.0%	5.1%	1.2%	68.8M	-911.4M	-11.5M	0.84	5.36	60,073	50,620	1,314,588	1,122,913
2012-02-21	$33.36	$30.00	35.4%	10.2%	31.9%	14.8%	34.8%	5.2%	0.7%	29.2M	-816.7M	-11.4M	1.38	3.13	61,524	84,713	1,186,281	988,067
2012-02-22	$32.36	$30.00	35.8%	10.3%	34.4%	15.1%	36.1%	4.5%	0.5%	19.9M	-419.6M	-10.8M	1.28	5.88	54,202	69,251	1,207,427	1,035,196
2012-02-23	$32.71	$30.00	33.0%	9.5%	34.5%	12.6%	34.0%	3.3%	0.7%	23.7M	-549.3M	-11.0M	0.96	1.98	48,569	46,510	1,220,610	1,066,213
2012-02-24	$32.35	$30.00	29.9%	9.5%	34.7%	9.7%	33.6%	3.5%	1.4%	21.2M	-411.7M	-10.9M	1.06	2.22	39,659	41,960	1,232,155	1,086,758
2012-02-27	$32.93	$30.00	33.0%	9.5%	34.8%	12.6%	33.7%	3.8%	0.6%	25.1M	-607.2M	-10.9M	0.71	2.32	50,420	35,637	1,225,961	1,080,286
2012-02-28	$33.48	$30.00	33.6%	9.3%	33.9%	13.1%	32.7%	4.2%	1.6%	30.3M	-813.4M	-11.1M	0.57	2.22	66,634	38,148	1,243,464	1,093,598
2012-02-29	$33.32	$30.00	36.1%	9.3%	33.8%	15.4%	33.6%	3.5%	1.4%	31.7M	-775.5M	-11.1M	1.34	5.35	39,187	52,658	1,269,801	1,108,448