C Options History — April 2012

In April 2012, C traded between $32.86 and $36.87. ATM implied volatility averaged 35.0%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.6% (HV 20d: 34.4%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2012-04-10: Highest Volume — 236,336 contracts
2012-04-09: Largest IV spike — 38.8% change
2012-04-10: Highest IV Rank — 31.0%
2012-04-10: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.26	$32.86	$36.87	$36.87	$33.05
Max Pain	$34.00	$34.00	$34.00	$34.00	$34.00
ATM IV	35.0%	27.4%	52.5%	27.4%	32.9%
Expected Move	9.9%	8.5%	11.6%	8.8%	9.1%
HV 20d	34.4%	32.2%	39.3%	39.3%	33.5%
HV 60d	36.7%	34.6%	39.1%	38.1%	35.6%
IV Rank	14.4%	7.2%	31.0%	7.2%	12.3%
IV Percentile	32.6%	15.5%	62.3%	16.3%	23.4%
Term Structure	0.5%	-1.1%	2.4%	-0.6%	1.3%
VWIV	34.5%	29.9%	40.1%	31.1%	31.2%
Skew 25d	5.8%	2.6%	8.2%	3.0%	6.3%
Skew 10d	11.4%	4.8%	16.6%	5.5%	12.2%
Call IV 25d	32.2%	27.2%	38.2%	29.8%	29.0%
Put IV 25d	38.0%	32.8%	43.8%	32.8%	35.3%
Bid-Ask Spread %	5.00	2.78	8.96	4.99	4.91
Gamma HHI	0.08	0.06	0.14	0.10	0.07
Net GEX	18.1M	395.5K	41.7M	35.3M	395.5K
Net DEX	-269.6M	-1.16B	223.2M	-1.16B	223.2M
Net VEX	-12.2M	-12.9M	-10.9M	-12.7M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.44	0.99	0.72	0.98
Total Volume	122,439.45	65,829	236,336	83,615	96,821
Total OI	2,354,356.2	2,113,213	2,552,299	2,275,092	2,171,580

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
2012-04-02	$36.87	$34.00	27.4%	8.8%	39.3%	7.2%	31.1%	3.0%	-0.6%	35.3M	-1.16B	-12.7M	0.72	4.99	48,529	35,086	1,172,989	1,102,103
2012-04-03	$36.37	$34.00	31.9%	9.4%	35.0%	11.5%	32.5%	2.6%	-0.5%	29.7M	-965.8M	-12.7M	0.44	5.42	63,613	27,873	1,182,497	1,115,245
2012-04-04	$35.04	$34.00	33.3%	10.1%	36.6%	12.8%	36.4%	3.7%	-0.2%	12.9M	-504.8M	-12.4M	0.68	5.06	125,524	85,964	1,198,054	1,124,303
2012-04-05	$34.79	$34.00	29.5%	9.8%	35.9%	9.2%	35.0%	2.7%	-0.1%	19.5M	-418.8M	-12.6M	0.71	3.50	54,500	38,817	1,226,880	1,152,608
2012-04-09	$33.97	$34.00	40.9%	10.6%	37.0%	20.1%	37.5%	4.8%	-0.7%	11.7M	-190.7M	-12.0M	0.70	4.99	76,319	53,059	1,211,839	1,140,289
2012-04-10	$32.86	$34.00	52.5%	11.6%	38.7%	31.0%	40.1%	5.7%	-0.7%	3.2M	163.0M	-12.0M	0.83	3.68	129,152	107,184	1,238,168	1,154,374
2012-04-11	$33.59	$34.00	43.2%	10.6%	32.2%	22.2%	36.8%	6.3%	-0.6%	11.9M	-69.2M	-12.3M	0.46	7.38	90,619	41,367	1,264,724	1,181,854
2012-04-12	$34.63	$34.00	35.3%	10.1%	32.3%	14.7%	36.3%	5.6%	-0.1%	28.4M	-485.1M	-12.9M	0.79	4.71	68,211	54,126	1,288,110	1,188,606
2012-04-13	$33.41	$34.00	40.3%	11.5%	32.5%	19.4%	39.5%	6.6%	-1.1%	9.8M	-6.9M	-12.6M	0.71	5.75	97,997	69,731	1,289,937	1,207,435
2012-04-16	$34.00	$34.00	36.1%	10.4%	32.9%	15.5%	35.0%	6.6%	1.0%	21.0M	-232.2M	-12.6M	0.79	8.96	87,827	69,133	1,294,269	1,208,766
2012-04-17	$35.08	$34.00	33.9%	9.7%	34.7%	13.4%	33.3%	6.2%	1.1%	41.7M	-674.7M	-12.8M	0.45	4.10	96,752	43,244	1,302,878	1,218,201
2012-04-18	$35.08	$34.00	34.3%	9.8%	33.3%	13.8%	34.1%	5.7%	1.0%	38.7M	-654.7M	-12.9M	0.46	5.32	64,117	29,618	1,311,465	1,225,667
2012-04-19	$34.85	$34.00	35.2%	10.1%	33.3%	14.6%	36.1%	7.5%	0.7%	35.8M	-514.5M	-12.7M	0.89	4.16	66,844	59,451	1,311,162	1,226,551
2012-04-20	$33.89	$34.00	33.1%	9.5%	33.6%	12.6%	33.8%	6.8%	2.1%	23.6M	-49.0M	-12.1M	0.71	4.29	63,432	44,965	1,321,438	1,230,861
2012-04-23	$33.25	$34.00	36.0%	10.3%	33.8%	15.4%	35.8%	7.0%	0.9%	2.2M	102.5M	-11.7M	0.88	4.06	70,930	62,400	1,066,521	1,046,692
2012-04-24	$33.42	$34.00	34.9%	10.0%	33.6%	14.2%	33.4%	8.2%	1.7%	8.0M	38.9M	-11.9M	0.79	5.97	46,096	36,376	1,089,189	1,060,363
2012-04-25	$33.68	$34.00	30.3%	8.7%	33.6%	9.9%	31.4%	7.1%	2.4%	10.5M	-22.2M	-11.8M	0.62	2.78	42,265	26,296	1,101,556	1,072,015
2012-04-26	$33.88	$34.00	29.8%	8.5%	33.6%	9.3%	29.9%	7.1%	1.6%	13.7M	-66.6M	-11.4M	0.86	6.02	58,370	50,352	1,108,735	1,078,264
2012-04-27	$33.50	$34.00	29.9%	9.1%	33.4%	9.4%	30.6%	6.5%	1.4%	4.1M	92.3M	-11.4M	0.99	3.87	33,063	32,766	1,111,849	1,089,087
2012-04-30	$33.05	$34.00	32.9%	9.1%	33.5%	12.3%	31.2%	6.3%	1.3%	395.5K	223.2M	-10.9M	0.98	4.91	48,809	48,012	1,086,176	1,085,404