C Options History — March 2012

In March 2012, C traded between $32.12 and $38.08. ATM implied volatility averaged 33.7%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 3.8% (HV 20d: 37.5%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2012-03-13: Highest Volume — 349,025 contracts
2012-03-06: Largest IV spike — 42.2% change
2012-03-13: Highest IV Rank — 23.3%
2012-03-06: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.72	$32.12	$38.08	$34.13	$36.55
Max Pain	$32.50	$30.00	$34.00	$30.00	$34.00
ATM IV	33.7%	27.9%	44.3%	31.1%	28.3%
Expected Move	9.6%	8.7%	10.7%	9.0%	9.0%
HV 20d	37.5%	29.3%	40.8%	33.4%	39.7%
HV 60d	42.9%	38.2%	47.1%	47.1%	38.2%
IV Rank	13.2%	7.7%	23.3%	10.8%	8.1%
IV Percentile	33.9%	18.7%	53.2%	30.2%	18.7%
Term Structure	-0.4%	-2.5%	1.9%	1.8%	0.1%
VWIV	33.9%	31.4%	37.1%	31.9%	31.8%
Skew 25d	3.8%	1.9%	6.1%	3.6%	3.1%
Skew 10d	7.9%	4.3%	12.7%	7.1%	6.3%
Call IV 25d	32.0%	29.3%	34.5%	30.2%	30.6%
Put IV 25d	35.8%	33.1%	40.6%	33.9%	33.7%
Bid-Ask Spread %	3.85	2.31	7.65	3.45	4.57
Gamma HHI	0.12	0.09	0.17	0.14	0.10
Net GEX	36.2M	19.1M	49.4M	40.5M	31.4M
Net DEX	-1.27B	-2.13B	-317.8M	-1.11B	-1.04B
Net VEX	-12.0M	-13.1M	-10.7M	-11.2M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.32	1.20	0.69	1.01
Total Volume	161,460.455	70,123	349,025	130,156	73,694
Total OI	2,368,918.864	1,979,943	2,717,472	2,389,955	2,291,621

Daily Data (22 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
2012-03-01	$34.13	$30.00	31.1%	9.0%	33.4%	10.8%	31.9%	3.6%	1.8%	40.5M	-1.11B	-11.2M	0.69	3.45	76,796	53,360	1,272,983	1,116,972
2012-03-02	$34.10	$30.00	27.9%	8.7%	33.3%	7.7%	31.4%	3.8%	1.9%	40.8M	-1.07B	-11.1M	1.05	2.34	35,599	37,546	1,285,538	1,135,610
2012-03-05	$33.68	$31.00	29.8%	9.3%	29.3%	9.5%	32.5%	5.2%	-0.2%	31.0M	-845.5M	-10.7M	0.90	3.42	40,701	36,586	1,270,611	1,116,016
2012-03-06	$32.12	$31.00	42.4%	10.7%	33.8%	21.4%	37.1%	6.1%	-1.1%	19.1M	-317.8M	-10.7M	1.14	4.99	85,653	97,224	1,283,492	1,127,301
2012-03-07	$33.24	$31.00	33.5%	10.0%	36.0%	13.0%	36.3%	6.0%	-0.8%	28.7M	-690.1M	-11.1M	0.56	2.86	74,003	41,812	1,304,526	1,159,810
2012-03-08	$34.00	$31.00	33.2%	10.1%	34.8%	12.7%	34.9%	5.4%	-1.2%	38.6M	-1.06B	-11.5M	0.35	5.68	104,489	36,068	1,330,550	1,175,347
2012-03-09	$34.20	$32.00	32.5%	9.8%	34.3%	12.0%	34.4%	5.2%	-0.5%	48.6M	-1.20B	-11.5M	1.18	4.27	66,291	78,196	1,365,314	1,187,518
2012-03-12	$34.29	$32.00	38.2%	9.7%	33.2%	17.5%	33.9%	4.5%	-1.1%	39.2M	-1.15B	-11.2M	0.61	4.70	81,204	49,588	1,328,824	1,183,790
2012-03-13	$36.45	$32.00	44.3%	10.2%	39.2%	23.3%	35.9%	4.0%	-2.5%	45.1M	-2.01B	-11.8M	0.61	4.02	216,281	132,744	1,338,762	1,204,286
2012-03-14	$35.21	$32.00	33.4%	9.4%	40.3%	12.9%	32.1%	4.1%	-0.4%	49.4M	-1.51B	-11.8M	0.57	3.73	197,734	112,087	1,393,844	1,248,093
2012-03-15	$36.27	$32.00	33.7%	9.7%	40.8%	13.2%	34.3%	4.2%	-1.8%	48.9M	-2.06B	-11.8M	1.01	3.45	163,979	166,283	1,392,314	1,272,530
2012-03-16	$36.69	$33.00	31.6%	9.0%	39.9%	11.2%	32.5%	4.4%	0.0%	42.4M	-2.13B	-12.1M	0.62	3.02	104,911	65,419	1,394,479	1,322,993
2012-03-19	$37.17	$33.00	34.6%	9.9%	40.0%	14.1%	35.2%	3.4%	-0.6%	28.2M	-1.32B	-12.2M	0.60	3.52	206,738	123,520	1,010,315	969,628
2012-03-20	$38.08	$33.00	34.0%	9.8%	40.4%	13.5%	34.4%	3.3%	-0.8%	37.8M	-1.60B	-12.7M	0.83	3.23	121,397	100,385	1,075,967	1,016,639
2012-03-21	$37.80	$34.00	33.9%	9.7%	38.4%	13.4%	34.5%	2.1%	-0.7%	34.1M	-1.49B	-13.1M	0.62	3.35	88,991	55,052	1,103,428	1,049,861
2012-03-22	$36.90	$34.00	34.4%	9.9%	40.0%	13.9%	34.4%	1.9%	-0.6%	25.3M	-1.17B	-13.1M	0.69	3.95	97,236	67,395	1,128,088	1,070,680
2012-03-23	$37.13	$34.00	33.6%	9.6%	39.5%	13.1%	34.1%	2.4%	0.4%	37.3M	-1.31B	-13.1M	0.74	2.94	55,384	40,909	1,162,391	1,090,164
2012-03-26	$37.43	$34.00	32.8%	9.4%	39.3%	12.3%	33.0%	2.6%	0.1%	36.4M	-1.39B	-12.8M	0.32	2.31	64,717	21,029	1,132,187	1,055,614
2012-03-27	$36.78	$34.00	32.5%	9.3%	39.9%	12.1%	33.1%	2.7%	-0.1%	33.1M	-1.17B	-12.9M	0.87	4.17	53,567	46,583	1,159,416	1,063,581
2012-03-28	$37.06	$34.00	33.0%	9.5%	39.8%	12.5%	33.3%	2.9%	-0.1%	35.0M	-1.26B	-13.0M	1.20	3.12	31,879	38,244	1,171,687	1,082,014
2012-03-29	$36.51	$34.00	33.2%	9.5%	39.8%	12.8%	34.0%	2.9%	0.1%	25.5M	-1.02B	-12.9M	1.15	7.65	51,678	59,178	1,173,172	1,098,259
2012-03-30	$36.55	$34.00	28.3%	9.0%	39.7%	8.1%	31.8%	3.1%	0.1%	31.4M	-1.04B	-12.7M	1.01	4.57	36,679	37,015	1,183,210	1,108,411